Invited Session Thu.2.MA 549

Thursday, 13:15 - 14:45 h, Room: MA 549

Cluster 18: Optimization in energy systems [...]

Optimization in the natural gas markets

 

Chair: Guillaume Erbs

 

 

Thursday, 13:15 - 13:40 h, Room: MA 549, Talk 1

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.

 

 

Thursday, 13:45 - 14:10 h, Room: MA 549, Talk 2

Abada Ibrahim
A stochastic generalized Nash-Cournot model for the European gas market. The S-GaMMES model.

Coauthor: Jouvet Pierre André

 

Abstract:
We present a Stochastic Generalized Nash-Cournot model of the gas markets. The major gas chain players are depicted. We consider market power and the demand representation captures the fuel substitution and the fluctuation of the oil price. Long-term contracts as well as production and pipeline investments are endogenous. The model has been applied to represent the European gas market and forecast consumption, prices, production and foreign dependence till 2030. Finally, we have calculated the value of the stochastic solution.

 

 

Thursday, 14:15 - 14:40 h, Room: MA 549, Talk 3

Asgeir Tomasgard
Multi-stage stochastic programming for natural gas infrastructure design

Coauthors: Lars Hellemo, Kjetil Midthun, Adrian Werner

 

Abstract:
We present a multi-stage stochastic model that analyzes investments in natural gas fields and infrastructure. New projects are evaluated together with existing infrastructure and planned expansions.
Several uncertain factors both upstream and downstream such as reservoir volumes, the composition of the gas in new reservoirs, market demand and price levels can influence the optimal decisions. The model focuses also on the impact of the sequencing of field developments and new infrastructure on the expected security of supply. Inorder to analyze all these aspects in one model, we propose a novel approach to scenario trees, combining long-term and short-term uncertainty. Dimensionality and solution times of realistic investment cases from the Norwegian Continental Shelf are discussed. Experience from a parallel implementation of branch-and-fix coordination is summarized.

 

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