F.-Javier Heredia - Academic web site

Publication Type	Conference Paper
Year of Publication	2012
Authors	Cristina Corchero; F.-Javier Heredia; Julián Cifuentes
Conference Name	9th International Conference on the European Energy Market (EEM12)
Conference Date	10-12/05/2012
Conference Location	Florence, Italy
Type of Work	Contributed presentation
Key Words	research; elecriticy; markets; CO2 allowances; emissions limits; environment; stochastic programming; modeling languages
Abstract	There are many factors that influence the day-ahead market bidding strategies of a GenCo in the current energy market framework. In this work we study the influence of both the allowances and emission reduction plan and the incorporation of the derivatives medium-term commitments in the optimal generation bidding strategy to the day-ahead electricity market. Two different technologies have been considered: the coal thermal units, high-emission technology, and the combined cycle gas turbine units, low-emission technology. The operational characteristics of both kinds of units are modeled in detail. We deal with this problem in the framework of the Iberian Electricity Market and the Spanish National Emissions and Allocation Plans. The economic implications for a GenCo of including the environmental restrictions of these National Plans are analyzed.
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Publication Type	Journal Article
Year of Publication	2013
Authors	Cristina Corchero; Eugenio Mijangos; F.-Javier Heredia
Journal Title	TOP
Volume	21
Issue	1
Pages	25
Start Page	84
Journal Date	04/2013
Short Title	A new optimal electricity market bid model
Publisher	Springer
ISSN Number	1134-5764
Key Words	research; paper; electricity market; day-ahead; bilateral contracts; future contracts; Optimal bid; Stochastic programming; Perspective cuts; mixed integer nonlinear programming; DPI2008-02153; Q3
Abstract	On current electricity markets the electrical utilities are faced with very sophisticated decision making problems under uncertainty. Moreover, when focusing in the short-term management, generation companies must include some medium-term products that directly influence their short-term strategies. In this work, the bilateral and physical futures contracts are included into the day-ahead market bid following MIBEL rules and a stochastic quadratic mixed-integer programming model is presented. The complexity of this stochastic programming problem makes unpractical the resolution of large-scale instances with general-purpose optimization codes. Therefore, in order to gain efficiency, a polyhedral outer approximation of the quadratic objective function obtained by means of perspective cuts (PC) is proposed. A set of instances of the problem has been defined with real data and solved with the PC methodology. The numerical results obtained show the efficiency of this methodology compared with standard mixed quadratic optimization solvers.
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DOI	10.1007/s11750-011-0240-6
Preprint	http://hdl.handle.net/2117/18368
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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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The International Federation for Information Processing Technical Committee 7 - System Modeling and Optimization - arranges in a cycle of two years highly regarded conferences to several topics of Applied Optimization such as  Optimal Control of Ordinary and Partial Differential Equations, Modeling and Simulation, Nonlinear, Discrete, and Stochastic Optimization and Industrial Applications. This year the conference was celebrated in the Berlin Institute of Technology, and I participated with a contributed talk entitled "Solving electric market quadratic problems by Branch and Fix Coordination methods "

Publication Type	Conference Paper
Year of Publication	2011
Authors	F.-Javier Heredia; Cristina Corchero; Eugenio Mijangos
Conference Name	25th IFIP TC7 Conference on System Modeling and Optimization
Conference Date	12-16/09/2011
Conference Location	Berlin
Type of Work	contributed presentation
Key Words	research; optimal bid; day-ahead electricity market; branch and fix coordination; perspective cuts; bilateral contracts; futures contracts; stochastic programming
Abstract	The electric market regulation in Spain (MIBEL) establishes the rules for bilateral contracts in the day-ahead optimal bid problem. Our model allows a price-taker generation company to decide the unit commitment of the thermal units, the economic dispatch of the bilateral contracts between the thermal units and the optimal sale bids for the thermal units observing the MIBEL regulation. The uncertainty of the spot prices is represented through scenario sets. We solve this model on the framework of the Branch and Fix Coordination metodology as a quadratic, two-stage stochastic problem. Numerical results are reported.
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Publication Type	Proceedings Article
Year of Publication	2011
Authors	Cristina Corchero; F.-Javier Heredia; Eugenio Mijangos
Conference Name	8th International Conference on the European Energy Market (EEM11)
Series Title	To be published in the IEEEXplore
Pagination	244-249
Conference Start Date	25/05/2011
Publisher	Institute of Electrical and Electronics Engineers, Inc.
Conference Location	Zagreb, Croatia
Editor	Marko Delimar
ISBN Number	978-1-61284-286-8/11
Key Words	spot electricity markets; financial electricity markets; Iberian Electricity Market; stochastic programming; perspective cuts; research; DPI2008-02153; paper
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.
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DOI	10.1109/EEM.2011.5953017
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Publication Type	Conference Paper
Year of Publication	2011
Authors	Cristina Corchero; F.-Javier Heredia; Eugenio Mijangos
Conference Name	8th International Conference on the European Energy Market (EEM11)
Series Title	International Conference on the European Energy Market
Conference Date	25-27/05/2011
Publisher	Institute of Electrical and Electronics Engineers, Inc.
Conference Location	Zagreb, Croatia
Editor	Marko Delimar
Type of Work	Contributed presentacion
ISBN Number	978-1-61284-284-4
Key Words	spot electricity markets; financial electricity markets; Iberian Electricity Market; stochastic programming; perspective cuts; research; 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.
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Publication Type	Tesis de Grau i Màster // BSc and MSc Thesis
Year of Publication	2011
Authors	Unai Aldasoro Marcellan
Director	F. Javier Heredia
Tipus de tesi	MSc Thesis
Titulació	Màster in Statistics and Operations Research
Centre	Facultat de Matemàtiques i Estadística, departament d'Estadística i Investigació Operativa, UPC
Data defensa	16/03/2011
Nota // mark	Matrícula d'Honor (10/10)
Key Words	teaching; research; dual methods; electricity markets; DPI2008-02153; mixed integer nonlinear programming; proximal bundle method; optimal day-ahead bid; electricity multimarket; MSc Thesis
Abstract	El presente trabajo plantea la resolución computacional de un modelo de optimización de la oferta de generación eléctrica para compañías eléctricas que participan en el mercado eléctrico liberalizado MIBEL. Dicho mercado se circunscribe a España y Portugal y se compone de una serie de subastas energéticas consecutivas donde el operador de mercado realiza para cada una de ellas la casación entre la oferta y demanda. Así, el objetivo de la compañía generadora será maximizar los beneficios obtenidos en la participación del conjunto de mercados teniendo en cuenta el cumplimiento de las obligaciones contractuales ya establecidas. El modelo matemático propuesto para su caracterización corresponde a un modelo de programación estocástica multietapa cuyo equivalente determinista es un problema de optimización cuadrática con variable binaria. Con el objetivo de aprovechar la estructura del problema se procede a plantear la dualización de un grupo de restricciones que producen que el problema original pueda ser dividido en subproblemas. Para su resolución se deberá estudiar la idoneidad de diversos métodos duales (subgradiente, Bundle Methods, ACCPM) y seleccionar el más conveniente para el caso abordado. La decisión finalmente adoptada ha consistido en elegir como método de resolución el algoritmo Proximal Bundle Method descrito en [18] y adaptado satisfactoriamente a problemas de coordinación de la generación hidro-térmica [17]. El análisis de método Proximal Bundle Method corresponderá a su compresión e interpretación gráfica, a la resolución de un ejemplo de pequeña escala de manera analítica y a su resolución computacional. El objetivo de la fase de resolución será valorar el proceso iterativo y la convergencia del Proximal Bundle Method aplicado al problema multimercado de oferta óptima y la comparación de resultados respecto a otro método dual como el método del subgradiente. La implementación computacional se realizará mediante el lenguaje C++, específicamente se utilizará el metalenguaje Concert Techonolgy creado por IBM para el enlace entre el código C++ y el solver CPLEX. Se comprueba que dicho lenguaje tiene como ventajas principales su simplicidad estructural y el compacto código que produce. No obstante la implementación del Proximal Bundle Method manifiesta una serie de limitaciones prácticas de Concert Technology en cuanto al almacenado y actualización de problemas de optimización. Se propone como línea de futuro el análisis de lenguajes alternativos. En todo caso, los resultados obtenidos desprenden que el Proximal Bundle Method se adapta satisfactoriamente al problema multimercado de oferta óptima, además se concluye que en la aplicación numérica considerada un tamaño de Bundle ilimitado produce los mejores resultados. Además en trabajo propone una serie de líneas de investigación futuras en las que destacan la paralelización de la resolución de los subproblemas, y la definición del subproblema asociado a cada térmica como un problema de caminos mínimos
DOI / handle	http://hdl.handle.net/2099.1/13917
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Publication Type	Journal Article
Year of Publication	2012
Authors	F.-Javier Heredia; Marcos J. Rider; C. Corchero
Journal Title	Annals of Operations Research
Volume	193
Issue	1
Pages	107-127
Start Page	107
Journal Date	2012
Publisher	Springer
ISSN Number	0254-5330
Key Words	research; paper; stochastic programming; day-ahead market; combined cycle; bilateral contracts; modeling; DPI2008-02154
Abstract	This paper develops a stochastic programming model that integrates the most recent regulation rules of the Spanish peninsular system for bilateral contracts in the dayahead optimal bid problem. Our model allows a price-taker generation company to decide the unit commitment of the thermal and combined cycle programming units, the economic dispatch of the bilateral contract between all the programming units and the optimal sale bid by observing the Spanish peninsular regulation. The model was solved using real data of a typical generation company and a set of scenarios for the Spanish market price. The results are reported and analyzed. The main contributions of this paper include: (a) a new model for the optimal bid function and matched energy for thermal and CC units, (b) a new and detailed mixed-integer formulation of the operation rules of the CC units and (c) the joint optimization of all the above-mentioned factors together with the BC duties. The model was tested with real data of market prices and programming units of a GenCo operating in the Spanish electricity market.
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DOI	10.1007/s10479-011-0847-x
Preprint	http://hdl.handle.net/2117/2282
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The work A stochastic programming model for the optimal electricity market bid problem with bilateral contracts for thermal and combined cycle units of F.-Javier Heredia, Marcos J. Rider and C. Corchero has been accepted for publication in the journal Annals of Operations Research. A preliminary version of the manuscript is available at E-Prints UPC http://hdl.handle.net/2117/2282. This study, which was developed as a part of the research project DPI2008-02153,  allows a price-taker generation company to decide the unit commitment of the thermal and combined cycle programming units, the economic dispatch of the bilateral contract between all the programming units and the optimal sale bid by observing the Spanish peninsular regulation.