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Multi-objective optimization of crude oil-supply portfolio based on interval prediction data

Author

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  • Xiaolei Sun

    (Chinese Academy of Sciences
    University of Chinese Academy of Sciences)

  • Jun Hao

    (Chinese Academy of Sciences
    University of Chinese Academy of Sciences)

  • Jianping Li

    (Chinese Academy of Sciences
    University of Chinese Academy of Sciences)

Abstract

The optimization of crude oil-supply portfolio is a hot research issue in energy security, which is closely related to the implementation of national strategy and development of economy. Forecasting the demand of crude oil is the basis for portfolio optimization. Therefore, this paper innovatively introduces the decomposition hybrid interval prediction method and proposes a multi-objective programming model in order to provide decision-making support for the formulation of crude oil-supply portfolio scheme. Under the constraints of volume, price and risk, the minimum cost and risk of importing crude oil are achieved. Furthermore, by introducing optimization parameters and risk preference factors, and setting different scenarios for numerical simulation, the results show that (1) decomposition hybrid prediction methods perform better than single prediction methods. (2) As the optimization parameter increases, costs and risks are significantly decreased. Decision-makers can set large parameters to achieve significant optimization of the objective function. (3) The total cost of imported crude oil fluctuates sharply, while the total risk decreases with the increase of risk preference factors under the different scenarios. (4) The fluctuation of price and risk adjustment factors will cause the change of oil-supply portfolio optimization scheme.

Suggested Citation

  • Xiaolei Sun & Jun Hao & Jianping Li, 2022. "Multi-objective optimization of crude oil-supply portfolio based on interval prediction data," Annals of Operations Research, Springer, vol. 309(2), pages 611-639, February.
    • Handle: RePEc:spr:annopr:v:309:y:2022:i:2:d:10.1007_s10479-020-03701-w
    DOI: 10.1007/s10479-020-03701-w
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