Electricity Market Optimization: finding the best bid through stochastic programming.

Publication TypeConference Paper
Year of Publication2010
AuthorsF.-Javier Heredia; Cristina Corchero; M.-Pilar Muñoz; Eugenio Mijangos
Conference NameConference on Numerical Optimization and Applications in Engineering (NUMOPEN-2010)
Conference Date13-15/10/2010
Conference LocationCentre de Recerca Matemàtica. UAB. Barcelona, Spain.
Type of WorkInvited presentation
Key Wordsresearch; electricity markets; stochastic programming; perspective cuts; TSFA; DPI2008-02153
AbstractThe participation in national and international electricity markets has became a very complex decision making process. Electrical utilities participating in such liberalized market have to decide daily the operation, generation scheduling and optimal bid of each one of their generation units in several consecutives day-ahead markets. In the talk, we will describe the operation rules of the Iberian Electricity Market (MIBEL), how this operation can be mathematically modelled with the help of stochastic programming into large scale nonlinear integer problems and how these difficult optimization problems can be solved with specialised algorithms. Finally, the results found for several cases with real data of Spanish utilities and MIBEL market prices will be shown.
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