As a first step, a theory of convex penalizations for the dual martingale approach has been developed on the simpler example of an optimal stopping problem, and its convergence properties have been explored (see [BHS15]). As a next step, a more complicated model of a system of coupled water reservoirs for electricity production is being considered. This model is coupled to a model of electricity prices on the spot market, involving day-ahead bids of the energy producers (see [LWM13]). For this model, a dual martingale approach is being developed which is elaborated enough to yield good upper bounds on the objective value yet simple enough to be solvable by the envisaged Monte-Carlo simulations.