Controlled approximation of the value function in stochastic dynamic programming for multi-reservoir systems

Luckny Zéphyr (), Pascal Lang () and Bernard Lamond ()

Computational Management Science, 2015, vol. 12, issue 4, 539-557

Abstract: We present a new approach for adaptive approximation of the value function in stochastic dynamic programming. Under convexity assumptions, our method is based on a simplicial partition of the state space. Bounds on the value function provide guidance as to where refinement should be done, if at all. Thus, the method allows for a trade-off between solution time and accuracy. The proposed scheme is experimented in the particular context of hydroelectric production across multiple reservoirs. Copyright Springer-Verlag Berlin Heidelberg 2015

Keywords: Value function approximation; Stochastic dynamic programming; Simplicial decomposition; Regular grids; Separable grids; Reservoir networks (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (3)

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DOI: 10.1007/s10287-015-0242-1

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