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

DOI10.1016/J.EJOR.2017.12.007MaRDI QIDQ723959zbMATH OpenOpenAlexFDO

Authors Charles Gauvin, Erick Delage, Michel Gendreau

Publication date 25 July 2018

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ejor.2017.12.007

zbMATH Keywords

forecastingstochastic processesrobust optimizationstochastic programmingOR in energy

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Applications of mathematical programming (90C90) Stochastic programming (90C15)

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Cited in

(5)

• Multistage adaptive robust optimization for the hydrothermal scheduling problem
• A successive linear programming algorithm with non-linear time series for the reservoir management problem
• On the impact of deep learning-based time-series forecasts on multistage stochastic programming policies
• Decision rule approximations for the risk averse reservoir management problem
• Joint chance constrained programming for hydro reservoir management

Describes a project that uses

Uses Software

• FinTS
• ROME

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