Investment portfolios under uncertainty for utilizing natural gas resources

Rajab Khalilpour, I. A. Karimi

Research output: Contribution to journalArticleResearchpeer-review

Abstract

Numerous reasons including lower carbon and sulfur emissions have led to the rapid growth of natural gas (NG) demand. However, more than one-third of world NG reserves are stranded, i.e., either remote (e.g., offshore) or in regions with saturated markets. This reality makes the investment decisions complex and uncertain for NG field developers. In this study, we consider the case of a company that wishes to develop a stranded natural gas reserve for some potential nearby markets under uncertain prices of crude oil and feed gas, and demands of liquefied NG (LNG), compressed NG (CNG), and gas-to-liquid (GTL) products. We present a 2-stage stochastic mixed-integer linear program (MILP) that yields maximum-ENPV (expected NPV) decisions on production capacities, market allocations, and delivery vessels. The small model size allows us to consider many stochastic scenarios in our scenario-based approach. We illustrate our approach using several examples.

Original languageEnglish
Pages (from-to)1827-1837
Number of pages11
JournalComputers and Chemical Engineering
Volume35
Issue number9
DOIs
Publication statusPublished - 14 Sep 2011
Externally publishedYes

Keywords

  • CNG
  • Gas utilization
  • GTL
  • LNG
  • Natural gas
  • Portfolio optimization
  • Stranded fields

Cite this

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Investment portfolios under uncertainty for utilizing natural gas resources. / Khalilpour, Rajab; Karimi, I. A.

In: Computers and Chemical Engineering, Vol. 35, No. 9, 14.09.2011, p. 1827-1837.

Research output: Contribution to journalArticleResearchpeer-review

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