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Reservoir optimization and Machine Learning methods

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  • Xavier Warin

Abstract

After showing the efficiency of feedforward networks to estimate control in high dimension in the global optimization of some storages problems, we develop a modification of an algorithm based on some dynamic programming principle. We show that classical feedforward networks are not effective to estimate Bellman values for reservoir problems and we propose some neural networks giving far better results. At last, we develop a new algorithm mixing LP resolution and conditional cuts calculated by neural networks to solve some stochastic linear problems.

Suggested Citation

  • Xavier Warin, 2021. "Reservoir optimization and Machine Learning methods," Papers 2106.08097, arXiv.org, revised May 2023.
    • Handle: RePEc:arx:papers:2106.08097
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    File URL: http://arxiv.org/pdf/2106.08097
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    References listed on IDEAS

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    1. Maximilien Germain & Mathieu Laurière & Huyên Pham & Xavier Warin, 2021. "DeepSets and their derivative networks for solving symmetric PDEs ," Working Papers hal-03154116, HAL.
    2. repec:dau:papers:123456789/4273 is not listed on IDEAS
    3. Maximilien Germain & Mathieu Lauri`ere & Huy^en Pham & Xavier Warin, 2021. "DeepSets and their derivative networks for solving symmetric PDEs," Papers 2103.00838, arXiv.org, revised Jan 2022.
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    Cited by:

    1. Thomas Deschatre & Xavier Warin, 2023. "A Common Shock Model for multidimensional electricity intraday price modelling with application to battery valuation," Papers 2307.16619, arXiv.org.
    2. Maximilien Germain & Huy^en Pham & Xavier Warin, 2021. "A level-set approach to the control of state-constrained McKean-Vlasov equations: application to renewable energy storage and portfolio selection," Papers 2112.11059, arXiv.org, revised Nov 2022.
    3. Maximilien Germain & Huyên Pham & Xavier Warin, 2021. "A level-set approach to the control of state-constrained McKean-Vlasov equations: application to renewable energy storage and portfolio selection," Working Papers hal-03498263, HAL.

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    1. Maximilien Germain & Huy^en Pham & Xavier Warin, 2021. "A level-set approach to the control of state-constrained McKean-Vlasov equations: application to renewable energy storage and portfolio selection," Papers 2112.11059, arXiv.org, revised Nov 2022.
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