Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
481763 | European Journal of Operational Research | 2010 | 16 Pages |
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
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Physical Sciences and Engineering
Computer Science
Computer Science (General)
Authors
Vyacheslav V. Kalashnikov, Gerardo A. Pérez-Valdés, Asgeir Tomasgard, Nataliya I. Kalashnykova,