  In this paper we treat a gas storage valuation problem as a Markov Decision
Process. As opposed to existing literature we model the gas price process as a
regime-switching model. Such a model has shown to fit market data quite well in
Chen and Forsyth (2010). Before we apply a numerical algorithm to solve the
problem, we first identify the structure of the optimal injection and withdraw
policy. This part extends results in Secomandi (2010). Knowing the structure
reduces the complexity of the involved recursion in the algorithms by one
variable. We explain the usage and implementation of two algorithms: A
Multinomial-Tree Algorithm and a Least-Square Monte Carlo Algorithm. Both
algorithms are shown to work for the regime-switching extension. In a numerical
study we compare these two algorithms.
