A dam management problem with energy production as an optimal switching problem
Etienne Chevalier,
Cristina Di Girolami,
M'hamed Gaïgi
et al.
Abstract:We consider an optimal stochastic control problem for a dam. Electrical power production is operating under an uncertain setting for electricity market prices and water level which has to be kept under control. Indeed, the water level inside the basin cannot exceed a certain threshold for safety reasons, and at the same time cannot decrease below another threshold in order to keep power production active. We model this situation as a mixed control problem with regular and switching controls under constraints. … Show more
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