Natural gas cash-out problem: Bilevel stochastic optimization approach

被引：28
|
作者：
Kalashnikov, Vyacheslav V. [1 ]
Perez-Valdes, Gerardo A. [1 ]
Tomasgard, Asgeir [2 ]
Kalashnykova, Nataliya I. [3 ]
机构：
[1] ITESM, Dept Syst & Ind Engn, Monterrey 64849, Nuevo Leon, Mexico
[2] NTNU, Dept Ind Econ & Technol, NO-7491 Trondheim, Norway
[3] Univ Nuevo Leon, Dept Math & Phys, San Nicolas de los Garza 66450, Nuevo Leon, Mexico
来源：
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH | 2010年 / 206卷 / 01期
关键词：
Natural gas imbalance problem; Time series; Stochastic programming; NETWORK DESIGN PROBLEM; COMPLEMENTARITY MODEL; MARKET;
D O I：
10.1016/j.ejor.2010.02.018
中图分类号：
C93 [管理学];
学科分类号：
12 ; 1201 ; 1202 ; 120202 ;
摘要：
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. (C) 2010 Elsevier B.V. All rights reserved.
引用
收藏
页码：18 / 33
页数：16
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