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Stochastic Optimal Bid to Electricity Markets with Emission Risk Constraints

Thu, 11/27/2014 - 21:20 — admin
Publication TypeConference Paper
Year of Publication2014
AuthorsF.-Javier Heredia; Julián Cifuentes; Cristina Corchero
Conference NameIFORS2014: 20th Conference of the International Federation of Operational Research Societies
Conference Date13-18/07/2014
Conference LocationBarcelona
Type of WorkInvited presentation
Key Wordsresearch; emission limits; risk; stochastic programming; day-ahead electricity market; combined cycle units
AbstractThis work allows investigating the influence of the 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 Iberian Electricity Market (MIBEL) and the Spanish National Emission Reduction Plan (NERP) defines the environmental framework to deal with by the day-ahead market bidding strategies. To address emission limitations, some of the standard risk management methodologies developed for financial markets, such as Value-at-Risk (VaR) and Conditional Valueat- Risk (CVaR), have been extended giving rise to the new concept of Conditional Emission at Risk (CEaR). The economic implications for a GenCo of including the environmental restrictions of this National Plan are analyzed, and the effect of the NERP in the expected profits and optimal generation bid are analyzed.
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Energy Management System para una microrred domestica con participación en los servicios auxiliares de red

Thu, 11/27/2014 - 16:32 — admin
Publication TypeTesis de Grau i Màster // BSc and MSc Thesis
Year of Publication2014
AuthorsIrune Etxarri Urtasun
DirectorF.-Javier Heredia, Cristina Corchero
Tipus de tesiMSc Thesis
TitulacióMaster in Statistics and Operations Reseafrch
CentreFaculty of Mathematics and Statistics
Data defensa27/06/2014
Nota // mark**
Key Wordsteaching; research; microgrids; stochastic programming; electricity market; secondary reserve; MSc Thesis
AbstractEn este proyecto se ha propuesto un modelo estocástico de dos etapas para la gestión de energía en una microrred doméstica, introduciendo la participación en el mercado de banda de regulación. El objetivo del modelo es determinar la potencia que se oferta al mercado diario, teniendo en cuenta la participación en el mercado de banda de regulación. Se ha introducido estocasticidad en los precios de este mercado y en los precios y probabilidades del requerimiento a subir y a bajar de la energía de regulación secundaria. Se han comparado los beneficios de la microrred en caso de participar o no en el mercado de banda de regulación, y se ha visto que la participación en dicho mercado produce grandes beneficios para sus usuarios.
DOI / handlehttp://hdl.handle.net/2099.1/23233
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A new paper published in IEEE Transactions on Smart Grids

Wed, 07/30/2014 - 18:27 — admin

ie3sgThe paper Optimal Energy Management for a Residential Microgrid Including Vehicle-to-Grid System has been published in IEEE Transactions on Smart Grids. This work, done in collaboration with the Energy Economics group of the Catalonian Institute for Energy Research (IREC), proposes an optimization model to manage a residential microgrid including a charging spot with a vehicle-to-grid system and renewable energy sources. A preprint version of the paper can be downloaded from http://hdl.handle.net/2117/20642

Optimal energy management for a residential microgrid including a vehicle-to-grid system

Mon, 11/18/2013 - 16:34 — admin
Publication TypeReport
Year of Publication2013
AuthorsLucía Igualada; Cristina Corchero; Miguel Cruz-Zambrano; F.-Javier Heredia
Pages9
Date11/2013
ReferenceResearch report DR 2013/05, Dept. of Statistics and Operations Research. E-Prints UPC, http://hdl.handle.net/2117/20642. Universitat Politècnica de Catalunya
Prepared forPublished at IEEE Transactions on Smart Grids (DOI: 10.1109/TSG.2014.2318836)
Key Wordsresearch; optimal management; smart grids; vehicle-to-grid; renewable generation; microgrids
AbstractAn optimization model is proposed to manage a residential microgrid including a charging spot with a vehicle-to-grid system and renewable energy sources. In order to achieve a realistic and convenient management, we take into account: (1) the household load split into three different profiles depending on the characteristics of the elements considered; (2) a realistic approach to owner behavior by introducing the novel concept of range anxiety; (3) the vehicle battery management considering the mobility profile of the owner and (4) different domestic renewable energy sources. We consider the microgrid operated in grid-connected mode. The model is executed one-day-ahead and generates a schedule for all components of the microgrid. The results obtained show daily costs in the range of 2.82€ to 3.33€; the proximity of these values to the actual energy costs for Spanish households validate the modeling. The experimental results of applying the designed managing strategies show daily costs savings of nearly 10%.
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Stochastic optimal generation bid to electricity markets with emission risk constraints.

Sun, 11/17/2013 - 19:22 — admin
Publication TypeReport
Year of Publication2013
AuthorsF.-Javier Heredia; Julian Cifuentes; Cristina Corchero
Pages21
Date09/2013
ReferenceResearch report DR 2013/04, Dept. of Statistics and Operations Research. E-Prints UPC, http://hdl.handle.net/2117/20640. Universitat Politècnica de Catalunya
Prepared forsubmitted
Key Wordsresearch; OR in Energy; Stochastic Programming; Risk Management; Electricity market; Emission reduction
AbstractThere are many factors that influence the day-ahead market bidding strategies of a generation company (GenCo) in the current energy market framework. Environmental policy issues have become more and more important for fossil-fuelled power plants and they have to be considered in their management, giving rise to emission limitations. This work allows investigating the influence of the 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 Iberian Electricity Market (MIBEL) and the Spanish National Emission Reduction Plan (NERP) defines the environmental framework to deal with by the day-ahead market bidding strategies. To address emission limitations, some of the standard risk management methodologies developed for financial markets, such as Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR), have been extended giving rise to the new concept of Conditional Emission-at-Risk (CEaR). This study offers to electricity generation utilities a mathematical model to determinate the individual optimal generation bid to the wholesale electricity market, for each one of their generation units that maximizes the long-run profits of the utility abiding by the Iberian Electricity Market rules, as well as the environmental restrictions set by the Spanish National Emissions Reduction Plan. The economic implications for a GenCo of including the environmental restrictions of this National Plan are analyzed, and the effect of the NERP in the expected profits and optimal generation bid are analyzed.
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Optimal sizing of microgrids: a fast charging station case

Thu, 07/19/2012 - 21:00 — admin
Publication TypeProceedings Article
Year of Publication2012
AuthorsCristina Corchero; M. Cruz; F.-Javier Heredia; J.-I. Cairo; L. Igualada; A. Romero
Conference Name2012 9th International Conference on the European Energy Market (EEM 2012)
Series TitleIEEE Conference Publications
Pagination1-6
Conference Start Date10/05/2012
PublisherIEEE
Conference LocationFlorence, Italy
EditorIEEE
ISBN Number978-1-4673-0834-2
Key Wordsresearch; electrical vehicle; smartgrids; charging station; microgrid; queuing system; paper
AbstractIn this work we focus on the optimal design of electric vehicle charging stations. We consider investment, operational costs, physical constraints and different electricity pricing strategies. The size of the various components in the microgrid architecture and the suitability of the storage system are analysed. The electric vehicle charging demand is modelled through a queuing system.
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DOI10.1109/EEM.2012.6254677
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Optimal sale bid for a wind producer in Spanish electricity market through stochastic programming

Thu, 07/19/2012 - 20:08 — admin
Publication TypeConference Paper
Year of Publication2012
AuthorsSimona Sacripante; F.-Javier Heredia; Cristina Corchero
Conference Name9th International Conference on Computational Management Science.
Conference Date18-20/04/2012
Conference LocationLondon
Type of WorkInvited presentation
Key Wordsresearch; stochastic programming; wind producer; renewable energy; multimarket; electricity market; optimal bid; DPI2008-02153
AbstractWind power generation has a key role in Spanish electricity system since it is a native source of energy that could help Spain to reduce its dependency on the exterior for the production of electricity. Apart from the great environmental benefits produced, wind energy reduce considerably spot energy price, reaching to cover 16,6 % of peninsular demand. Although, wind farms show high investment costs and need an efficient incentive scheme to be financed. If on one hand, Spain has been a leading country in Europe in developing a successful incentive scheme, nowadays tariff deficit and negative economic conjunctures asks for consistent reductions in the support mechanism and demand wind producers to be able to compete into the market with more mature technologies. The objective of this work is to find an optimal commercial strategy in the production market that would allow wind producer to maximize their daily profit. That can be achieved on one hand, increasing incomes in day-ahead and intraday markets, on the other hand, reducing deviation costs due to error in generation predictions. We will previously analyze market features and common practices in use and then develop our own sale strategy solving a two-stage linear stochastic optimization problem. The first stage variable will be the sale bid in the day–ahead market while second stage variables will be the offers to the six sessions of intraday market. The model is implemented using real data from a wind producer leader in Spain.
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Optimal sizing of microgrids: a fast charging station case

Thu, 07/19/2012 - 10:36 — admin
Publication TypeConference Paper
Year of Publication2012
AuthorsCristina Corchero; M. Cruz; F.-Javier Heredia; J.-I. Cairo; L. Igualada; A. Romero
Conference Name9th International Conference on the European Energy Market (EEM12)
Conference Date10-12/05/2012
Conference LocationFlorence
Type of WorkContributed presentation
Key Wordsresearch; electrical vehicle; smartgrids; charging station; microgrid; queuing system
AbstractIn this work we focus on the optimal design of electric vehicle charging stations. We consider investment, operational costs, physical constraints and different electricity pricing strategies. The size of the various components in the microgrid architecture and the suitability of the storage system are analysed. The electric vehicle charging demand is modelled through a queuing system.
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A new optimal electricity market bid model solved through perspective cuts

Fri, 11/18/2011 - 18:41 — admin
Publication TypeJournal Article
Year of Publication2013
AuthorsCristina Corchero; Eugenio Mijangos; F.-Javier Heredia
Journal TitleTOP
Volume21
Issue1
Pages25
Start Page84
Journal Date04/2013
Short TitleA new optimal electricity market bid model
PublisherSpringer
ISSN Number1134-5764
Key Wordsresearch; paper; electricity market; day-ahead; bilateral contracts; future contracts; Optimal bid; Stochastic programming; Perspective cuts; mixed integer nonlinear programming; DPI2008-02153; Q3
AbstractOn 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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DOI10.1007/s11750-011-0240-6
Preprinthttp://hdl.handle.net/2117/18368
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A multistage stochastic programming model for the optimal multimarket electricity bid problem

Wed, 10/26/2011 - 15:01 — admin
Publication TypeConference Paper
Year of Publication2011
AuthorsF.-Javier Heredia; Cristina Corchero
Conference NameOptimization, Theory, Algorithms and Applications in Economics (OPT 2011)
Conference Date24-28/10/2011
Conference LocationCentre de Recerca Matemàtica. Barcelona, Spain.
Type of WorkInvited presentation
Key Wordsresearch; optimal bid; day-ahead electricity market; multimarket; perspective cuts; bilateral contracts; futures contracts; stochastic programming; DPI2008-02153
AbstractShort-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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