Constrained differential dynamic programming and its application to multireservoir control

Abstract

This paper describes a modification of differential dynamic programming (DDP) which makes that technique applicable to certain constrained sequential decision problems such as multireservoir control problems discussed in the hydrology literature. The authors contend that the method proffered here is superior to available alternatives. This belief is supported by analysis (wherein it transpires that constrained DDP does not suffer the ‘curse of dimensionality’ and requires no discretization) and computational experimentation (wherein DDP is found to quickly locate solutions of 4‐reservoir problems introduced by other investigations as well as the solution of a 10‐reservoir problem thought to be beyond the capability of alternative methods).