forecasting

A successive linear programming algorithm with non-linear time series for the reservoir management problem

  • Erick Delage
  • Charles Gauvin
  • Michel Gendreau
    • Categories Robust Optimization, Stochastic Programming Tags , , ,

    This paper proposes a multi-stage stochastic programming formulation based on affine decision rules for the reservoir management problem. Our approach seeks to find a release schedule that balances flood control and power generation objectives while considering realistic operating conditions as well as variable water head. To deal with the non-convexity introduced by the variable water … Read more

    A stochastic program with tractable time series and affine decision rules for the reservoir management problem

  • Erick Delage
  • Charles Gauvin
  • Michel Gendreau
    • Categories Applications - OR and Management Sciences, Robust Optimization, Stochastic Programming Tags , , , , ,

    This paper proposes a multi-stage stochastic programming formulation for the reservoir management problem. Our problem specifically consists in minimizing the risk of floods over a fixed time horizon for a multi-dimensional hydro-electrical complex. We consider well-studied linear time series model and enhance the approach to consider heteroscedasticity. Using these stochastic processes under very general distributional … Read more