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A stochastic programming model for the optimal electricity market bid problem with bilateral contracts for thermal and CC units

Thu, 10/09/2008 - 17:48 — admin

HerediaRiderCorchero_EprintsUPC_08

This work, co-authored by Dr. Marcos.-J Rider and Ms. Cristina Corchero and submitted to the journal  Annals of Operations Research, 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. This 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 contracts between all the programming units and the optimal sale bid by observing the Spanish peninsular regulation. See the full text at  http://hdl.handle.net/2117/2282

A stochastic programming model for the optimal electricity market bid problem with bilateral contracts for thermal and combined cycle units

Thu, 10/09/2008 - 17:27 — admin
Publication TypeReport
Year of Publication2008
AuthorsHeredia, F.-Javier, Rider, Marcos.-J., Corchero, C.
Pages18
Date10/2008
ReferenceGroup on Numerical Optimization and Modelling, E-Prints UPC, http://hdl.handle.net/2117/2282. UPC.
Prepared forAccepted for publication in Annals of Operations Research (2011)
CityBarcelona
Key Wordscombined cycle units; optimal bid; bilateral contracts; day-ahead market; electricity markets; stochastic programming; modeling language; research
AbstractThis 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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Optimal thermal and virtual power plants operation in the day-ahead electricity market.

Tue, 06/10/2008 - 12:22 — admin
Publication TypeConference Paper
Year of Publication2008
AuthorsF.-Javier Heredia; Marcos-J. Rider; Cristina Corchero
Conference NameAPMOD 2008 International Conference on Applied Mathematical Programming and Modelling
Series TitleAPMOD2008 CONFERENCE BOOK
Pagination21
Conference Date27-30/05/2008
Conference LocationComenius University, Bratislava, Slovak Republic
Type of WorkContributed presentation
Key Wordsstochastic programming; electricity markets; day-ahead market; bilateral contracts; Virtual Power Plant; Generic Programming Unit; MIBEL; modellization; research
AbstractThe new rules of the electrical energy production market operation of the Iberic Electricity Market MIBEL (mainland Spanish and Portuguese systems), for the diary and intra-diary market (July 2007), bring new challenges in the modeling and solution of the production market operation. Aiming to increase the proportion of electricity that is purchased through bilateral contracts with duration of several months and intending to stimulate liquidity in forward electricity markets, the Royal Decree 1634/2006, dated December 29th, 2006 imposes to Endesa and Iberdrola (the two dominant utility companies in the Spanish peninsular Markets) to hold a series of five auctions offering virtual power plant (VPP) capacity to any party who is a member of the MIBEL. Other experience of the application of VPP auctions can be seen in France, Belgium and Germany. In Spain, the VPP capacity means that the buyer of this product will have the capacity to generate MWh at his disposal. The buyer can exercise the right to produce against an exercise price that is set in advance, by paying an option premium. So although Endesa and Iberdrola still own the power plants, part of their capacity to produce will be at the disposal of the buyers of VPP. VPP capacity is represented by a set of hourly call options giving the buyer the right to nominate energy for delivery at a pre-defined exercise price. There will be baseload and peakload contracts with different exercise prices. The energy resulting from the exercise of the VPP options can be used by buyers in several ways: (a) national and international bilateral contracts prior to the day-ahead market; (b) bids to the day-ahead market and (c) national bilateral contracts after the day-ahead market. In order to operate the VPP options each buyer agent will have a Generic Unit (GU). This work develops an stochastic programming model for a Generation Company (GenCo) to find the optimal management of a VPP in the day-ahead electricity market under the most recent bilateral contracts regulation rules of MIBEL energy market.
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Stochastic programming model for the day-ahead bid and bilateral contracts settlement problem

Tue, 06/10/2008 - 11:57 — admin
Publication TypeConference Paper
Year of Publication2008
AuthorsF.-Javier Heredia; Marcos-J. Rider; Cristina Corchero
Conference NameInternational Workshop on Operational Research 2008
Series TitleI.W.OR. International Workshop on Operations Research
Pagination79
Conference Date5-7/06/2008
PublisherDept. of Statistics and Operational Research, Univ. Rey Juan Carlos.
Conference LocationDept. of Statistics and Operational Research, Univ. Rey Juan Carlos, Madrid, Spain
Type of WorkInvited presentation
ISBN Number978-84-691-3994-3
Key Wordsstochastic programming; electricity markets; day-ahead market; bilateral contracts; Virtual Power Plant; Generic Programming Unit; MIBEL; modellization; research
AbstractThe new rules of electrical energy production market operation of the Spanish peninsular system (MIBEL) from the July 2007, bring new challenges in the modeling and solution of the production market operation. In order to increase the proportion of electricity that is purchased through bilateral contracts and to stimulate liquidity in forward electricity markets, the MIBEL rules imposes to the dominant utility companies in the Spanish peninsular Markets to hold a series of auctions offering virtual power plant (VPP) capacity to any party who is a member of the Spanish peninsular electricity market. In Spain, the VPP capacity means that the buyer of this product will have the capacity to generate MWh at his disposal. The energy resulting from the exercise of the VPP options can be used by buyers in several ways: covering national and international bilateral contracts prior to the day-ahead market; bidding to the day-ahead market and covering national bilateral contracts after the day-ahead market. This work develops a stochastic programming model that integrates the most recent regulation rules of the Spanish peninsular system for bilateral contracts, especially VPP auctions, in the day-ahead optimal bid problem. The model currently developed 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 and generic units and the optimal bid observing the Spanish peninsular regulation. The scenario tree representing the uncertainty of the spot prices is built applying reduction techniques to the tree obtained from an ARIMA model. The model was solved with real data of a Spanish generation company and market prices.
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Planificación de la generación eléctrica a corto y largo plazo en un mercado liberalizado con contratos bilaterales (DPI2005-09117-C02-01).

Wed, 10/24/2007 - 23:39 — admin
Publication TypeFunded research projects
Year of Publication2005
AuthorsF.-Javier Heredia
Type of participationFull time researcher
Duration01/2006-12/2008
Funding organizationMinisterio de Educación y Ciencia
PartnersDepartament d'Estadística i Investigació Operativa, Universidad Politèctica de Catalunya; Unión Fenosa
Full time researchers5
Budget289.408'00€
Project codeDPI2005-09117-C02-01
Key Wordsresearch; stochastic programming; electricity markets; future contracts; bilateral contracts; regulation markets; project; public; competitive; micinn; energy
AbstractThe project aims at two new features: the simultaneous consideration of bidding power to the liberalized market and of bilateral contracts (between a generation company and a consumer client), given the future elimination of the current regulations discouraging bilateral contracts, and the developement of optimization procedures more efficient than those employed now to solve these problems. This higher efficiency will allow a more accurate modeling and solving larger real problems in reasonable CPU time. In this project, both modeling languages and commercially available solvers in the one hand, and our own optimization algorithms in the other are employed. The algorithms to be developed include the use of: interior-point methods, global optimization, column-generation methods, and Lagrangian relaxation procedures employing dual methods
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