IDEAS home Printed from https://ideas.repec.org/r/inm/oropre/v58y2010i3p564-582.html
   My bibliography  Save this item

An Approximate Dynamic Programming Approach to Benchmark Practice-Based Heuristics for Natural Gas Storage Valuation

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Jiao Wang & Lima Zhao & Arnd Huchzermeier, 2021. "Operations‐Finance Interface in Risk Management: Research Evolution and Opportunities," Production and Operations Management, Production and Operations Management Society, vol. 30(2), pages 355-389, February.
  2. David B. Brown & James E. Smith, 2014. "Information Relaxations, Duality, and Convex Stochastic Dynamic Programs," Operations Research, INFORMS, vol. 62(6), pages 1394-1415, December.
  3. Mark Broadie & Weiwei Shen, 2016. "High-Dimensional Portfolio Optimization With Transaction Costs," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(04), pages 1-49, June.
  4. Amin Khademi & Denis R. Saure & Andrew J. Schaefer & Ronald S. Braithwaite & Mark S. Roberts, 2015. "The Price of Nonabandonment: HIV in Resource-Limited Settings," Manufacturing & Service Operations Management, INFORMS, vol. 17(4), pages 554-570, October.
  5. Nicola Secomandi, 2015. "Merchant Commodity Storage Practice Revisited," Operations Research, INFORMS, vol. 63(5), pages 1131-1143, October.
  6. V. Guigues & C. Sagastizábal & J. P. Zubelli, 2014. "Robust Management and Pricing of Liquefied Natural Gas Contracts with Cancelation Options," Journal of Optimization Theory and Applications, Springer, vol. 161(1), pages 179-198, April.
  7. Alessio Trivella & Danial Mohseni-Taheri & Selvaprabu Nadarajah, 2023. "Meeting Corporate Renewable Power Targets," Management Science, INFORMS, vol. 69(1), pages 491-512, January.
  8. Secomandi, Nicola, 2016. "A tutorial on portfolio-based control algorithms for merchant energy trading operations," Journal of Commodity Markets, Elsevier, vol. 4(1), pages 1-13.
  9. Guoming Lai & Mulan X. Wang & Sunder Kekre & Alan Scheller-Wolf & Nicola Secomandi, 2011. "Valuation of Storage at a Liquefied Natural Gas Terminal," Operations Research, INFORMS, vol. 59(3), pages 602-616, June.
  10. Somayeh Moazeni & Warren B. Powell & Boris Defourny & Belgacem Bouzaiene-Ayari, 2017. "Parallel Nonstationary Direct Policy Search for Risk-Averse Stochastic Optimization," INFORMS Journal on Computing, INFORMS, vol. 29(2), pages 332-349, May.
  11. Trigeorgis, Lenos & Tsekrekos, Andrianos E., 2018. "Real Options in Operations Research: A Review," European Journal of Operational Research, Elsevier, vol. 270(1), pages 1-24.
  12. Anna Maria Gambaro & Nicola Secomandi, 2021. "A Discussion of Non‐Gaussian Price Processes for Energy and Commodity Operations," Production and Operations Management, Production and Operations Management Society, vol. 30(1), pages 47-67, January.
  13. Majid Al‐Gwaiz & Xiuli Chao & H. Edwin Romeijn, 2016. "Capacity expansion and cost efficiency improvement in the warehouse problem," Naval Research Logistics (NRL), John Wiley & Sons, vol. 63(5), pages 367-373, August.
  14. Yangfang (Helen) Zhou & Alan Scheller‐Wolf & Nicola Secomandi & Stephen Smith, 2019. "Managing Wind‐Based Electricity Generation in the Presence of Storage and Transmission Capacity," Production and Operations Management, Production and Operations Management Society, vol. 28(4), pages 970-989, April.
  15. Secomandi, Nicola & Seppi, Duane J., 2014. "Real Options and Merchant Operations of Energy and Other Commodities," Foundations and Trends(R) in Technology, Information and Operations Management, now publishers, vol. 6(3-4), pages 161-331, July.
  16. Nadarajah, Selvaprabu & Secomandi, Nicola, 2023. "A review of the operations literature on real options in energy," European Journal of Operational Research, Elsevier, vol. 309(2), pages 469-487.
  17. Subodha Kumar & Rakesh R. Mallipeddi, 2022. "Impact of cybersecurity on operations and supply chain management: Emerging trends and future research directions," Production and Operations Management, Production and Operations Management Society, vol. 31(12), pages 4488-4500, December.
  18. David B. Brown & James E. Smith, 2013. "Optimal Sequential Exploration: Bandits, Clairvoyants, and Wildcats," Operations Research, INFORMS, vol. 61(3), pages 644-665, June.
  19. Amin Khademi & Burak Eksioglu, 2018. "Spare Parts Inventory Management with Substitution-Dependent Reliability," INFORMS Journal on Computing, INFORMS, vol. 30(3), pages 507-521, August.
  20. Nicola Secomandi & Guoming Lai & François Margot & Alan Scheller-Wolf & Duane J. Seppi, 2015. "Merchant Commodity Storage and Term-Structure Model Error," Manufacturing & Service Operations Management, INFORMS, vol. 17(3), pages 302-320, July.
  21. James Cruise & Lisa Flatley & Richard Gibbens & Stan Zachary, 2019. "Control of Energy Storage with Market Impact: Lagrangian Approach and Horizons," Operations Research, INFORMS, vol. 67(1), pages 1-9, January.
  22. Jochen Gönsch & Michael Hassler, 2016. "Sell or store? An ADP approach to marketing renewable energy," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 38(3), pages 633-660, July.
  23. Ilya O. Ryzhov & Martijn R. K. Mes & Warren B. Powell & Gerald van den Berg, 2019. "Bayesian Exploration for Approximate Dynamic Programming," Operations Research, INFORMS, vol. 67(1), pages 198-214, January.
  24. Christian Mandl & Selvaprabu Nadarajah & Stefan Minner & Srinagesh Gavirneni, 2022. "Data‐driven storage operations: Cross‐commodity backtest and structured policies," Production and Operations Management, Production and Operations Management Society, vol. 31(6), pages 2438-2456, June.
  25. A. Lust & K.-H. Waldmann, 2019. "A general storage model with applications to energy systems," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 41(1), pages 71-97, March.
  26. Lin Zhao & Sweder van Wijnbergen, 2015. "Asset Pricing in Incomplete Markets: Valuing Gas Storage Capacity," Tinbergen Institute Discussion Papers 15-104/VI/DSF95, Tinbergen Institute.
  27. Trotter, Ian M. & Gomes, Marília Fernandes Maciel & Braga, Marcelo José & Brochmann, Bjørn & Lie, Ole Nikolai, 2016. "Optimal LNG (liquefied natural gas) regasification scheduling for import terminals with storage," Energy, Elsevier, vol. 105(C), pages 80-88.
  28. Felix, Bastian Joachim & Weber, Christoph, 2012. "Gas storage valuation applying numerically constructed recombining trees," European Journal of Operational Research, Elsevier, vol. 216(1), pages 178-187.
  29. Selvaprabu Nadarajah & François Margot & Nicola Secomandi, 2015. "Relaxations of Approximate Linear Programs for the Real Option Management of Commodity Storage," Management Science, INFORMS, vol. 61(12), pages 3054-3076, December.
  30. J. Bonnans & Zhihao Cen & Thibault Christel, 2012. "Energy contracts management by stochastic programming techniques," Annals of Operations Research, Springer, vol. 200(1), pages 199-222, November.
  31. Owen Q. Wu & Derek D. Wang & Zhenwei Qin, 2012. "Seasonal Energy Storage Operations with Limited Flexibility: The Price-Adjusted Rolling Intrinsic Policy," Manufacturing & Service Operations Management, INFORMS, vol. 14(3), pages 455-471, July.
  32. Thompson, Matt, 2016. "Natural gas storage valuation, optimization, market and credit risk management," Journal of Commodity Markets, Elsevier, vol. 2(1), pages 26-44.
  33. Shixuan Zhang & Sheng Liu & Tianhu Deng & Zuo-Jun Max Shen, 2020. "Transient-State Natural Gas Transmission in Gunbarrel Pipeline Networks," INFORMS Journal on Computing, INFORMS, vol. 32(3), pages 697-713, July.
  34. John R. Birge, 2015. "OM Forum—Operations and Finance Interactions," Manufacturing & Service Operations Management, INFORMS, vol. 17(1), pages 4-15, February.
  35. Santiago R. Balseiro & David B. Brown, 2019. "Approximations to Stochastic Dynamic Programs via Information Relaxation Duality," Operations Research, INFORMS, vol. 67(2), pages 577-597, March.
  36. Radha Mookerjee & Subodha Kumar & Vijay S. Mookerjee, 2017. "Optimizing Performance-Based Internet Advertisement Campaigns," Operations Research, INFORMS, vol. 65(1), pages 38-54, February.
  37. Vijay V. Desai & Vivek F. Farias & Ciamac C. Moallemi, 2012. "Pathwise Optimization for Optimal Stopping Problems," Management Science, INFORMS, vol. 58(12), pages 2292-2308, December.
  38. Larissa de Oliveira Resende & Davi Valladão & Bernardo Vieira Bezerra & Yasmin Monteiro Cyrillo, 2021. "Assessing the value of natural gas underground storage in the Brazilian system via stochastic dual dynamic programming," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 29(1), pages 106-124, April.
  39. Nicola Secomandi & Mulan X. Wang, 2012. "A Computational Approach to the Real Option Management of Network Contracts for Natural Gas Pipeline Transport Capacity," Manufacturing & Service Operations Management, INFORMS, vol. 14(3), pages 441-454, July.
  40. David B. Brown & James E. Smith & Peng Sun, 2010. "Information Relaxations and Duality in Stochastic Dynamic Programs," Operations Research, INFORMS, vol. 58(4-part-1), pages 785-801, August.
  41. Alain Bensoussan & Benoît Chevalier‐Roignant & Alejandro Rivera, 2022. "A model for wind farm management with option interactions," Production and Operations Management, Production and Operations Management Society, vol. 31(7), pages 2853-2871, July.
  42. Radha Mookerjee & Subodha Kumar & Vijay S. Mookerjee, 2017. "Optimizing Performance-Based Internet Advertisement Campaigns," Operations Research, INFORMS, vol. 65(1), pages 38-54, February.
  43. Nadarajah, Selvaprabu & Margot, François & Secomandi, Nicola, 2017. "Comparison of least squares Monte Carlo methods with applications to energy real options," European Journal of Operational Research, Elsevier, vol. 256(1), pages 196-204.
  44. Alain Bensoussan & Benoit Chevalier-Roignant & Alejandro Rivera, 2022. "A model for wind farm management with option interactions," Post-Print hal-04325553, HAL.
  45. Löhndorf, Nils & Wozabal, David, 2021. "Gas storage valuation in incomplete markets," European Journal of Operational Research, Elsevier, vol. 288(1), pages 318-330.
  46. Cummins, Mark & Kiely, Greg & Murphy, Bernard, 2018. "Gas storage valuation under multifactor Lévy processes," Journal of Banking & Finance, Elsevier, vol. 95(C), pages 167-184.
  47. Daniel R. Jiang & Warren B. Powell, 2015. "Optimal Hour-Ahead Bidding in the Real-Time Electricity Market with Battery Storage Using Approximate Dynamic Programming," INFORMS Journal on Computing, INFORMS, vol. 27(3), pages 525-543, August.
  48. David B. Brown & Martin B. Haugh, 2017. "Information Relaxation Bounds for Infinite Horizon Markov Decision Processes," Operations Research, INFORMS, vol. 65(5), pages 1355-1379, October.
  49. Amir Ali Nasrollahzadeh & Amin Khademi & Maria E. Mayorga, 2018. "Real-Time Ambulance Dispatching and Relocation," Manufacturing & Service Operations Management, INFORMS, vol. 20(3), pages 467-480, July.
  50. Sripad K. Devalkar & Ravi Anupindi & Amitabh Sinha, 2011. "Integrated Optimization of Procurement, Processing, and Trade of Commodities," Operations Research, INFORMS, vol. 59(6), pages 1369-1381, December.
  51. Sripad K. Devalkar & Ravi Anupindi & Amitabh Sinha, 2018. "Dynamic Risk Management of Commodity Operations: Model and Analysis," Manufacturing & Service Operations Management, INFORMS, vol. 20(2), pages 317-332, May.
  52. Zhen Sun & Milind Dawande & Ganesh Janakiraman & Vijay Mookerjee, 2017. "Not Just a Fad: Optimal Sequencing in Mobile In-App Advertising," Information Systems Research, INFORMS, vol. 28(3), pages 511-528, September.
  53. Alessio Trivella & Selvaprabu Nadarajah & Stein-Erik Fleten & Denis Mazieres & David Pisinger, 2021. "Managing Shutdown Decisions in Merchant Commodity and Energy Production: A Social Commerce Perspective," Manufacturing & Service Operations Management, INFORMS, vol. 23(2), pages 311-330, March.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.