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Stochastic optimal bid to electricity markets with environmental risk constraints

Wed, 03/27/2013 - 11:21 — admin
Publication TypeTesis de Grau i Màster // BSc and MSc Thesis
Year of Publication2012
AuthorsJulian Cifuentes Rubiano
DirectorF.-Javier Heredia
Tipus de tesiMSc Thesis
TitulacióMaster in Statistics and Operations Research
CentreFaculty of Mathematics and Statistics
Data defensa21/12/2012
Nota // mark9.5/10
Key Wordsteaching; stochastic programming; electricity markets; CO2 allowances; environment; emission limits; emission risk; CVaR; CEaR; modeling languages; MSc Thesis
AbstractThere are many factors that influence the day-ahead market bidding strategies of a generation company (GenCo) in the current energy market framework. Environmental policy issues have become more and more important for fossil-fuelled power plants and they have to be considered in their management, giving rise to emission limitations. This work allows to investigate the influence of both the allowances and emission reduction plan, and the incorporation of the derivatives medium-term commitments in the optimal generation bidding strategy to the day-ahead electricity market. Two different technologies have been considered: the coal thermal units, high-emission technology, and the combined cycle gas turbine units, low-emission technology. The Iberian Electricity Market and the Spanish National Emissions and Allocation Plans are the framework to deal with the environmental issues in the day-ahead market bidding strategies. To address emission limitations, some of the standard risk management methodologies developed for financial markets, such as Value-at-Risk (VaR) and Conditional Value at Risk (CVaR), have been extended. This study offers to electricity generation utilities a mathematical model to determinate the individual optimal generation bid to the wholesale electricity market, for each one of their generation units that maximizes the long-run profits of the utility abiding by the Iberian Electricity Market rules, the environmental restrictions set by the EU Emission Trading Scheme, as well as the restrictions set by the Spanish National Emissions Reduction Plan. The economic implications for a GenCo of including the environmental restrictions of these National Plans are analyzed and the most remarkable results will be presented.. The problem to be solved in this project will provide generationutilities with a mathematical tool to find the individual optimal generation bid for each one of theirgeneration units that maximizes the long-run profits of the utility abiding by the Iberian ElectricityMarket rules, the environmental restrictions of the EU Emission Trading Scheme and also by theSpanish National Emissions Reduction Plan
DOI / handlehttp://hdl.handle.net/2099.1/17485
URLClick Here
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Optimal electricity market bidding strategies considering emission allowances

Thu, 07/19/2012 - 20:45 — admin
Publication TypeProceedings Article
Year of Publication2012
AuthorsCristina Corchero; F.-Javier Heredia; Julián Cifuentes
Conference Name2012 9th International Conference on the European Energy Market (EEM 2012)
Series TitleIEEE Conference Publications
Pagination1-8
Conference Start Date10/05/2012
PublisherIEEE
Conference LocationFlorence
EditorIEEE
ISSN Number-
ISBN Number978-1-4673-0834-2
Key Wordsresearch; elecriticy; markets; CO2 allowances; emissions limits; environment; stochastic programming; modeling languages; paper
AbstractThere are many factors that influence the day-ahead market bidding strategies of a GenCo in the current energy market framework. In this work we study the influence of both the allowances and emission reduction plan and the incorporation of the derivatives medium-term commitments in the optimal generation bidding strategy to the day-ahead electricity market. Two different technologies have been considered: the coal thermal units, high-emission technology, and the combined cycle gas turbine units, low-emission technology. The operational characteristics of both kinds of units are modeled in detail. We deal with this problem in the framework of the Iberian Electricity Market and the Spanish National Emissions and Allocation Plans. The economic implications for a GenCo of including the environmental restrictions of these National Plans are analyzed.
URLClick Here
DOI10.1109/EEM.2012.6254676
Preprinthttp://hdl.handle.net/2117/18691
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Optimal electricity market bidding strategies considering emission allowances

Thu, 07/19/2012 - 10:31 — admin
Publication TypeConference Paper
Year of Publication2012
AuthorsCristina Corchero; F.-Javier Heredia; Julián Cifuentes
Conference Name9th International Conference on the European Energy Market (EEM12)
Conference Date10-12/05/2012
Conference LocationFlorence, Italy
Type of WorkContributed presentation
Key Wordsresearch; elecriticy; markets; CO2 allowances; emissions limits; environment; stochastic programming; modeling languages
AbstractThere are many factors that influence the day-ahead market bidding strategies of a GenCo in the current energy market framework. In this work we study the influence of both the allowances and emission reduction plan and the incorporation of the derivatives medium-term commitments in the optimal generation bidding strategy to the day-ahead electricity market. Two different technologies have been considered: the coal thermal units, high-emission technology, and the combined cycle gas turbine units, low-emission technology. The operational characteristics of both kinds of units are modeled in detail. We deal with this problem in the framework of the Iberian Electricity Market and the Spanish National Emissions and Allocation Plans. The economic implications for a GenCo of including the environmental restrictions of these National Plans are analyzed.
URLClick Here
ExportTagged XML BibTex
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