Robust Strategies for Natural Gas Procurement

摘要

In order to serve their customers, natural gas local distribution companies (LDCs) can select from a variety of financialand non-financial contracts. The present paper is concerned with the choice of an appropriate portfolio of natural gassupply mix that would allow a LDC to satisfy its demand with a minimum trade-off between cost and risk, while takinginto account risk associated with modeling error. We propose a simulation framework to construct robust strategies asconvex combinations of dynamic and naive strategies taking advantage of the diversification effect.