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Natural gas cash-out problem: Bilevel stochastic optimization approach

Listed author(s):
  • Kalashnikov, Vyacheslav V.
  • Pérez-Valdés, Gerardo A.
  • Tomasgard, Asgeir
  • Kalashnykova, Nataliya I.
Registered author(s):

    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.

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    File URL: http://www.sciencedirect.com/science/article/pii/S0377-2217(10)00123-2
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    Article provided by Elsevier in its journal European Journal of Operational Research.

    Volume (Year): 206 (2010)
    Issue (Month): 1 (October)
    Pages: 18-33

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    Handle: RePEc:eee:ejores:v:206:y:2010:i:1:p:18-33
    Contact details of provider: Web page: http://www.elsevier.com/locate/eor

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    9. Dempe, Stephan & Kalashnikov, Vyacheslav & Rios-Mercado, Roger Z., 2005. "Discrete bilevel programming: Application to a natural gas cash-out problem," European Journal of Operational Research, Elsevier, vol. 166(2), pages 469-488, October.
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