Natural gas cash-out problem: Bilevel stochastic optimization approach

Vyacheslav V. Kalashnikov, Gerardo A. Pérez-Valdés, Asgeir Tomasgard and Nataliya I. Kalashnykova

European Journal of Operational Research, 2010, vol. 206, issue 1, 18-33

Abstract: A stochastic formulation of the natural gas cash-out problem is given in a form of a bilevel multi-stage stochastic programming model with recourse. After reducing the original formulation to a bilevel linear problem, a stochastic scenario tree is defined by its node events, and time series forecasting is used to produce stochastic values for data of natural gas price and demand. Numerical experiments were run to compare the stochastic solution with the perfect information solution and the expected value solutions.

Keywords: Natural; gas; imbalance; problem; Time; series; Stochastic; programming (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:206:y:2010:i:1:p:18-33

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