English

Optimal control of a large dam, taking into account the water costs

Probability 2008-05-20 v3 Classical Analysis and ODEs

Abstract

Consider a dam model, LupperL^{upper} and LlowerL^{lower} are upper and, respectively, lower levels, L=LupperLlowerL = L^{upper}-L^{lower} is large and if the level of water is between these bounds, then the dam is said to be in a normal state. Passage across lower or upper levels leads to damage. Let J1=j1LJ_1=j_1L and J2=j2LJ_2=j_2L denote the damage costs per time unit of crossing the lower and, correspondingly, upper level where j1j_1 and j2j_2 are given real constants. It is assumed that input stream of water is described by a Poisson process, while the output stream is state dependent. Let LtL_t denote the level of water in time tt, and cLtc_{L_t} denote the water cost at level LtL_t (Llower<LtLupperL^{lower}<L_t\leq L^{upper}). Assuming that p1=limtP{Lt=Llower}p_1=\lim_{t\to\infty}\mathbf{P}\{L_t=L^{lower}\}, p2=limtP{Lt>Lupper}p_2=\lim_{t\to\infty}\mathbf{P}\{L_t>L^{upper}\} and qi=limtP{Lt=i}q_i=\lim_{t\to\infty}\mathbf{P}\{L_t=i\} (Llower<iLupperL^{lower}<i\leq L^{upper}) exist, the aim of the paper is to choose the parameters of an output stream (specifically defined in the paper) minimizing the long-run expenses J=p1J1+p2J2+i=Llower+1Lupperqici.J=p_1J_1+p_2J_2+\sum_{i=L^{lower}+1}^{L^{upper}}q_ic_i.

Keywords

Cite

@article{arxiv.math/0701458,
  title  = {Optimal control of a large dam, taking into account the water costs},
  author = {Vyacheslav M. Abramov},
  journal= {arXiv preprint arXiv:math/0701458},
  year   = {2008}
}

Comments

18 pages, 1 table. Revision is submitted