Diagnostic Checking in Stochastic Dynamic Programming
Publication: Journal of Water Resources Planning and Management
Volume 119, Issue 4
Abstract
A testing procedure to diagnose whether the stochastic dynamic programming (SDP) models for reservoir operations will converge is presented. Theoretically, the stability of SDP can be diagnosed by checking whether a coefficient matrix, connected with the existence and uniqueness of solutions of transition probabilities for the inflows, is linearly independent. The steady‐state SDP model of reservoir operations is guaranteed after the SDP convergence has been approved. If the rank of the coefficient matrix is the same as the number of inflow states, there is precisely one solution for the steady‐state distribution of inflows and SDP convergence will be reached. Otherwise, the SDP model is divergent.
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Information & Authors
Information
Published In
Journal of Water Resources Planning and Management
Volume 119 • Issue 4 • July 1993
Pages: 490 - 494
Copyright
Copyright © 1993 American Society of Civil Engineers.
History
Received: Feb 4, 1992
Published online: Jul 1, 1993
Published in print: Jul 1993
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