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L. M. EISEL •
Decision Rule
P(Yi+•.•-->T•) _>a•(r' Vk (3)
Linear decision rules are used in chance
wherey•+•.,is a randomdecision
variableand
constrained
programing
to express
decision
vari- T, is a decisionvariable. Substitutionof the
ables as linear functions of selected system
linear reservoiroperatingpolicy (1) yields
random variables. A reservoir operating rule
originallydeveloped
by Bryant [1961] is used P[(1 -- a•)(qi+•.•q- s•)
for a decision rule in the succeedingchance
constrained reservoir model' q- a•T• >_T•] >_a•{r) V k
or
Yi+•.• = (1 -- a•)(qi+•.•q- s•) --[--a•T• (1)
T)
Vk + ..' v (4)
where 0 _• as < 1 is a decisionparameterof Constraint 4 can be interpreted' The decision
the operatingpolicyand T• is the targetrelease. variables of the chance constrained reservoir
This reservoiroperatingpolicy conformsto model must be specified in order that 100
policies
developed andThomas a,(•'% of the years, releasesgreater than or
by Watermeyer
[1962] and Younq [1966, 1967]. Bryant de- equal to the irrigation target T, can be made
velopsa queuingtheoryapproachto estimate in accordance with the linear decision rule 1
the moments of the distribution of reservoir (Figure 1).
storages• for a reservoiroperatedaccording
to If the distributionof (q•+•.• + s•) is as-
(1). Thesemomentsare necessary to develop sumed to be Gaussian, inequality 4 can be
deterministicequivalentsfor the chancecon- reducedto a deterministicequivalent. The cen-
straints. tral limit theorem supports this assumption
Reservoir Mo.delinq 341
Yj+1,k The momentsof the distributionof (qj+,.•
sj•) must now be determined.Specifyingthese
moments is a difficult convolution problem
becausethe distribution of sj• must be deter-
mined without knowing the reservoir capacity
K•, and operating rule parameters a• and T•.
Revelle et al. [1969], Revelle and Kirby [1970],
Joeres et al. [1971], and Nayak and Arora
[1971] have approachedthis convolutionprob-
•Tk qj+l,k+Sjk lem by proposinga specificreservoiroperating
I
rule that eliminates the random variable
Thetargetconstraintrequires
thatreleases
n-• from the constraint, thus eliminating the con-
cannotfall intothisrangemorethan(1-a•")100% volution problem. This approach is questioned
of thetime.
by Eisel [1970b] and Loucks [1970].
Fig. 1. Interpretation of target chanceconstraint. The Bryant queuingtheory method for esti-
mating the moments of the distribution of
reservoirstorageis adaptedby Eisel [1970a] to
because estimate the moments of the distribution of
(q•+l,• q- $•)
$i+l,k --- $ik + qi+l,• -- Yi+l,k
Yi• • Yi+z,• E(q,+l,/•
21-si/•
) = E(qi+,,k)
-- a•T/• (6)
1 -- a•
i+1
Vk
S•+l.•-- so.•-t- •(q•k-- y•)
and
and therefore
i+1 i
V(qi+•
.• q-si•)
= V(qi+,.•)
1 -- a•
2 V k (7)
- + These moment estimates are based on two
assumptions' (1) independencebetween q•+,.•
which indicatesthat the distributionof (qj+,,• and sj• and (2) 'infinite' reservoircapacity.Sim-
q- s•) shouldapproach the Gaussiandistribu- ulation studiesby Eisel [1970a] indicate these
tion if the lag-one serial correlation of annum assumptionsare generallyadequateif the lag-
flowsis small. Table 1 indicatesthat only small one serial correlation between annual flows is
differences exist between the extreme fractiles
small (i.e., p•,.,+, _< 0.3) and the reservoir
of a Gaussiandistribution and a gamma dis- capacityis greaterthan 70% of the mean annual
tribution with decided skewhess(¾ ---- 1.0). streamflow. Substitution of these estimates into
Therefore the normality assumptionmay be of (5) yields
limited importancein actual numericalcompu-
tations. The reductionof (4) to a deterministic
equivalentyields I -- a• T•-[.E(q)-
_1 •T•.
1
< F-• (1-- a•½
v))[V(q)
]1/2
p{qi+,,•
q-si•
--E(qi+,
si•) Vk
•.1-ak•
1/2
P(qi+l,•q- 8i• -- Yi+•,•_<K•) >_•(•) (10)
1.0 Vk
0.5- or
O0o.o I I I I I I I I I I • ak
•i•.
0.2
2. •i•e•t
o.4 0.6
•ppto•im•tio•
o. 8
of [(• --
•.o
•)/
P(qi+l,•
q-s•
_<a•T•
q-K•)>_a•(•)
(• -- •) ]•. Vk
Reservoir Modeling 343
duced to, a deterministic equivalent' The Hessianmatrix for Ks(1 -- as)/as indi-
cates that this function is neither convex nor
concave.In the range 0.6 _< as _< 0.9, the
function (1 -- as)/as can be approximatedby
(1 -- as) /as -- -- 1.9as q- 1.8.
(s)
Substitutionof this approximationalongwith
the previousapproximationfor
Vk
which requires
_• ak[V(qi+l.• q- $ik)]l/2F-l(olk
(s)) (12) T• •- K•(1.8- 1.9a•)-- E(q)
Vk
>_(1.05- 0.9a•)F-l(o•('))[ V(q)]1/2
By substituting Bryant's estimates of the
Vk
(qj+,,s + s•s) distribution moments'
or
(15)
Vk
Thespillinq
constraint
requires where
selectionof decisionrule
parameters
in order
that(qj+l
k+Sjk
)
falls
into
this
rancje
only ' •w• = -}(a• q- Kk)
(1-a•;))(100)%
ofthetime.
Therefore,
spillsmustoccuronly ew• = «(--ak q- K•)
1-c•S))(100)%
of theyears.
0.6 _< a• _< 0.9
Fig. 3. Interpretation of spilling chance con-
straint. Inequality 15 is separableand representsa
convexset. By obtaininga separableconstraint TABLE 3. Reservoir Simulation Model Results
set a solutionwith the Simplex algorithm with
restricted basis entry is permitted. Length Years
of Period, Deficiency YearsSpill
Continuity constraint. A chance constraint years Occurred,% Occurred,%
must be formulated that requires that in 100
o/• (c•o/
70 of the years, the linear reservoiroperat- 100 11 2
100 4 6
ing rule must recommend releases consistent
100 0 7
with the continuity condition.The remaining 100 6 2
100(1 -- • j% of the years, the linear op- 100 7 10
erating rule must be abandoned,and releases
Mean 5.6 5.4
must conform to the continuity condition.The
formulation of this requirement as a chance Annual streamflow sequenceswere generated
constraint with a lag-oneMarkov model with E(q) = 64,000
ac ft and IV(q)]•/• = 20,000 ac ft.
lOO - INITIALRESERVOIR
CAPACITY,
K0
90- ....O..
'-"-
-""O"
-' --0--
---{)-/-CO-
--0--
-0-
-0-
-0
70-
ß
.-...•_ DECISION
PERIOD
ONEIRRIGATION
-- TARGET,TI .
• 50-
I----
40--
o 30--
20--
lO--
0.O
0.80
meeting the irrigation target from 4 out of 5 does, however, ignore the economicbenefits to
years, to 19 out of 20 years, would reduce net farmers resulting from a more reliable supply
economicbenefitsby over $5,000,000becauseof of irrigation water. Decision makers must de-
increased reservoir size and the decreased irri- cide whether benefitsfrom increasedreliability
gation target necessaryto meet the more strict outweighrequired costsnecessaryto achievethis
reliability requirement. This benefit reduction increasedreliability. Therefore the problem of
:52-
51-
w
z
w
:50--
28
i.80I 0.82
I I 0.84
I I 0.86
I I 0.88
I I 0.90
I I 0.92
I I 0.94
I
Fig. 5. Parametric investigation of the effects of irrigation target reliability level on project
net economic benefits.
346
loss function estimation associated with linear Acknowledgments. The continued interest •nd
programing
underuncertaintyis not totally helpfulcriticism
of Dr. Douglas
V. Smith,Popu-
obviated
bychance
constrained
programing
and lationStudies Center, Harvard University, have
been appreciated. Dr. Russell J. de Lucia., Meta
decision
makers
muststillweigh
thecosts
and Systems,
Cambridge,
Massachusetts,
provided
benefitsof increasedreliability. valuablecomments
andsuggestions.
Acknowledg-
ment is made to Mr. Grant W. Schaumburg, I-Iar-
CONClUSiONS yard University and V. I-I. Eisel for their assist-
ance in publication. This investigation was
Thisdevelopment
ofa single
purpose,
I sea- supported
byaU.S.
Public
Health
Service
trainee-
sonstochastic
reservoir
modeldemonstrates
the shi.
p anda grantfromResources
fortheFuture
possibleconvolutionproblems that can occur (44-5325-2).Publicationwas assistedby the en-
in chanceconstrainedprogramingmodelsof vironmentalsystemsprogram,HarvardUniver-
waterresource
systems
ß
Furtherstudies
are sity,
GI-24.
through
National
Science
Foundation
grant
necessary if these mathematical complexities
are not to limit the general application of
chance
constrained
programing
in thedesign
of R•r•R•NC•S
water resourcesystems. Bryant,G., Stochastic
theoryof queuesapplied
The Bryant[196.1]operating
policy(1) todesignofimpounding reservoirs,
Ph.D. thesis,
Harvard Univ., Cambridge, Mass., 1961.
represents
a moregeneralclassof reservoirCharnes,A.,andW. W. Cooper, Deterministic
operatingrulesthan previouslyemployedin equivalents
for optimizing
andsatisficing
under
chance constrained reservoir models [Eisel, chance constraints,Oper. Res., 11(1), 18-39,
1970;Loucks,1970].Employment
of this op- 1963.
erating
policy
in a chance
constrained
pro- Dantzig,G.B.,Linear Programming andExten-
sions, Princeton University Press, Princeton,
graming
model
appears
feasible
if thequeuing N.J., 1963.
theory assumptionsfor estimationof the stor- Dorfman,R., Mathematicalmodels:The,multi-
age distributionparametersare not seriously structureapproach,in Designo/Water Resource
violated.
Extension
of the Bryantoperating Systems,
editedby A. Maass
et al.,pp.494-
policy
to a multiseason
chance
constrained
539,Harvard
Mass., 1962. University
Press,
Cambridge,
reservoir
modeldoes,however,
presentmathe- Eisel,L. M., Land-use
management
in a water
matical complexities(most notably a nonconvex resourcesystem,Ph.D. thesis,Harvard Univ.,
constraint
set). This limitationpartiallyoffsets Cambridge,
Mass.,1970a.
theadvantages
gainedfromgenerality
of the Eisel,
L. M., Comments onthelinear decision
rule in reservoir management and design by
Bryantoperating
rule. C. Revelle, E. Joeres,andW. Kirby,Water
Parametricprograminganalysisof chance Resour.Res.,6(4), 1239-1241,
1970b.
constrainedwater resourcemodelscan provide Eisel, L. M., Watershedmanagement:A systems
decisionmakers with estimatesof the costs of approach, Water Resour. Res., 8(2), 326-338,
increased
system
reliability.
Decision
makers 1972.
canthenweigh
thebenefits
andcosts
ofthis Fiering,
M. B, Streamflow Synthesis, Harvard
University Press, Cambridge, Mass., 1967.
increased
reliability
in theirdecision
process.Hadley,G., Nonlinear
Programming,
p. 119,
This procedureoffersan alternativeto linear Addison-Wesley,
Reading,Mass.,1964.
programingunder uncertainty. Joeres,E. F., J. C. Liebman, and C. S. Revelle,
The stochasticnature of water resourcessys- Operatingrules for joint operationof raw water
tems suggestscontinued research in applica- sources,Water Resour. Res., 7(2), 225-235, 1971.
Loucks,D. P., Some commentson linear decision
tion of stochasticprogramingmethodsto the rules and chance constraints, Water Resour.
design and operation of these systems.Such Res., 6(2), 668-671, 1970.
future researchshouldincludea comparative Naslund,B., Mathematicalprogramming under
study of linear programingunder uncertainty risk,$wed.J. Econ.,67(3), 240-255,1965.
andchance
constrained
programing.
Thisstudy Nayak,S.C., andS. R. Arora,Optimal
capacities
could
determine
whether
theseveral
possible decision
for a multireservoir system using thelinear
rule, Water Resour. Res., 7(3), 485-498,
advantagesof chanceconstrained
programing 19,71.
offsetthe mathematical
complexityresulting Revelle,
C.S.,andW.Kirby,Linear
decision
•ule
from convolutionproblems. in reservoirmanagementand design,2, Per-
Reservoir Modeling 347
formance optimization, Water Resour. Res., Young, G. K., Techniques for finding reservoir
6(4), 1033-1044,1970. operating rules, Ph.D. thesis, tte•rvard Univ.,
Revelle, C. S., E. Joeres, and W. Ki.rby, The Cambridge, Mass., 1966.
linear decision rule in reservoir management .Young, G. K,, Finding reservoir operating rules,
and design, 1, Development of the stochastic J. Hydraul. Div., Amer. $oc. Civil Eng.,
model, Water Resour. Res., 5(4), 767-777, 1969. 93(I-IY6), 297-321, 1967.
Watermeyer, P., and l:I. A. Thomas, Jr., Queuing
theory and reservoir design, Ann. Comput. Lab.
Harvard Univ., 31, 5.9-76, 1962. (Manuscript received July 8, 1971.)