Natural gas cash-out problem: Bilevel stochastic optimization approach
| Autor: | Asgeir Tomasgard, Nataliya I. Kalashnykova, Vyacheslav V. Kalashnikov, Gerardo A. Pérez-Valdés |
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| Rok vydání: | 2010 |
| Předmět: |
Mathematical optimization
Continuous-time stochastic process Information Systems and Management General Computer Science Stochastic modelling Perfect information Management Science and Operations Research Bilevel optimization Industrial and Manufacturing Engineering Stochastic programming Modeling and Simulation Stochastic optimization Node (circuits) Time series Mathematics |
| Zdroj: | European Journal of Operational Research. 206:18-33 |
| ISSN: | 0377-2217 |
| Popis: | 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. |
| Databáze: | OpenAIRE |
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