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We propose a framework that allows to quantitatively analyze the interplay of the different agents involved in gas trade and transport in the context of the European entry-exit system. While previous contributions focus on the case of perfectly competitive buyers and sellers of gas, our novel framework considers the mathematically more challenging case of a strategic and monopolistic gas seller. We present a multilevel framework that is suitable to capture the sequential nature of the decisions taken. We then derive sufficient conditions that allow for reformulating the challenging four-level model as a computationally tractable single-level reformulation. We prove the correctness of this reformulation and use it for solving several test instances to illustrate the applicability of our approach.

Robust and bilevel optimization share the common feature that they involve a certain multilevel structure. Hence, although they model something rather different when used in practice, they seem to have a similar mathematical structure. In this paper, we analyze the connections between different types of robust problems (strictly robust problems with and without decision-dependence of their uncertainty sets, min-max-regret problems, and two-stage robust problems) as well as of bilevel problems (optimistic problems, pessimistic problems, and robust bilevel problems). It turns out that bilevel optimization seems to be more general in the sense that for most types of robust problems, one can find proper reformulations as bilevel problems but not necessarily the other way around. We hope that these results pave the way for a stronger connection between the two fields - in particular to use both theory and algorithms from one field in the other and vice versa.

The economics of global green ammonia trade – "Shipping Australian wind and sunshine to Germany"
(2023)

This paper contributes to understanding the transformation of global energy trade to green energy carriers, focusing on green ammonia as the foreseeable first green hydrogen carrier. We provide a comprehensive overview of today's ammonia trade and assess scaling options for the trade of green ammonia. To that aim, we develop an optimization model for the integrated assessment of the green ammonia value chain that covers all steps from green ammonia production in an exporting country, up to delivery to a harbor in an importing country. The model endogenously chooses among different technology options and determines cost minimal operation. In a case study, we apply the model to the large-scale import of ammonia from Australia to Germany in a scenario for 2030. The results show that green ammonia can reach cost parity with gray ammonia even for moderate gas prices (but not necessarily with blue ammonia) if CO2 prices are high enough. We also provide a sensitivity analysis with respect to the interest rate and other key technical and economic parameters and show that cracking ammonia to provide pure hydrogen comes at a 45 % cost markup per MWh at the destination.

Although modern societies strive towards energy systems that are entirely based on renewable energy carriers, natural gas is still one of the most important energy sources. This became even more obvious in Europe with Russia's 2022 war against the Ukraine and the resulting stop of gas supplies from Russia. Besides that it is very important to use this scarce resource efficiently. To this end, it is also of significant relevance that its transport is organized in the most efficient, i.e., cost- or energy-efficient, way. The corresponding mathematical optimization models have gained a lot of attention in the last decades in different optimization communities. These models are highly nonlinear mixed-integer problems that are constrained by algebraic constraints and partial differential equations (PDEs), which usually leads to models that are not tractable. Hence, simplifications have to be made and in this chapter, we present a commonly accepted finite-dimensional stationary model, i.e., a model in which the steady-state solutions of the PDEs are approximated with algebraic constraints. For more details about the involved PDEs and the treatment of transient descriptions we refer to Hante and Schmidt (2023). The presented finite-dimensional as well as mixed-integer nonlinear and nonconvex model is still highly challenging if it needs to be solved for real-world gas transport networks. Hence, we also review some classic solution approaches from the literature.

The optimal control of gas transport networks was and still is a very important topic for modern economies and societies. Accordingly, a lot of research has been carried out on this topic during the last years and decades. Besides mixed-integer aspects in gas transport network optimization, one of the main challenges is that a physically and technically detailed modeling of transient gas dynamics leads to theoretically and computationally highly demanding models involving nonlinear partial differential equations (PDEs). For further background on the application, historical notes and a detailed discussion of mixed-integer aspects for stationary descriptions we refer to Hante and Schmidt (2023). In this chapter, we focus on the most common modeling approaches concerning transient descriptions, point out the challenges, and summarize important contributions concerning the optimization of the most relevant control parameters for this particular class of problems.

We consider dynamic gas transport optimization problems, which lead to large-scale and nonconvex mixed-integer nonlinear optimization problems (MINLPs) on graphs. Usually, the resulting instances are too challenging to be solved by state-of-the-art MINLP solvers. In this paper, we use graph decompositions to obtain multiple optimization problems on smaller blocks, which can be solved in parallel and which may result in simpler classes of optimization problems since not every block necessarily contains mixed-integer or nonlinear aspects. For achieving feasibility at the interfaces of the several blocks, we employ a tailored consensus-based penalty alternating direction method. Our numerical results show that such decomposition techniques can outperform the baseline approach of just solving the overall MINLP from scratch. However, a complete answer to the question of how to decompose MINLPs on graphs in dependence of the given model is still an open topic for future research.

We study network flow interdiction problems with nonlinear and nonconvex flow models. The resulting model is a max-min bilevel optimization problem in which the follower's problem is nonlinear and nonconvex. In this game, the leader attacks a limited number of arcs with the goal to maximize the load shed and the follower aims at minimizing the load shed by solving a transport problem in the interdicted network. We develop an exact algorithm consisting of lower and upper bounding schemes that computes an optimal interdiction under the assumption that the interdicted network remains weakly connected. The main challenge consists of computing valid upper bounds for the maximal load shed, whereas lower bounds can directly be derived from the follower's problem. To compute an upper bound, we propose solving a specific bilevel problem, which is derived from restricting the flexibility of the follower when adjusting the load flow. This bilevel problem still has a nonlinear and nonconvex follower's problem, for which we then prove necessary and sufficient optimality conditions. Consequently, we obtain equivalent single-level reformulations of the specific bilevel model to compute upper bounds. Our numerical results show the applicability of this exact approach using the example of gas networks.

We present a novel method for mixed-integer optimization problems with multivariate and Lipschitz continuous nonlinearities. In particular, we do not assume that the nonlinear constraints are explicitly given but that we can only evaluate them and that we know their global Lipschitz constants. The algorithm is a successive linear relaxation method in which we alternate between solving a master problem, which is a mixed-integer linear relaxation of the original problem, and a subproblem, which is designed to tighten the linear relaxation of the next master problem by using the Lipschitz information about the respective functions. By doing so, we follow the ideas of Schmidt et al. (2018, 2021) and improve the tackling of multivariate constraints. Although multivariate nonlinearities obviously increase modeling capabilities, their incorporation also significantly increases the computational burden of the proposed algorithm. We prove the correctness of our method and also derive a worst-case iteration bound. Finally, we show the generality of the addressed problem class and the proposed method by illustrating that both bilevel optimization problems with nonconvex and quadratic lower levels as well as nonlinear and mixed-integer models of gas transport can be tackled by our method. We provide the necessary theory for both applications and briefly illustrate the outcomes of the new method when applied to these two problems.

We propose an algorithm for solving bilevel problems with mixed-integer convex-quadratic upper level as well as convex-quadratic and continuous lower level. The method is based on a classic branch-and-bound procedure, where branching is performed on the integer constraints and on the complementarity constraints resulting from the KKT reformulation of the lower-level problem. However, instead of branching on constraints as usual, suitably chosen penalty terms are added to the objective function in order to create new subproblems in the tree. We prove the correctness of the method and present its applicability by some first numerical results.

Bilevel problems are used to model the interaction between two decision makers in which the lower-level problem, the so-called follower's problem, appears as a constraint in the upper-level problem of the so-called leader. One issue in many practical situations is that the follower's problem is not explicitly known by the leader. For such bilevel problems with unknown lower-level model we propose the use of neural networks to learn the follower's optimal response for given decisions of the leader based on available historical data of pairs of leader and follower decisions. Integrating the resulting neural network in a single-level reformulation of the bilevel problem leads to a challenging model with a black-box constraint. We exploit Lipschitz optimization techniques from the literature to solve this reformulation and illustrate the applicability of the proposed method with some preliminary case studies using academic and linear bilevel instances.