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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.
URLClick Here
DOI10.1007/s11750-011-0240-6
Preprinthttp://hdl.handle.net/2117/18368
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International conference Optimization, Theory, Algorithms and Applications in Economics

Wed, 10/26/2011 - 15:18 — admin
This international conference , which is a tribute to Juan-Enrique Martinez-Legaz on the occasion of his 60th birthday, has the aim of a top-level scientific meeting to promote a broad exchange of information and new developments in the areas of Functional and Variational Analysis, Control, Optimization and Applications in Economics. The event included a half-day workshop applications of Optimization in Engineering. I was invited to contribute to this last wokshop with the presentation of the work "A multistage stochastic programming model for the optimal multimarket electricity bid problem".

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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Optimal sale bid for a wind producer in Spanish electricity market

Wed, 10/26/2011 - 13:56 — admin
Publication TypeTesis de Grau i Màster // BSc and MSc Thesis
Year of Publication2011
AuthorsSimona Sacripante
DirectorF.-Javier Heredia
Tipus de tesiMSc Thesis
TitulacióMaster in Statistics and Operations Research
CentreFaculty of Mathematics and Statistics
Data defensa10/11/2011
Nota // mark9 / 10
Key Wordsteaching; renewebable energy; electricity market; optimal bid; wind generators; wind; intraday market; wind producer; MSc Thesis
AbstractThe 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.
DOI / handlehttp://hdl.handle.net/2099.1/13914
URLClick Here
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25th IFIP TC7 Conference on System Modeling and Optimization

Thu, 09/22/2011 - 10:33 — admin
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 "

Solving electricity market quadratic problems by Branch and Fix Coordination methods

Fri, 09/16/2011 - 16:37 — admin
Publication TypeConference Paper
Year of Publication2011
AuthorsF.-Javier Heredia; Cristina Corchero; Eugenio Mijangos
Conference Name25th IFIP TC7 Conference on System Modeling and Optimization
Conference Date12-16/09/2011
Conference LocationBerlin
Type of Workcontributed presentation
Key Wordsresearch; optimal bid; day-ahead electricity market; branch and fix coordination; perspective cuts; bilateral contracts; futures contracts; stochastic programming
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 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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Management Science Optimization Modeling with SAS/OR

Mon, 06/27/2011 - 20:19 — admin

 Els próxims dies 12, 13 i 14 de juliol participaré al V Summer School del Màster Interuniversitari d'Estadística i Investigació Operativa UP/UB impartint el curs  Management Science Optimization Modeling with SAS/OR , en col·laboració amb la professora Crisitina Corchero, investigadora de l'IREC i GNOM. Els objectius del curs son:

"This course is focused on the possibilities of the SAS/OR package to implement and solve some optimization models that are in the core of the so called Analytic Consulting which represents the application of the MS methodology to the consulting Activity. Although commonly considered as software for data management, SAS also includes through his SAS/OR package (OR for Operations Research) a broad list of procedures to implement and solve any kind of optimization problems. The course will give basic skills to the participants for the efficiency formulation, implementation, solution and analysis of several management science optimization problems with SAS/OR."

Podeu consultar els detalls del curs en aquest enllaç .

Introducción a SAS System

Mon, 06/27/2011 - 19:47 — admin
Publication TypeConference/School/Seminar attendance
Year of Publication2011
AuthorsF.-Javier Heredia
Event Typecurs / course
Conference OrganiserServeis Tècnics de Recerca de la Universitat de Girona
Conference Dates2-23/06/2011
Conference LocationOnline
Key Wordsresearch; teaching; software; SAS
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VI Barcelona Global Energy Challenges

Wed, 06/08/2011 - 07:48 — admin
Publication TypeConference/School/Seminar attendance
Year of Publication2011
AuthorsF.-Javier Heredia
Conference NameVI Barcelona Global Energy Challenges
Event TypeConference
Conference OrganiserInstitut de Recerca en Energia de Catalunya; MIT Industrial Liason Program; b_TEC
Conference Dates2-3/06/2011
Conference LocationBarcelona, Spain
Key Wordsresearch; energy; efficiency; sustainability
AbstractIn view of the changing energy paradigm in which we find ourselves, where concepts such as the security of supplies, the environment and energy efficiency have drastically changed the political and social model applied to conventional sources of energy, what will be the energy challenges over the next few years? Given the various alternatives currently possible for changing sources of energy supply and the business models in place with regard to consumption, how can we anticipate future developments? Which options will be most successful? What are the technological challenges that the best universities, the best research centres and the best businesses are trying to overcome? To what degree can we anticipate the future focus of energy innovation? It is these and other questions on which we will focus and attempt to answer at the conference: Barcelona Global Energy Challenges, which will be attended by lecturers from MIT, and the most representative businesses and organisations from the energy sector that are spearheading the changes in this technological model. This is the sixth edition of the Barcelona Global Energy Challenges, which, once again, will take place in Barcelona on the 2nd and 3rd of June.
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VI Barcelona Global Energy Challenges

Wed, 06/08/2011 - 07:45 — admin

Last June 2 and 3 I was attending the Barcelona Global Energy Challenges conference that was held in Barcelona. It was the sixth edition of a forum co-organized by the  MIT Industrial Liason Program (MITILP), the Institute for the Energy Research of Catalonia (IREC) and the b_TEC foundation (b_TEC). In view of the current energy paradigm shift, representatives from the key institutions leading changes in technology and energy will answer questions like: What are the technological challenges facing top research centers and universities? How will the energy future unfold? What will the most successful options be? What areas will be the focus of energy innovation?
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