We consider the challenging practical problem of optimizing the power production of a complex of hydroelectric power plants, which involves control over three continuous action variables, uncertainty in the amount of water inflows and a variety of constraints that need to be satisfied. We propose a policy-search-based approach coupled with predictive modelling to address this problem. This approach has some key advantages compared to other alternatives, such as dynamic programming: the policy representation and search algorithm can conveniently incorporate domain knowledge; the resulting policies are easy to interpret, and the algorithm is naturally parallelizable. Our algorithm obtains a policy which outperforms the solution found by dynamic programming both quantitatively and qualitatively.