The Natural Gas Cash-Out Problem: A Bilevel Optimal Control Approach

Abstract EN

The aim of this paper is threefold: first, it formulates the natural gas cash-out problemas a bilevel optimal control problem (BOCP); second, it provides interesting theoreticalresults about Pontryagin-type optimality conditions for a general BOCP where the upperlevel boasts a Mayer-type cost function and pure state constraints, while the lower level is afinite-dimensional mixed-integer programming problem with exactly one binary variable;and third, it applies these theoretical results in order to find possible local minimizers of thenatural gas cash-out problem.