Optimal control of a water reservoir with expected value–variance criteria |
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| Authors: | Andrzej Karbowski Przemysław Magiera |
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| Affiliation: | Institute of Control and Computation Engineering, Warsaw University of Technology, ul. Nowowiejska 15/19, Warszawa 00‐665, Poland |
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| Abstract: | The article presents how to solve a reservoir management problem, which has been formulated as a two‐criteria stochastic optimal control problem. Apart from the expected value of a performance index, its variance is also considered. Three approaches are described: a method based on the Lagrange function; a method based on the ordinary moment of the second order (finite time horizon); and a method based on linear programming (infinite time horizon). In the second part of the article, they are assessed in a case study concerning a reservoir in the southern part of Poland. Copyright © 2006 John Wiley & Sons, Ltd. |
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| Keywords: | stochastic systems dynamic programming reservoir control problem multiobjective optimization mean‐variance problems |
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