IDEAS home Printed from
MyIDEAS: Log in (now much improved!) to save this article

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.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL:
    Download Restriction: Full text for ScienceDirect subscribers only

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Article provided by Elsevier in its journal European Journal of Operational Research.

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

    in new window

    Handle: RePEc:eee:ejores:v:206:y:2010:i:1:p:18-33
    Contact details of provider: Web page:

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

    in new window

    1. Hawdon, David, 2003. "Efficiency, performance and regulation of the international gas industry--a bootstrap DEA approach," Energy Policy, Elsevier, vol. 31(11), pages 1167-1178, September.
    2. Gabriel, Steven A. & Zhuang, Jifang & Kiet, Supat, 2005. "A large-scale linear complementarity model of the North American natural gas market," Energy Economics, Elsevier, vol. 27(4), pages 639-665, July.
    3. Egging, Ruud & Gabriel, Steven A. & Holz, Franziska & Zhuang, Jifang, 2008. "A complementarity model for the European natural gas market," Energy Policy, Elsevier, vol. 36(7), pages 2385-2414, July.
    4. Chiou, Suh-Wen, 2005. "Bilevel programming for the continuous transport network design problem," Transportation Research Part B: Methodological, Elsevier, vol. 39(4), pages 361-383, May.
    5. Cruz, F. R. B. & Smith, J. MacGregor & Mateus, G. R., 1999. "Algorithms for a multi-level network optimization problem," European Journal of Operational Research, Elsevier, vol. 118(1), pages 164-180, October.
    6. Arano, Kathleen G. & Blair, Benjamin F., 2008. "An ex-post welfare analysis of natural gas regulation in the industrial sector," Energy Economics, Elsevier, vol. 30(3), pages 789-806, May.
    7. Yang, Hai & Bell, Michael G. H., 2001. "Transport bilevel programming problems: recent methodological advances," Transportation Research Part B: Methodological, Elsevier, vol. 35(1), pages 1-4, January.
    8. Kabirian, Alireza & Hemmati, Mohammad Reza, 2007. "A strategic planning model for natural gas transmission networks," Energy Policy, Elsevier, vol. 35(11), pages 5656-5670, November.
    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.
    10. Esnault, Benoit, 2003. "The need for regulation of gas storage: the case of France," Energy Policy, Elsevier, vol. 31(2), pages 167-174, January.
    11. Ben-Ayed, Omar & Boyce, David E. & Blair, Charles E., 1988. "A general bilevel linear programming formulation of the network design problem," Transportation Research Part B: Methodological, Elsevier, vol. 22(4), pages 311-318, August.
    Full references (including those not matched with items on IDEAS)

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:eee:ejores:v:206:y:2010:i:1:p:18-33. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu)

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.