@conference { ,
	title = {Stochastic programming model for the day-ahead bid and bilateral contracts settlement problem},
	year = {2008},
	month = {5-7/06/2008},
	pages = {79},
	publisher = {Dept. of Statistics and Operational Research, Univ. Rey Juan Carlos.},
	type = {Invited presentation},
	address = {Dept. of Statistics and Operational Research, Univ. Rey Juan Carlos, Madrid, Spain},
	abstract = {The 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. 
},
	keywords = {stochastic programming; electricity markets; day-ahead market; bilateral contracts; Virtual Power Plant; Generic Programming Unit; MIBEL; modellization; research},
	ISBN = {978-84-691-3994-3},
	URL = {http://bayes.escet.urjc.es/~iwor},
	author = {F.-Javier Heredia and Marcos-J. Rider and Cristina Corchero}
}

