AN EXAMINATION OF MULTIPLE OPTIMIZATION APPROACHES TO THE SCHEDULING OF MULTI-PERIOD MIXED-BTU NATURAL GAS PRODUCTS

As worldwide production and consumption of natural gas increase, so does the importance of maximizing profit when trading this commodity in a highly competitive market. Decisions regarding the buying, storing and selling of natural gas are difficult in the face of high volatility of prices and uncertain demand. With the introduction of alternative sources of fuels with lower levels of methane, the primary component of natural gas, these decisions become more complicated. This is an issue faced by investors as well as operational planners of industrial and commercial consumers of natural gas where incorrect planning decisions can be costly.A great deal of research in the academic and commercial arenas has been accomplished regarding the problem of optimizing the scheduling of injection and withdrawal of this commodity. While various commercial products have been in use for years and research on new approaches continues, one aspect of the problem that has received less attention is that of combining gases of different heat contents. This study examines multiple approaches to maximizing profits by optimally scheduling the purchase and storage of two gas products of different energy densities and the sales of the same in combination with a product that is a blend of the two. The result provides an initial basis for planners to improve decision making and minimize the cost of natural gas consumed.This multi-product multi-period finite (twelve-month) horizon product-mix problem is NP-Hard. The first approach developed is a Branch and Bound (B&B) technique combined with a linear program (LP) solver. Heuristics are applied to limit the expansion the trinomial tree generated. In the second approach, a stochastic search algorithm-linear programming hybrid (SS-LP) is developed. The third approach implemented is a pure random search (PRS). To make each technique computationally tractable, constraints on the units of product moved in each transaction are implemented.Then, using numerical data, the three approaches are tested, analyzed and compared statistically and graphically along with computer performance information. The best approach provides a tool for optimizing profits and offers planners an advantage over approaches that are solely history-based

A Heuristic Simulation and Optimization Algorithm for Large Scale Natural Gas Storage Valuation under Uncertainty

Natural gas storage valuation is an optimal scheduling of natural gas storage facilities. It is a complex predictive decision making research problem since it involves the financial decisions and the physical storage facility characteristics. The challenge arises from large scale stochastic input data sets and complex mathematical models. Research in the literature has been heavily focused on the financial facet of the valuation with little emphasis on the physical storage facility characteristics. The mathematical models and the solution approaches provided in the literature so far are also either overly simplified or are only relevant for very small scale problems. The contribution of this research is on the physical storage facility characteristics in combination with the financial aspect of the natural gas storage valuation. A large scale stochastic non-linear natural gas storage valuation problem that includes underground and aboveground storage facilities is formulated and solved efficiently. A new heuristic simulation and optimization natural gas storage valuation algorithm that handles a very complex and large size problems is proposed. The algorithm (i) decreases significantly the computation time from hundreds of days to fractions of a second, (ii) provides a reasonable solution quality, and (iii) incorporates all the possible underground and aboveground physical gas storage facility complexities. The research has both practical applications and mathematical significance. Practically, natural gas storage facility managers can use the models developed in this research as decision support tools to make a predictive storage decision under uncertainty within a reasonable time. Mathematically, a novel perspective to solving a non-linear natural gas storage facilities valuation problem is provided. Such approach can be used in a variety of applications; for instance, the algorithm can be applied to a high penetration of renewables to electric power grid and fluid flow network optimization among others