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IMA Journal of Management Mathematics Advance Access published online on June 16, 2009
IMA Journal of Management Mathematics, doi:10.1093/imaman/dpp011
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© The authors 2009. Published by Oxford University Press on behalf of the Institute of Mathematics and its Applications. All rights reserved.

A stochastic optimization model for gas retail with temperature scenarios and oil price parameters

F. Maggioni{dagger}, M. Bertocchi and R. Giacometti

Department of Mathematics, Statistics, Computing and Applications, University of Bergamo, Via dei Caniana 2, Bergamo 24127, Italy

M. T. Vespucci and M. Innorta

Department of Informatics and Mathematical Modeling, University of Bergamo, Via Marconi 5, Dalmine 24044, Italy

E. Allevi

Department of Quantitative Methods, University of Brescia, Contrada S. Chiara, 50, Brescia 25122, Italy

{dagger} Corresponding author. Email: francesca.maggioni{at}unibg.it

Received on 3 August 2007. Accepted on 19 January 2008.

The paper deals with a new stochastic optimization model, named Optimization Modelling for Gas Seller–Second Stochastic Version (OMoGaS–2SV), to assist companies dealing with gas retail commercialization. We consider temperature as a source of stochasticity, but we take into account also information on energy-related indices. Temperature influences gas consumption of small consumers and is modelled by a mean reverting process. Oil prices and exchange rates influence the energy-related indices to which sell and purchase prices are related. Forward curves of these are analyzed by a vector autoregressive model while exchange rates are modelled by a generalized autoregressive conditional heteroskedasticity model. The profit function depends on the number of contracts with the final consumers, the typology of such consumers, the cost supported to meet the final demand and penalties for daily maximum consumption exceeding daily maximum capacity. Linear constraints related to a maximum daily gas consumption and binary constraints on indexation formulas are included.

Keywords: gas sale company; energy-related indices; mean reverting process; stochastic programming


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