Weather forecast information will very likely find increasing application in the control of future energy systems. In this paper, we introduce an augmented state space model formulation with linear dynamics, within which one can incorporate forecast information that is dynamically revealed alongside the evolution of the underlying state variable. We use the martingale model for forecast evolution (MMFE) to enforce the necessary consistency properties that must govern the joint evolution of forecasts with the underlying state. The formulation also generates jointly Markovian dynamics that give rise to Markov decision processes (MDPs) that remain computationally tractable. This paper is the first to enforce MMFE consistency requirements within an MDP formulation that preserves tractability.

This article is part of the theme issue ‘The mathematics of energy systems’.

天气预报信息很可能在未来能源系统的控制中得到越来越多的应用。在本文中，我们介绍了一种具有线性动力学的增强状态空间模型公式，其中可以结合预测信息，这些信息随着基础状态变量的演变而动态显示。我们使用预测演化的鞅模型 (MMFE) 来强制执行必要的一致性属性，这些属性必须控制预测与基础状态的联合演化。该公式还生成联合马尔可夫动力学，从而产生在计算上仍然易于处理的马尔可夫决策过程 (MDP)。本文是第一个在保持易处理性的 MDP 公式中强制执行 MMFE 一致性要求的论文。

这篇文章是主题问题“能源系统的数学”的一部分。