Publication Type | Proceedings Article |
Year of Publication | 2015 |
Authors | F.-Javier Heredia; Jordi Riera; Montserrat Mata; Joan Escuer; Jordi Romeu |
Conference Name | 12th International Conference on the European Energy Market (EEM15) |
Pagination | 1- 5 |
Conference Start Date | 19/05/2015 |
Publisher | IEEE |
Conference Location | Lisbone, Portugal. |
ISBN Number | 978-1-4673-6692-2/15 |
Key Words | virtual power plants; energy economy; battery energy storage systems; electricity markets; SAS/OR; wind power; research; paper |
Abstract | Battery electric storage systems (BESS) in the range of 1-10 MWh is a key technology allowing a more efficient operation of small electricity market producer. The aim of this work is to assess the economic viability of Li-ion based BESS systems for small electricity producers. The results of the ex-post economic analysis performed with real data from the Iberian Electricity Market shows the economic viability of a Li-ion based BESS thanks to the optimal operation in day-ahead and ancillary electricity markets. |
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DOI | 10.1109/EEM.2015.7216739 |
Preprint | http://hdl.handle.net/2117/82524 |
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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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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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Publication Type | Conference Paper |
Year of Publication | 2015 |
Authors | F.-Javier Heredia; Jordi Riera; Montserrat Mata; Joan Escuer; Jordi Romeu |
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; battery electricity storage systems; electricity markets; day-ahead market; secondary reserve market; SAS/OR; wind power plants; energy economy; virtual power plant |
Abstract | Battery electric storage systems (BESS) in the range of 1-10 MWh is a key technology allowing a more efficient operation of small electricity market producer. The aim of this work is to assess the economic viability of Li-ion based BESS systems for small electricity producers. The results of the ex-post economic analysis performed with real data from the Iberian Electricity Market shows the economic viability of a Li-ion based BESS thanks to the optimal operation in day-ahead and ancillary electricity markets. |
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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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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 | Report |
Year of Publication | 2013 |
Authors | Lucía Igualada; Cristina Corchero; Miguel Cruz-Zambrano; F.-Javier Heredia |
Pages | 9 |
Date | 11/2013 |
Reference | Research report DR 2013/05, Dept. of Statistics and Operations Research. E-Prints UPC, http://hdl.handle.net/2117/20642. Universitat Politècnica de Catalunya |
Prepared for | Published at IEEE Transactions on Smart Grids (DOI: 10.1109/TSG.2014.2318836) |
Key Words | research; optimal management; smart grids; vehicle-to-grid; renewable generation; microgrids |
Abstract | An optimization model is proposed to manage a residential microgrid including a charging spot with a vehicle-to-grid system and renewable energy sources. In order to achieve a realistic and convenient management, we take into account: (1) the household load split into three different profiles depending on the characteristics of the elements considered; (2) a realistic approach to owner behavior by introducing the novel concept of range anxiety; (3) the vehicle battery management considering the mobility profile of the owner and (4) different domestic renewable energy sources. We consider the microgrid operated in grid-connected mode. The model is executed one-day-ahead and generates a schedule for all components of the microgrid. The results obtained show daily costs in the range of 2.82€ to 3.33€; the proximity of these values to the actual energy costs for Spanish households validate the modeling. The experimental results of applying the designed managing strategies show daily costs savings of nearly 10%. |
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Publication Type | Report |
Year of Publication | 2013 |
Authors | F.-Javier Heredia; Julian Cifuentes; Cristina Corchero |
Pages | 21 |
Date | 09/2013 |
Reference | Research report DR 2013/04, Dept. of Statistics and Operations Research. E-Prints UPC, http://hdl.handle.net/2117/20640. Universitat Politècnica de Catalunya |
Prepared for | submitted |
Key Words | research; OR in Energy; Stochastic Programming; Risk Management; Electricity market; Emission reduction |
Abstract | There 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 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 Value-at-Risk (CVaR), have been extended giving rise to the new concept of Conditional Emission-at-Risk (CEaR). 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, as well as the environmental restrictions set by the Spanish National Emissions Reduction Plan. 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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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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Publication Type | Proceedings Article |
Year of Publication | 2012 |
Authors | Cristina Corchero; F.-Javier Heredia; Julián Cifuentes |
Conference Name | 2012 9th International Conference on the European Energy Market (EEM 2012) |
Series Title | IEEE Conference Publications |
Pagination | 1-8 |
Conference Start Date | 10/05/2012 |
Publisher | IEEE |
Conference Location | Florence |
Editor | IEEE |
ISSN Number | - |
ISBN Number | 978-1-4673-0834-2 |
Key Words | research; elecriticy; markets; CO2 allowances; emissions limits; environment; stochastic programming; modeling languages; paper |
Abstract | There 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. |
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DOI | 10.1109/EEM.2012.6254676 |
Preprint | http://hdl.handle.net/2117/18691 |
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