arXiv 1706.096552017-06-29math.OC

基于凸对偶的水电系统管理

Management of a hydropower system via convex duality

Kristina Rognlien Dahl

备注：: 20 pages, 7 figures

摘要：

我们考虑的问题，管理水力发电厂系统。该系统由N个水电站大坝组成，它们都有一定的最大生产能力。系统的入流是一个随机过程，代表了各坝的降水量。管理者可以控制每次从每个大坝释放多少水。她想选择一种方式，使从初始时间0到某个终端时间T的总收益最大化。水电站坝系的总收益取决于电价，电价也是一个随机过程。管理者在控制流失过程时必须考虑到这一价格过程。然而，我们假设经理人只知道价格过程如何形成的部分信息。利用Rockafellar的共轭对偶框架，我们导出了经理人问题的对偶问题。这个双重问题原来是简单的解决的情况下，价格过程是一个鞅或下鞅的过滤模型的信息的大坝经理。

英文摘要：

We consider the problem of managing a hydroelectric power plant system. The system consists of N hydropower dams, which all have some maximum production capacity. The inflow to the system is some stochastic process, representing the precipitation to each dam. The manager can control how much water to release from each dam at each time. She would like to choose this in a way which maximizes the total revenue from the initial time 0 to some terminal time T. The total revenue of the hydropower dam system depends on the price of electricity, which is also a stochastic process. The manager must take this price process into account when controlling the draining process. However, we assume that the manager only has partial information of how the price process is formed. She can observe the price, but not the underlying processes determining it. By using the conjugate duality framework of Rockafellar, we derive a dual problem to the problem of the manager. This dual problem turns out to be simple to solve in the case where the price process is a martingale or submartingale with respect to the filtration modelling the information of the dam manager.

机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。

摘要：

英文摘要：

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