A multistage stochastic programming model for the optimal multimarket electricity bid problem
Wed, 10/26/2011 - 15:01 — admin
| Publication Type | Conference Paper |
| Year of Publication | 2011 |
| Authors | F.-Javier Heredia; Cristina Corchero |
| Conference Name | Optimization, Theory, Algorithms and Applications in Economics (OPT 2011) |
| Conference Date | 24-28/10/2011 |
| Conference Location | Centre de Recerca Matemàtica. Barcelona, Spain. |
| Type of Work | Invited presentation |
| Key Words | research; optimal bid; day-ahead electricity market; multimarket; perspective cuts; bilateral contracts; futures contracts; stochastic programming; DPI2008-02153 |
| Abstract | Short-term electricity market is made up of a sequence of markets, that is, it is a multimarket enviroment. In the case of the Iberian Energy Market the sequence of major short-term electricity markets are the day-ahead market, the ancillary service market or secondary reserve market (henceforth reserve market), and a set of six intraday markets. Generation Companies (GenCos) that participate in the electricity market could increase their benefits by jointly optimizing their participation in this sequence of electricity markets. This work proposes a stochastic programming model that gives the GenCo the optimal bidding strategy for the day-ahead market (DAM), which considers the benefits and costs of participating in the subsequent markets and which includes both physical futures contracts and bilateral contracts. Numerical results are reported and discussed. |
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