A new optimal electricity market bid model solved through perspective cuts
Fri, 09/06/2013 - 15:58 — admin
| Publication Type | Report |
| Year of Publication | 2011 |
| Authors | Cristina Corchero; Eugenio Mijangos; F.-Javier Heredia |
| Pages | 25 |
| Date | 11/2011 |
| Reference | Research report DR 2011/04, Dept. of Statistics and Operations Research. E-Prints UPC, http://hdl.handle.net/2117/18368. Universitat Politècnica de Catalunya |
| Prepared for | Published by TOP |
| Key Words | research; electricity market; |
| Abstract | On current electricity markets the electrical utilities are faced with very sophisticated
decision making problems under uncertainty. Moreover, when focusing in the shortterm
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. |
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