A model for dynamic chance constraints in hydro power reservoir management

In this paper, a model for (joint) dynamic chance constraints is proposed and applied to an optimization problem in water reservoir management. The model relies on discretization of the decision variables but keeps the probability distribution continuous. Our approach relies on calculating probabilities of rectangles which is particularly useful in the presence of independent random variables but works equally well in the case of correlated variables. Numerical results are provided for two and three stages.