Abstract
AbstractWe consider an optimal stochastic control problem for a dam. Electrical power production is operating under an uncertain setting for electricity market prices and water level which has to be kept under control. Indeed, the water level inside the basin cannot exceed a certain threshold for safety reasons, and at the same time cannot decrease below another threshold in order to keep power production active. We model this situation as a mixed control problem with regular and switching controls under constraints. We characterize the value function as solution of an HJB equation and provide some numerical approximating methods. We shall illustrate by numerical examples the main achievements of the present approach.
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