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Optimal day-ahead bidding strategy in the MIBEL's multimarket energy production system

Thu, 07/29/2010 - 12:14 — admin
Publication TypeReport
Year of Publication2010
AuthorsCristina Corchero; F.-Javier Heredia
Pages6
Date07/2010
ReferenceResearch report DR 2010/**, Dept. of Statistics and Operations Research. E-Prints UPC, http://hdl.handle.net/2117/8390. Universitat Politècnica de Catalunya
Prepared forPublished by the IEEE at the proceedings of the 7th Conference on European Energy Market EEM10, Madrid, Spain
Key Wordsresearch; electricity markets; multimarkets; day-ahead market; intraday market; AGC market; stochastic programming
AbstractA Generation Company (GenCo) can participate in the Iberian Electricity Market (MIBEL) through different mechanisms and pools: the bilateral contracts, the physical derivatives products at the Derivatives Market, the bids to the Day-Ahead Market, the Intraday Markets or the Ancillary Services Markets. From the short-term generation planning point of view, the most important problem to solve is the bidding strategy for the Day-Ahead Market (DAM) given that the 85% of the physical energy traded in Spain is negotiated in it, but this participation cannot be tackled independently of other subsequent markets.
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Perspective cuts for solving the optimal electricity market bid problem with bilateral contracts

Wed, 07/21/2010 - 15:27 — admin
Publication TypeConference Paper
Year of Publication2010
AuthorsEugenio Mijangos; F.-Javier Heredia
Conference Name24th European Conference on Operational Research
Conference Date11-14/07/2010
Conference LocationLisboa
Type of WorkInvited Presentation
Key Wordsresearch; mixed nonlinear optimization; perspective cuts
AbstractThe 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 and the optimal sale bids observing the MIBEL. The uncertainty of the spot prices is represented through scenario sets. We solve this model as a deterministic MIQP problem by using perspective cuts to improve the performance of Branch and Cut approach. Numerical results are reported.
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Optimal day-ahead bidding strategy with futures and bilateral contracts. Scenario generation through factor models

Wed, 07/21/2010 - 15:14 — admin
Publication TypeConference Paper
Year of Publication2010
AuthorsCristina Corchero; F.-Javier Heredia; M.-Pilar Muñoz
Conference Name24th European Conference on Operational Research
Conference Date11-14/07/2010
Conference LocationLisboa
Type of WorkInvited Presentation
Key Wordsresearch; electrical markets; stochastic programming; forecasting
AbstractWe propose a stochastic programming model that gives the optimal bidding, bilateral (BC) and futures contracts (FC) nomination strategy for a price-taker generation company in the MIBEL. The objective of the study is to decide the optimal economic dispatch of the physical FC and BC among the thermal units, the optimal bidding at day-ahead market (DAM) abiding by the MIBEL rules and the optimal unit commitment that maximizes the expected profits from the DAM. For the uncertainty characterization, we apply the methodology of factors models to forecast market prices in a short-term horizon.
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24th European Conference on Operational Research

Wed, 07/21/2010 - 14:59 — admin

The 24th edition of the European Conference on Operational Research was held this year in Lisbon. I participate with two invited presentations. The first contribution "Optimal day-ahead bidding strategy with futures and bilateral contracts. Scenario generation by means of factor models", co-authored with Cristina Corchero , was presented in the Session Applications of stochastic programming to the energy sector-electricity. The second invited contribution, in collaboration with professor Eugenio Mijangos from the University of the Basque Country, was the work "Perspective cuts for solving the optimal electricity market bid problem with bilateral contracts", presented in the session Large-scale Mixed Optimization Problems. I also was the chairman of this last session.

7th Conference on the European Energy Market

Mon, 06/28/2010 - 16:10 — admin

 

 The International Conference on the European Energy Market (EEM) is a premier forum to discuss the development of the energy sector in a market environment and the creation of the common European Energy Market.

The EEM 10 has been held in Madrid, Spain June 23-25 2010. Cristina Corchero, who is finishing her PhD on energy markets, and myself participated in the event with the presentation of the paper "Optimal Day-Ahead Bidding in the MIBEL's Multimarket Energy Production System", that will be published formerly by the IEEE Power and Energy Society at the IEEEXplore.

La recerca en investigació operativa / optimització a Catalunya

Mon, 06/28/2010 - 15:45 — admin
Publication TypeBook Chapter
Year of Publication2010
AuthorsF.-Javier Heredia
EditorManuel Castellet; Joan del Castillo; Xavier Jarque; Margarida Mitjana
Book TitleLlibre Blanc de la Recerca Matemàtica a Catalunya (2000-2009)
CityBarcelona
PublisherInstitut d'Estudis Catalans
Pages3
Chapter6
LanguageCatalà
ISBN Number978-84-9965-009-8
Key Wordsresearch; catalunya; mathematics
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KIC InnoEnergy CC Iberia

Mon, 06/28/2010 - 15:29 — admin
Publication TypeConference/School/Seminar attendance
Year of Publication2010
AuthorsF.-Javier Heredia
Conference NameKIC InnoEnergy CC Iberia
Event TypeWorkshop
Conference OrganiserUniversitat Politècnica de Catalunya
Conference Dates07/06/2010
Conference LocationBarcelona, Spain
Key Wordsresearch, power systems; renewables; sustainability
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Optimal Day-Ahead Bidding in the MIBEL's Multimarket Energy Production System

Mon, 06/28/2010 - 15:17 — admin
Publication TypeConference Paper
Year of Publication2010
AuthorsCristina Corchero; F.-Javier Heredia
Conference Name7th Conference on European Energy Market EEM10
Conference Date23-25/06/2010
Conference LocationMadrid, Spain
Type of WorkContributed Presentation
Key Wordsresearch; multimarket; bilateral contracts; futures contracts; optimal bid; stochastic programming; MIBEL
AbstractAbstract—A Generation Company (GenCo) can participate in the Iberian Electricity Market (MIBEL) through different mechanisms and pools: the bilateral contracts, the physical derivatives products at the Derivatives Market, the bids to the Day-Ahead Market, the Intraday Markets or the Ancillary Services Markets. From the short-term generation planning point of view, the most important problem to solve is the bidding strategy for the Day-Ahead Market (DAM) given that the 85% of the physical energy traded in Spain is negotiated in it, but this participation cannot be tackled independently of other subsequent markets.
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Presentació del "Llibre blanc de la recerca matemàtica a Catalunya"

Thu, 06/10/2010 - 23:00 — admin
El dia 10 de juny es va celebrar a la seu de l'Intitut d'Estudis Catalans la presentació del "Llibre blanc de la recerca matemàtica a Catalunya", que recull l'activitat dels grups de recerca en matemàtiques de Catalunya durant el període comprés entre l'any 2000 i 2009. He tingut l'oportunitat de participar en aquest projecte amb la redacció del capítol "La recerca en optimització / investigació operativa a Catalunya"on es descriu quins son els grups de recerca de les diferents universitat catalanes que desenvolupen la seva activitat en l'àres de 'optimització/investigació operativa. 

Nonlinear Network Flows with Side Constraints Applied to Short Term Hydrothermal Coordination of Electricity Generation

Fri, 05/28/2010 - 10:37 — admin
Publication TypeProceedings Article
Year of Publication1992
AuthorsHeredia, F.-Javier; Nabona, N.
Conference NameEuropean Conference on Numerical Methods in Engineering '92
Series TitleProceedings of the First European Conference on Numerical Methods in Engineering
Pagination437-444
Conference Start Date7/09/1992
PublisherElsevier
Conference LocationBrussels, Belgium
EditorCh. Hirsch, O.C. Zienkiewicz, E. Oñate
ISBN Number0-444-89794-1
Key Wordsresearch; nonlinear network flows; side constraints; power systems; short-term hydrothermal OPF; paper
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