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This paper presents an optimal scheduling problem of a hydro-thermal system with annual water consumption constraints, which are motivated by the practical system in the Yellow River Basin of China. The high-dimensional, dynamic, nonlinear, and stochastic characteristics of hydro-thermal systems are considered in the optimization problem. The solution to the optimization problem is the best values of the first stage decision variables to be chosen now, given the system information on hand. The solution approach is nonlinear stochastic dual dynamic programming, which is based on the approximation of the expected-cost-to-go function of stochastic dynamic programming by a piecewise linear function. Numerical results are presented and discussed.