Holland uses Monte Carlo for an “optimization” (in quotes since, as it will be seen, Holland doesn’t pursue the best, but rather the “most convenient outcome”) model for gas storage facilities. This enables gas suppliers to schedule injection and withdrawal over the duration of a storage contract in a manner that maximizes expected profitability.

The approach assumes that there is a “strong-reversion-to-the-mean,” which indeed can be expected from the behavior of gas commercialization, thus making Holland’s approach a sound one. Holland considers it undesirable to attain an optimal strategy with regard to storing gas. He substitutes it with a most convenient strategy, since it is not only the price of gas alone that has to be taken in account, but also the cost of storage. Holland shows that the small discrepancies of the model, against the real fluctuations, are unsubstantial on a year-by-year basis. Although the precise performance of Holland’s model may vary from one algebra system, spreadsheet, or programming language to another (in the sense of the random number generator and the execution time), the implementation of the algorithm shouldn’t be difficult.

I consider this paper to be worth reading by engineers and administrators specializing in gas storage facilities.