Publication Type | Proceedings Article |
Year of Publication | 2015 |
Authors | Leire Citores; Cristina Corchero; F.-Javier Heredia |
Conference Name | 12th International Conference on the European Energy Market (EEM15) |
Pagination | 1-6 |
Conference Start Date | 19-22/05/2015 |
Publisher | IEEE |
Conference Location | Lisbon, Portugal. |
ISBN Number | 978-1-4673-6691-5 |
Key Words | Microgrids; Optimization; Production; Stochastic processes; Uncertainty; Wind power generation; Wind speed; energy system optimization; microgrid; scenario generation; stochastic programming; paper; research |
Abstract | In this work a scenario-based two-stage stochastic programming model is proposed to solve a microgrid's tertiary control optimization problem taking into account some renewable energy resource's uncertainty as well as uncertain energy deviation prices in the electricity market. Scenario generation methods for wind speed realizations are also studied. Results show that the introduction of stochastic programming represents a significant improvement over a deterministic model. |
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DOI | 10.1109/EEM.2015.7216761 |
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Publication Type | Conference Paper |
Year of Publication | 2015 |
Authors | F.-Javier Heredia; Antonio Rengifo |
Conference Name | 27th European Conference on Operational Research |
Conference Date | 12-15/07/2015 |
Conference Location | Glasgow, UK. |
Type of Work | invited |
Key Words | research; MTM2013-48462-C2-1; mixed-integer nonlinear programming; proximal bundle methods; multimarket electricity problems; parallelism |
Abstract | The use of stochastic programming to solve real instances of optimal bid problems in electricity market usually implies the solution of large scale mixed integer nonlinear optimization problems that can't be tackled with the available general purpose commercial optimisation software. In this work we show the potential of proximal bundle methods to solve large scale stochastic programming problems arising in electricity markets. Proximal bundle methods was used in the past to solve deterministic unit commitment problems and are extended in this work to solve real instances of stochastic optimal bid problems to the day-ahead market (with embedded unit commitment) with thousands of scenarios. A parallel implementation of the proximal bundle method has been developed to take profit of the separability of the lagrangean problem in as many subproblems as generation bid units. The parallel proximal bundle method (PPBM) is compared against general purpose commercial optimization software as well as against the perspective cuts algorithm, a method specially conceived to deal with quadratic objective function over semi-continuous domains. The reported numerical results obtained with a workstation with 32 threads show that the commercial software can’t find a solution beyond 50 scenarios and that the execution times of the proposed PPBM are as low as a 15% of the execution time of the perspective cut approach for problems beyond 800 scenarios. |
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The first one, Parallel Proximal Bundle Methods for Stochastic Electricity Market Problems in collaboration with Mr. Antonio Rengifo, a former student of our Master in Statistics and Operations Research.
The second one, entitled A multi-objective approach to infrastructure planning in the early stages of EV introduction in collaboration with the Energy Economy group of the Catalonia Institute for Energy Reseach.
Publication Type | Conference Paper |
Year of Publication | 2015 |
Authors | Leire Citores; Cristina Corchero; F.-Javier Heredia |
Conference Name | 12th International Conference on the European Energy Market |
Conference Date | 19-22/05/2015 |
Conference Location | Lisbon, Portugal |
Type of Work | contributed presentation |
Key Words | research; MTM2013-48462-C2-1; microgrid; stochastic programming; scenario generation; wind power |
Abstract | In this work a scenario-based two-stage stochastic programming model is proposed to solve a microgrid’s tertiary control optimization problem taking into account some renewable energy resource’s uncertainty as well as uncertain energy deviation prices in the electricity market. Scenario generation methods for wind speed realizations are also studied. Results show that the introduction of stochastic programming represents a significant improvement over a deterministic model. |
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Professor Eugenio Mijangos was visiting prof. F.-Javier Heredia at the UPC-BarcelonaTech research gropu GNOM during November 27 to 28 to start-up the tasks related with the research project FOWGEM . As a result, they are going to undertake the application of the implementation of the BFC algorithm developped by professor Mijangos to solve the multistage stochastic programming model for the multimarket optimal generation bid formulated by prof. Heredia and Dr. Corchero described in the work Efficient solution of optimal multimarket electricity bid models (Corchero, Heredia, Mijangos, DOI: 10.1109/EEM.2011.5953017). This is a previous step for the resolution of the IOGET model.
Publication Type | Conference Paper |
Year of Publication | 2014 |
Authors | F.-Javier Heredia; Julián Cifuentes; Cristina Corchero |
Conference Name | IFORS2014: 20th Conference of the International Federation of Operational Research Societies |
Conference Date | 13-18/07/2014 |
Conference Location | Barcelona |
Type of Work | Invited presentation |
Key Words | research; emission limits; risk; stochastic programming; day-ahead electricity market; combined cycle units |
Abstract | This work allows investigating the influence of the 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 (MIBEL) and the Spanish National Emission Reduction Plan (NERP) defines the environmental framework to deal with by 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 Valueat- Risk (CVaR), have been extended giving rise to the new concept of Conditional Emission at Risk (CEaR). The economic implications for a GenCo of including the environmental restrictions of this National Plan are analyzed, and the effect of the NERP in the expected profits and optimal generation bid are analyzed. |
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On June 2014 two new Master Thesis of the Master of Statistcs and Operations Research UPC-UB was presented
Dr. Cristina Corchero (IREC) and professor F.-Javier Heredia (GNOM) were the advisors of these two works developped at the facilities of the Catalonia Institute for Energy Research (IREC).
Publication Type | Tesis de Grau i Màster // BSc and MSc Thesis |
Year of Publication | 2014 |
Authors | Leire Citores |
Director | F.-Javier Heredia, Cristina Corchero |
Tipus de tesi | MSc Thesis |
Titulació | Master in Statistics and Operations research |
Centre | Faculty of Mathematics and Statistics |
Data defensa | 27/06/2014 |
Nota // mark | 10 MH (A with Honours) |
Key Words | research; teaching; microgrids, stochastic programming; scenario generation; wind generation; day-ahead electricity market; imbalances; MSc Thesis |
Abstract | In this thesis a scenario-based two-stage stochastic programming model is proposed to solve a microgrid's tertiary control optimization problem taking into account some renewable energy resource s uncertainty as well uncertain energy deviation prices in the electricity market. Scenario generation methods for wind speed realizations are also studied. Results show that the introduction of stochastic programming represents an improvement over a deterministic model. |
DOI / handle | http://hdl.handle.net/2099.1/23235 |
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Publication Type | Tesis de Grau i Màster // BSc and MSc Thesis |
Year of Publication | 2014 |
Authors | Irune Etxarri Urtasun |
Director | F.-Javier Heredia, Cristina Corchero |
Tipus de tesi | MSc Thesis |
Titulació | Master in Statistics and Operations Reseafrch |
Centre | Faculty of Mathematics and Statistics |
Data defensa | 27/06/2014 |
Nota // mark | ** |
Key Words | teaching; research; microgrids; stochastic programming; electricity market; secondary reserve; MSc Thesis |
Abstract | En este proyecto se ha propuesto un modelo estocástico de dos etapas para la gestión de energía en una microrred doméstica, introduciendo la participación en el mercado de banda de regulación. El objetivo del modelo es determinar la potencia que se oferta al mercado diario, teniendo en cuenta la participación en el mercado de banda de regulación. Se ha introducido estocasticidad en los precios de este mercado y en los precios y probabilidades del requerimiento a subir y a bajar de la energía de regulación secundaria. Se han comparado los beneficios de la microrred en caso de participar o no en el mercado de banda de regulación, y se ha visto que la participación en dicho mercado produce grandes beneficios para sus usuarios. |
DOI / handle | http://hdl.handle.net/2099.1/23233 |
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Publication Type | Funded research projects |
Year of Publication | 2014 |
Authors | F.- Javier Heredia; Ma. Pilar Muñoz; Josep Anton Sánchez; Maria Dolores Márquez; Eugenio Mijangos; Marlyn Dayana Cuadrado Guevara |
Type of participation | Principal Investigator (IP) |
Duration | 01/2014-12/2016 |
Call | PROGRAMA ESTATAL DE INVESTIGACIÓN, DESARROLLO E INNOVACIÓN ORIENTADA A LOS RETOS DE LA SOCIEDAD |
Funding organization | Ministry of Economy and Competitivity, Government of Spain |
Partners | Universitat Politècnica de Catalunya; Universitat Autònoma de Barcelona (Catalonia) Euskal Herriko Unibersitatea (Basc Country) Universidad Pontificia de Comillas (Madrid) Universidade Paulista Júlia de Mesquita Filho (Brasil) North Carolina State University (USA) Electrical Utilities: Iberdrola, Gas Natural - Fenosa. Research centers: Catalonia Institute for Energy Research. |
Full time researchers | 4,5 |
Budget | 49.000€ |
Project code | MTM2013-48462-C2-1-R |
Key Words | research; MTM2013-48462; forecasting, optimization, wind generation, energy markets; mineco; competitive; public; project; energy |
Abstract | The coordinated project " Forecasting and Optimization of Wind Generation in Energy Markets" ( FOWGEM) aims at aplying a global approach to the problem of the optimal integration of the wind-enery generation of a generation company in the wholesale electricity market through the combination of statistical forecasting models, mathematical programming models for electricity markets and optimization algorithms. In the framework of the Spanish Strategy for Science and Technology and Innovation 2013-2020 this project contributes fundamentally to challenge 3, " safe, sustainable and clean energy ." Indeed, the forecasting and optimization models and procedures that will be developed in this project, are the necessary mechanisms to allow the competitive and safe integration of wind-energy generation in the multiple-markets based wholesale national energy production system. The FOWGEM project adopts an original and global approach to this problem that combines advanced methodologies in the area of statistics, mathematical modeling of energy markets and theoretical and computatitonal optimization that were developed in several previous projects of the Plan Nacional by the groups of the Universidad Politècnica de Catalunya and the Universidad Pontificia de Comillas . The main objecives of the project are:
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