Università degli Studi di Padova

“Optimal management of pumped hydroelectric production with state constrained optimal control”

Venerdì 17 Dicembre 2021, ore 14:30 - Aula 2BC30 e Zoom - Athena Picarelli (Università di Verona)


We present a novel technique to solve the problem of managing optimally a pumped hydroelectric storage system. This technique relies on representing the system as a stochastic optimal control problem with state constraints, these latter corresponding to the finite volume of the reservoirs. Following the recent level-set approach presented in O. Bokanowski, A. Picarelli, H. Zidani, State-constrained stochastic optimal control problems via reachability approach, SIAM J. Control and Optim. 54 (5) (2016), we transform the original constrained problem in an auxiliary unconstrained one in augmented state and control spaces, obtained by introducing an exact penalization of the original state constraints. The latter problem is fully treatable by classical dynamic programming arguments.

Seminars in Probability and Finance