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Natural gas cash-out problem: Bilevel stochastic optimization approach |
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| Authors: | Vyacheslav V Kalashnikov Gerardo A Pérez-Valdés Asgeir Tomasgard Nataliya I Kalashnykova |
| Institution: | 1. Department of Systems and Industrial Engineering, ITESM, Campus Monterrey (Tecnológico de Monterrey), av. Eugenio Garza Sada 2501 Sur, Monterrey, Nuevo León 64849, Mexico;2. Department of Industrial Economics and Technology Management, NTNU, Trondheim NO-7491, Norway;3. Physics and Mathematics Department, University of Nuevo León, San Nicolás de los Garza, Nuevo León 66450, Mexico |
| 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 |
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