Global optimization for the multilevel European gas market system with nonlinear flow models on trees

Lars Schewe (), Martin Schmidt () and Johannes Thürauf ()
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Lars Schewe: University of Edinburgh
Martin Schmidt: Trier University
Johannes Thürauf: Trier University

Journal of Global Optimization, 2022, vol. 82, issue 3, No 10, 627-653

Abstract: Abstract The European gas market is implemented as an entry-exit system, which aims to decouple transport and trading of gas. It has been modeled in the literature as a multilevel problem, which contains a nonlinear flow model of gas physics. Besides the multilevel structure and the nonlinear flow model, the computation of so-called technical capacities is another major challenge. These lead to nonlinear adjustable robust constraints that are computationally intractable in general. We provide techniques to equivalently reformulate these nonlinear adjustable constraints as finitely many convex constraints including integer variables in the case that the underlying network is tree-shaped. We further derive additional combinatorial constraints that significantly speed up the solution process. Using our results, we can recast the multilevel model as a single-level nonconvex mixed-integer nonlinear problem, which we then solve on a real-world network, namely the Greek gas network, to global optimality. Overall, this is the first time that the considered multilevel entry-exit system can be solved for a real-world sized network and a nonlinear flow model.

Keywords: European entry-exit gas market; Multilevel optimization; Robust optimization; Mixed-integer nonlinear optimization; Nonlinear flows; 90B10; 90C26; 90C35; 90C90 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (3)

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DOI: 10.1007/s10898-021-01099-8

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