Chance‐constrained dynamic programing and the optimization of water resource systems

Abstract

In order to limit the probability that a water resource system will fail when it is operated in accordance with its optimum operating policy the latter must be derived subject to relevant chance constraints. When a stochastic dynamic program is used, certain of these constraints can be handled in the same manner as deterministic constraints, whereas others can be applied indirectly by imposing a penalty for failure, the optimum value of which can be found by an iterative search. This search and a precise evaluation of the response of the system may be carried out within the dynamic program by means of minor additions to its basic algorithm. The application of this procedure to four systems demonstrates its power and illustrates the manner in which systems respond to the imposition of constraints on failure.