Abstract
The extended linear quadratic Gaussian (ELQG) control method (Georgakakos and Marks, 1987) is a stochastic control algorithm for the optimal operation of multiobjective reservoirs. Mathematically, this method optimizes a general functional of a stochastic system in state‐space form with upper and lower release constraints and probabilistic storage bounds. ELQG is a sequential algorithm which accounts for stochastic effects by preserving the first two statistical moments of the system's inputs and storages. In this paper, the method is first extended to handle nongaussian features which frequently characterize reservoir inputs. Second, ELQG's efficiency with respect to reliability storage constraints is discussed, and a new barrier function method is researched. These modifications are tested in case studies with the Savannah river system.
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