F.-Javier Heredia - Academic web site

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	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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Publication Type	Journal Article
Year of Publication	2011
Authors	Cristina Corchero; F.-Javier Heredia
Journal Title	Computers & Operations Research
Volume	38
Issue	11
Pages	1501-1512
Start Page	1501
Journal Date	2011
Publisher	Elsevier
ISSN Number	0305-0548
Key Words	research; paper; stochastic programming; optimal bod; day-ahead market; MIBEL; DPI2008-02154; modeling
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DOI	10.1016/j.cor.2011.01.008
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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.

The work A Stochastic Programming Model for the Thermal Optimal Day-Ahead Bid Problem with Physical Futures Contracts of C. Corchero and F.-Javier Heredia, has been accepted for publication in the journal Computers & Operations Research (DOI:10.1016/j.cor.2011.01.008). A preprint version of the manuscript is available at http://hdl.handle.net/2117/2795. The goal of this work, which was developed as a part of the research project DPI2008-02153,  is to optimize coordination between physical futures contracts and the day-ahead bidding which follow the MIBEL's regulation. The authors propose a stochastic quadratic mixed-integer programming model which maximizes the expected profits, taking into account futures contracts settlement.

Publication Type	Proceedings Article
Year of Publication	2010
Authors	Cristina Corchero; F.-Javier Heredia
Conference Name	7th Conference on European Energy Market EEM10
Series Title	Proceedings of the 7th Conference on European Energy Market EEM10
Volume	1
Pagination	1 - 6
Conference Start Date	23/06/2010
Publisher	IEEE
Conference Location	Madrid
Editor	IEEE
ISBN Number	978-1-4244-6838-6
Key Words	research; DPI2008-02153; multimarket; MIBEL; stochastic programming; futures contracts; bilateral contracts; optimal bid; paper
Abstract	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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DOI	10.1109/EEM.2010.5558714
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Publication Type	Conference Paper
Year of Publication	2009
Authors	M.-Teresa Vespucci; Cristina Corchero; Mario Innorta; F.-Javier Heredia
Conference Name	11th International Conference on the Modern Information Technology in the Innovation Processes of the Industrial Enterprises (MITIP 2009)
Series Title	Proceedings of the 11th International Conference on the Modern Information Technology in the Innovation Processes of the Industrial Enterprises (MITIP 2009)
Conference Date	15-16/10/2009
Conference Location	Bergamo, Italy
Type of Work	invited presentation
ISBN Number	978-88-89555-09-05
Key Words	research; hydro-thermal; futures; day-ahead; GAMS, CPLEX
Abstract	We consider a generation company operating in the liberalized electricity market, whose production system consists of hydro and thermal plants. Production is sold either directly to customers, by means of bilateral contracts, or on the spot market, where the electricity price is unknow until the market clearing process has taken place. Price risk may be hedged by financial tools provided by the Derivative Electricity Market. In this work futures contracts are considered, i.e. agreements to sell electricity in the future for a specified price. A Mixed Integer Linear Programming model is introduced for determining the unit commitment of thermal units and the dispatchment of available thermal units and hydro plants, aiming at maximizing profits. Numerical results on a case study are reported
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Publication Type	Report
Year of Publication	2010
Authors	Cristina Corchero; F.-Javier Heredia
Pages	6
Date	07/2010
Reference	Research report DR 2010/**, Dept. of Statistics and Operations Research. E-Prints UPC, http://hdl.handle.net/2117/8390. Universitat Politècnica de Catalunya
Prepared for	Published by the IEEE at the proceedings of the 7th Conference on European Energy Market EEM10, Madrid, Spain
Key Words	research; electricity markets; multimarkets; day-ahead market; intraday market; AGC market; stochastic programming
Abstract	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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Publication Type	Conference Paper
Year of Publication	2010
Authors	Cristina Corchero; F.-Javier Heredia
Conference Name	7th Conference on European Energy Market EEM10
Conference Date	23-25/06/2010
Conference Location	Madrid, Spain
Type of Work	Contributed Presentation
Key Words	research; multimarket; bilateral contracts; futures contracts; optimal bid; stochastic programming; MIBEL
Abstract	Abstract—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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Publication Type	Proceedings Article
Year of Publication	2009
Authors	Heredia, F.-Javier; Rider, Marcos.-J.; Corchero, C.
Conference Name	2009 Power Engineering Society General Meeting
Pagination	1-6
Conference Start Date	26/07/2010
Publisher	IEEE
Conference Location	Calgary
ISSN Number	1944-9925
ISBN Number	978-1-4244-4241-6
Key Words	research; Electricity spot-market; bilateral contracts; combined cycle units; optimal bidding strategies; short-term electricity generation planning; stochastic programming; paper
Abstract	This paper developed a stochastic programming model that integrated the most recent regulation rules of the Spanish peninsular system 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 and combined cycle programming units, the economic dispatch of the BC 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.
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DOI	10.1109/PES.2009.5275680
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