A joint model of probabilistic/robust constraints for gas transport management in stationary networks

T. González Grandón (), H. Heitsch () and R. Henrion ()
Additional contact information
T. González Grandón: Humboldt University Berlin
H. Heitsch: Weierstrass Institute for Applied Analysis and Stochastics
R. Henrion: Weierstrass Institute for Applied Analysis and Stochastics

Computational Management Science, 2017, vol. 14, issue 3, No 7, 443-460

Abstract: Abstract We present a novel mathematical algorithm to assist gas network operators in managing uncertainty, while increasing reliability of transmission and supply. As a result, we solve an optimization problem with a joint probabilistic constraint over an infinite system of random inequalities. Such models arise in the presence of uncertain parameters having partially stochastic and partially non-stochastic character. The application that drives this new approach is a stationary network with uncertain demand (which are stochastic due to the possibility of fitting statistical distributions based on historical measurements) and with uncertain roughness coefficients in the pipes (which are uncertain but non-stochastic due to a lack of attainable measurements). We study the sensitivity of local uncertainties in the roughness coefficients and their impact on a highly reliable network operation. In particular, we are going to answer the question, what is the maximum uncertainty that is allowed (shaping a ’maximal’ uncertainty set) around nominal roughness coefficients, such that random demands in a stationary gas network can be satisfied at given high probability level for no matter which realization of true roughness coefficients within the uncertainty set. One ends up with a constraint, which is probabilistic with respect to the load of gas and robust with respect to the roughness coefficients. We demonstrate how such constraints can be dealt with in the framework of the so-called spheric-radial decomposition of multivariate Gaussian distributions. The numerical solution of a corresponding optimization problem is illustrated. The results might assist the network operator with the implementation of cost-intensive roughness measurements.

Keywords: Chance constraint; Robust constraint; Uncertainty set; Spheric-radial decomposition (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (6)

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DOI: 10.1007/s10287-017-0284-7

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