Optimization of production allocation under price uncertainty : relating price model assumptions to decisions

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dc.contributor.advisorJablonowski, Christopher J.en
dc.contributor.committeeMemberLasdon, Leon S.en
dc.contributor.committeeMemberDyer, James S.en
dc.creatorBukhari, Abdulwahab Abdullatifen
dc.date.accessioned2011-10-05T20:25:46Zen
dc.date.accessioned2017-05-11T22:23:30Z
dc.date.available2011-10-05T20:25:46Zen
dc.date.available2017-05-11T22:23:30Z
dc.date.issued2011-08en
dc.date.submittedAugust 2011en
dc.date.updated2011-10-05T20:26:07Zen
dc.descriptiontexten
dc.description.abstractAllocating production volumes across a portfolio of producing assets is a complex optimization problem. Each producing asset possesses different technical attributes (e.g. crude type), facility constraints, and costs. In addition, there are corporate objectives and constraints (e.g. contract delivery requirements). While complex, such a problem can be specified and solved using conventional deterministic optimization methods. However, there is often uncertainty in many of the inputs, and in these cases the appropriate approach is neither obvious nor straightforward. One of the major uncertainties in the oil and gas industry is the commodity price assumption(s). This paper investigates this problem in three major sections: (1) We specify an integrated stochastic optimization model that solves for the optimal production allocation for a portfolio of producing assets when there is uncertainty in commodity prices, (2) We then compare the solutions that result when different price models are used, and (3) We perform a value of information analysis to estimate the value of more accurate price models. The results show that the optimum production allocation is a function of the price model assumptions. However, the differences between models are minor, and thus the value of choosing the “correct” price model, or similarly of estimating a more accurate model, is small. This work falls in the emerging research area of decision-oriented assessments of information value.en
dc.description.departmentPetroleum and Geosystems Engineeringen
dc.format.mimetypeapplication/pdfen
dc.identifier.slug2152/ETD-UT-2011-08-3780en
dc.identifier.urihttp://hdl.handle.net/2152/ETD-UT-2011-08-3780en
dc.language.isoengen
dc.subjectOil price modelen
dc.subjectGeometric Brownian Motionen
dc.subjectMean Reversion with jumpsen
dc.subjectStochastic processen
dc.subjectDecision analysisen
dc.subjectRisk analysisen
dc.subjectValue of informationen
dc.subjectVOIen
dc.subjectOptimizationen
dc.subjectUncertaintyen
dc.subjectPortfolio optimizationen
dc.subjectCrude typeen
dc.subjectOptimization under uncertaintyen
dc.subjectRisk solver platformen
dc.subjectGamsen
dc.subjectLinear programmingen
dc.subjectNon-linear programmingen
dc.subjectOperations researchen
dc.subjectRisken
dc.subjectOil industryen
dc.subjectPetroleum managementen
dc.titleOptimization of production allocation under price uncertainty : relating price model assumptions to decisionsen
dc.type.genrethesisen

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