Stochastic maximum principle in the optimal control of water resources systems

AbstractThis work deals with the optimal control of stochastic water resources systems by the discrete stochastic maximum principle. This method is successfully applied to find analytic optimal solutions for water resources systems receiving independent stochastic inflows. The purpose is to optimize linear or quadratic objective functions subject to constraints imposed both on the state and decision variables. Two types of objective functions, one expressed in terms of correlated benefit functions and the other consisting of state and decision variables, are considered