  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.
