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Injection/withdrawal scheduling for natural gas storage facilities

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Alan HollandAuthors Info & Claims

SAC '07: Proceedings of the 2007 ACM symposium on Applied computing

Pages 332 - 333

https://doi.org/10.1145/1244002.1244080

Published: 11 March 2007 Publication History

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Abstract

Control decisions for gas storage facilities are made in the face of extreme uncertainty over future natural gas prices on world markets. We examine the problem faced by owners of storage contracts of how to manage the injection/withdrawal schedule of gas, given past price behavior and a predictive model of future prices. Real options theory provides a framework for making such decisions. We describe the theory behind our model and a software application that seeks to optimize the expected value of the storage facility, given capacity and deliverability constraints, via Monte-Carlo simulation. Our approach also allows us to determine an upper bound on the expected valuation of the remaining storage facility contract and the gas stored therein.

References

[1]

Hyungsok Ahn, Albina Danilova, and Glen Swindle. Storing arb. Wilmott, 1, 2002.

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[2]

Mike Ludkovski. Optimal switching with application to energy tolling agreements. PhD thesis, Princeton University, 2005.

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[3]

Ken Silverstein. More storage may be key to managing natural gas prices. PowerMarketers Industry Publications, October 2004.

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[4]

Matt Thompson, Matt Davison, and Henning Rasmussen. Natural gas storage valuation and optimization: A real options application. preprint.

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Cited By

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Gómez-Villarreal HCarrión MDomínguez R(2019)Optimal Management of Combined-Cycle Gas Units with Gas Storage under UncertaintyEnergies10.3390/en1301011313:1(113)Online publication date: 24-Dec-2019
https://doi.org/10.3390/en13010113
Bond MGrant FHill RKuhl M(2013)Hybridized optimization approaches to the scheduling of multi-period mixed-Btu natural gas productsProceedings of the 2013 Winter Simulation Conference: Simulation: Making Decisions in a Complex World10.5555/2675983.2676118(1068-1078)Online publication date: 8-Dec-2013
https://dl.acm.org/doi/10.5555/2675983.2676118
Bond MGrant F(2013)Hybridized optimization approaches to the scheduling of multi-period mixed-Btu natural gas products2013 Winter Simulations Conference (WSC)10.1109/WSC.2013.6721496(1068-1078)Online publication date: Dec-2013
https://doi.org/10.1109/WSC.2013.6721496
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Injection/withdrawal scheduling for natural gas storage facilities

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Information

Published In

SAC '07: Proceedings of the 2007 ACM symposium on Applied computing

March 2007

1688 pages

ISBN:1595934804

DOI:10.1145/1244002

Conference Chairs:
Yookun Cho
Seoul National University, Seoul, Korea
,
Roger L. Wainwright
University of Tulsa, Tulsa, Oklahoma
,
Hisham M. Haddad
Kennesaw State University, Kennesaw, Georgia
,
Sung Y. Shin
South Dakota State University, Brookings, South Dakota
,
Program Chair:
Yong Wan Koo
The University of Suwon, Gyeongggi-do, Korea

Permission to make digital or hard copies of all or part of this work for personal or classroom use is granted without fee provided that copies are not made or distributed for profit or commercial advantage and that copies bear this notice and the full citation on the first page. Copyrights for components of this work owned by others than ACM must be honored. Abstracting with credit is permitted. To copy otherwise, or republish, to post on servers or to redistribute to lists, requires prior specific permission and/or a fee. Request permissions from [email protected]

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Association for Computing Machinery

New York, NY, United States

Publication History

Published: 11 March 2007

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SAC07

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SIGAPP

SAC07: The 2007 ACM Symposium on Applied Computing

March 11 - 15, 2007

Seoul, Korea

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Overall Acceptance Rate 1,650 of 6,669 submissions, 25%

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Cited By

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Gómez-Villarreal HCarrión MDomínguez R(2019)Optimal Management of Combined-Cycle Gas Units with Gas Storage under UncertaintyEnergies10.3390/en1301011313:1(113)Online publication date: 24-Dec-2019
https://doi.org/10.3390/en13010113
Bond MGrant FHill RKuhl M(2013)Hybridized optimization approaches to the scheduling of multi-period mixed-Btu natural gas productsProceedings of the 2013 Winter Simulation Conference: Simulation: Making Decisions in a Complex World10.5555/2675983.2676118(1068-1078)Online publication date: 8-Dec-2013
https://dl.acm.org/doi/10.5555/2675983.2676118
Bond MGrant F(2013)Hybridized optimization approaches to the scheduling of multi-period mixed-Btu natural gas products2013 Winter Simulations Conference (WSC)10.1109/WSC.2013.6721496(1068-1078)Online publication date: Dec-2013
https://doi.org/10.1109/WSC.2013.6721496
Holland A(2010)A Decision Support System for Energy Storage TradersArtificial Intelligence and Cognitive Science10.1007/978-3-642-17080-5_34(291-292)Online publication date: 2010
https://doi.org/10.1007/978-3-642-17080-5_34
Holland A(2009)A decision support system for energy storage tradersProceedings of the 20th Irish conference on Artificial intelligence and cognitive science10.5555/1939047.1939084(291-292)Online publication date: 19-Aug-2009
https://dl.acm.org/doi/10.5555/1939047.1939084
Holland A(2009)Strategic interaction in ratcheted gas storage2009 7th IEEE International Conference on Industrial Informatics10.1109/INDIN.2009.5195811(244-249)Online publication date: Jun-2009
https://doi.org/10.1109/INDIN.2009.5195811
Holland A(2008)Optimization of Injection/Withdrawal Schedules for Natural Gas Storage FacilitiesApplications and Innovations in Intelligent Systems XV10.1007/978-1-84800-086-5_21(287-300)Online publication date: 2008
https://doi.org/10.1007/978-1-84800-086-5_21

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