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Kalashnikov V.V.,Campus Monterrey Monterrey | Perez-Valdes G.A.,Campus Monterrey Monterrey | Kalashnykova N.I.,Autonomous University of Nuevo León
IIE Annual Conference and Expo 2010 Proceedings | Year: 2010

Because of recent laws passed by the United States and the European Union regarding the state of their respective industries of natural gas, a number of problems have risen form the newly created relationships among the interested parties. Specifically, we speak of the cash-out policy on imbalances that a Pipeline Operating Company and a Shipping Company face in their daily interaction. We present here a Bilevel Linear Stochastic Optimization Problem with Recourse that abstracts the system analyzed. The obtained experimental results suggest that our model poses a significant advantage over other, less refined approaches. Namely, after reducing the upper level problem to an "almost" linear programming one and inducing a probability distribution on a set of possible deviations in the predicted price values of the supplied gas, the stochastic programming problem is reduced to a deterministic one. A branch-And-bound type algorithm solving the obtained problem is described, and preliminary numerical experiments results are reported.

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