Stochastic optimization of natural gas portfolios

Abstract

The liberalization of the European gas market causes significant changes in the natural gas sector as enterprises are now confronted with an environment of competition. So, an optimization of the portfolio of a natural gas trading enterprise becomes necessary, while planning uncertainties as well as technical and economical restrictions have to be considered. Therefore, in this work, a newly developed optimization method for calculating a profit-maximizing natural gas portfolio under consideration of planning uncertainties as well as technical and economical restrictions is developed. A standard mathematical solver is used to solve the optimization problem, which can be modeled as a mixed integer quadratic problem. First exemplary results show a significant optimization potential, which rises with the number of degrees of freedom and proves the functionality of the method for optimized deterministic and stochastic scenarios.