Optimal day-ahead bidding strategy with futures and bilateral contracts. Scenario generation through factor models

Publication TypeConference Paper
Year of Publication2010
AuthorsCristina Corchero; F.-Javier Heredia; M.-Pilar Muñoz
Conference Name24th European Conference on Operational Research
Conference Date11-14/07/2010
Conference LocationLisboa
Type of WorkInvited Presentation
Key Wordsresearch; electrical markets; stochastic programming; forecasting
AbstractWe propose a stochastic programming model that gives the optimal bidding, bilateral (BC) and futures contracts (FC) nomination strategy for a price-taker generation company in the MIBEL. The objective of the study is to decide the optimal economic dispatch of the physical FC and BC among the thermal units, the optimal bidding at day-ahead market (DAM) abiding by the MIBEL rules and the optimal unit commitment that maximizes the expected profits from the DAM. For the uncertainty characterization, we apply the methodology of factors models to forecast market prices in a short-term horizon.
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