Assessing the value of natural gas underground storage in the Brazilian system via stochastic dual dynamic programming

DOI10.1007/S11750-020-00575-WMaRDI QIDQ828757zbMATH OpenOpenAlexFDO

Authors Larissa de OliveiraResende, Bernardo Vieira Bezerra, Yasmin Monteiro Cyrillo, Davi Michel Valladão

Publication date 5 May 2021

Published in Top (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11750-020-00575-w

zbMATH Keywords

stochastic dual dynamic programmingBrazilian natural gas sectornatural gas supply chainunderground storage of natural gas

Mathematics Subject Classification ID

Dynamic programming (90C39) Stochastic programming (90C15) Inventory, storage, reservoirs (90B05)

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Cites work

• scientific article; zbMATH DE number 3340881 (Why is no real title available?)
• An approximate dynamic programming approach to benchmark practice-based heuristics for natural gas storage valuation
• Analysis of stochastic dual dynamic programming method
• Dynamic sampling algorithms for multi-stage stochastic programs with risk aversion
• JuMP: a modeling language for mathematical optimization
• Risk management for forestry planning under uncertainty in demand and prices
• Risk neutral and risk averse approaches to multistage renewable investment planning under uncertainty
• Risk neutral and risk averse stochastic dual dynamic programming method
• Time-consistent risk-constrained dynamic portfolio optimization with transactional costs and time-dependent returns
• Valuation of energy storage: an optimal switching approach
• Worst-case-expectation approach to optimization under uncertainty

Cited in

(3)

• Gas storage valuation applying numerically constructed recombining trees
• Multicriteria analysis of natural gas destination in Brazil: An application of the TODIM method
• Natural gas storage valuation and optimization under time-inhomogeneous exponential Lévy processes

Describes a project that uses

Uses Software

• SDDP
• JuMP

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