Thursday, 13:15 - 13:40 h, Room: MA 549

 

Guillaume Erbs
Application of stochastic dual dynamic programming to the analysis of natural gas markets

Coauthor: Romain Apparigliato

 

Abstract:
With their liberalization, the natural gas markets constitute an increasingly complex and uncertain environment. In order to model such a system, one has to take into account the various assets that are used along the chain: production, transport (pipeline or LNG) and storage. In this presentation, we make the assumption of perfect competition and we focus on the uncertainty on consumption (i.e., we make the assumption of a risk neutral central planner).
The considered problem is a multiperiod stochastic problem with a great number of assets and periods. The stochastic dual dynamic programming algorithm (Pereira and Pinto 1991) is well suited for this kind of problems. It constructs an approximation of the Bellmann functions by sampling the uncertainty and is widely used for hydro-power systems planning for its performance in practice. We will talk about its application to a natural gas system.

 

Talk 1 of the invited session Thu.2.MA 549
"Optimization in the natural gas markets" [...]
Cluster 18
"Optimization in energy systems" [...]

 

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