Lower bounding aggregation and direct computation for an infinite horizon one-reservoir model

Lower bounding aggregation and direct computation for an infinite horizon one-reservoir model

0.00 Avg rating0 Votes
Article ID: iaor19991242
Country: Netherlands
Volume: 95
Issue: 2
Start Page Number: 404
End Page Number: 410
Publication Date: Dec 1996
Journal: European Journal of Operational Research
Authors: ,
Abstract:

We present a specialized policy iteration method for the computation of optimal and approximately optimal policies for a discrete-time model of a single reservoir whose discharges generate hydroelectric power. The model is described by Lamond et al., and Drouin et al., where the special structure of optimal policies is given and an approximate value iteration method is presented, using piecewise affine approximations of the optimal return functions. Here, we present a finite method for computing an optimal policy in O(n³) arithmetic operations, where n is the number of states in the associated Markov decision process, and a finite method for computing a lower bound on the optimal value function in O(m²n) where m is the number of nodes of the piecewise affine approximation.

Reviews

Required fields are marked *. Your email address will not be published.