day-ahead market

A new optimal electricity market bid model solved through perspective cuts

Publication TypeReport
Year of Publication2011
AuthorsCristina Corchero; Eugenio Mijangos; F.-Javier Heredia
Pages25
Date11/2011
ReferenceResearch report DR 2011/04, Dept. of Statistics and Operations Research. E-Prints UPC, http://hdl.handle.net/2117/18368. Universitat Politècnica de Catalunya
Prepared forPublished by TOP
Key Wordsresearch; electricity market;
AbstractOn 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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Optimal electricity market bidding strategies considering emission allowances

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.
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DOI10.1109/EEM.2012.6254676
Preprinthttp://hdl.handle.net/2117/18691
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Optimal sale bid for a wind producer in Spanish electricity market through stochastic programming

Publication TypeConference Paper
Year of Publication2012
AuthorsSimona Sacripante; F.-Javier Heredia; Cristina Corchero
Conference Name9th International Conference on Computational Management Science.
Conference Date18-20/04/2012
Conference LocationLondon
Type of WorkInvited presentation
Key Wordsresearch; stochastic programming; wind producer; renewable energy; multimarket; electricity market; optimal bid; DPI2008-02153
AbstractWind power generation has a key role in Spanish electricity system since it is a native source of energy that could help Spain to reduce its dependency on the exterior for the production of electricity. Apart from the great environmental benefits produced, wind energy reduce considerably spot energy price, reaching to cover 16,6 % of peninsular demand. Although, wind farms show high investment costs and need an efficient incentive scheme to be financed. If on one hand, Spain has been a leading country in Europe in developing a successful incentive scheme, nowadays tariff deficit and negative economic conjunctures asks for consistent reductions in the support mechanism and demand wind producers to be able to compete into the market with more mature technologies. The objective of this work is to find an optimal commercial strategy in the production market that would allow wind producer to maximize their daily profit. That can be achieved on one hand, increasing incomes in day-ahead and intraday markets, on the other hand, reducing deviation costs due to error in generation predictions. We will previously analyze market features and common practices in use and then develop our own sale strategy solving a two-stage linear stochastic optimization problem. The first stage variable will be the sale bid in the day–ahead market while second stage variables will be the offers to the six sessions of intraday market. The model is implemented using real data from a wind producer leader in Spain.
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Optimal electricity market bidding strategies considering emission allowances

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.
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A new optimal electricity market bid model solved through perspective cuts

Publication TypeJournal Article
Year of Publication2013
AuthorsCristina Corchero; Eugenio Mijangos; F.-Javier Heredia
Journal TitleTOP
Volume21
Issue1
Pages25
Start Page84
Journal Date04/2013
Short TitleA new optimal electricity market bid model
PublisherSpringer
ISSN Number1134-5764
Key Wordsresearch; paper; electricity market; day-ahead; bilateral contracts; future contracts; Optimal bid; Stochastic programming; Perspective cuts; mixed integer nonlinear programming; DPI2008-02153; Q3
AbstractOn current electricity markets the electrical utilities are faced with very sophisticated decision making problems under uncertainty. Moreover, when focusing in the short-term 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.
URLClick Here
DOI10.1007/s11750-011-0240-6
Preprinthttp://hdl.handle.net/2117/18368
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A multistage stochastic programming model for the optimal multimarket electricity bid problem

Publication TypeConference Paper
Year of Publication2011
AuthorsF.-Javier Heredia; Cristina Corchero
Conference NameOptimization, Theory, Algorithms and Applications in Economics (OPT 2011)
Conference Date24-28/10/2011
Conference LocationCentre de Recerca Matemàtica. Barcelona, Spain.
Type of WorkInvited presentation
Key Wordsresearch; optimal bid; day-ahead electricity market; multimarket; perspective cuts; bilateral contracts; futures contracts; stochastic programming; DPI2008-02153
AbstractShort-term electricity market is made up of a sequence of markets, that is, it is a multimarket enviroment. In the case of the Iberian Energy Market the sequence of major short-term electricity markets are the day-ahead market, the ancillary service market or secondary reserve market (henceforth reserve market), and a set of six intraday markets. Generation Companies (GenCos) that participate in the electricity market could increase their benefits by jointly optimizing their participation in this sequence of electricity markets. This work proposes a stochastic programming model that gives the GenCo the optimal bidding strategy for the day-ahead market (DAM), which considers the benefits and costs of participating in the subsequent markets and which includes both physical futures contracts and bilateral contracts. Numerical results are reported and discussed.
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Optimal sale bid for a wind producer in Spanish electricity market

Publication TypeTesis de Grau i Màster // BSc and MSc Thesis
Year of Publication2011
AuthorsSimona Sacripante
DirectorF.-Javier Heredia
Tipus de tesiMSc Thesis
TitulacióMaster in Statistics and Operations Research
CentreFaculty of Mathematics and Statistics
Data defensa10/11/2011
Nota // mark9 / 10
Key Wordsteaching; renewebable energy; electricity market; optimal bid; wind generators; wind; intraday market; wind producer; MSc Thesis
AbstractThe objective of this work is to find an optimal commercial strategy in the production market that would allow wind producer to maximize their daily profit. That can be achieved on one hand, increasing incomes in day-ahead and intraday markets, on the other hand, reducing deviation costs due to error in generation predictions.
DOI / handlehttp://hdl.handle.net/2099.1/13914
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25th IFIP TC7 Conference on System Modeling and Optimization

 The International Federation for Information Processing Technical Committee 7 - System Modeling and Optimization - arranges in a cycle of two years highly regarded conferences to several topics of Applied Optimization such as  Optimal Control of Ordinary and Partial Differential Equations, Modeling and Simulation, Nonlinear, Discrete, and Stochastic Optimization and Industrial Applications. This year the conference was celebrated in the Berlin Institute of Technology, and I participated with a contributed talk entitled "Solving electric market quadratic problems by Branch and Fix Coordination methods "

Solving electricity market quadratic problems by Branch and Fix Coordination methods

Publication TypeConference Paper
Year of Publication2011
AuthorsF.-Javier Heredia; Cristina Corchero; Eugenio Mijangos
Conference Name25th IFIP TC7 Conference on System Modeling and Optimization
Conference Date12-16/09/2011
Conference LocationBerlin
Type of Workcontributed presentation
Key Wordsresearch; optimal bid; day-ahead electricity market; branch and fix coordination; perspective cuts; bilateral contracts; futures contracts; stochastic programming
AbstractThe electric market regulation in Spain (MIBEL) establishes the rules for bilateral contracts in the day-ahead optimal bid problem. Our model allows a price-taker generation company to decide the unit commitment of the thermal units, the economic dispatch of the bilateral contracts between the thermal units and the optimal sale bids for the thermal units observing the MIBEL regulation. The uncertainty of the spot prices is represented through scenario sets. We solve this model on the framework of the Branch and Fix Coordination metodology as a quadratic, two-stage stochastic problem. Numerical results are reported.
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Efficient Solution of Optimal Multimarket Electricity Bid Models

Publication TypeProceedings Article
Year of Publication2011
AuthorsCristina Corchero; F.-Javier Heredia; Eugenio Mijangos
Conference Name8th International Conference on the European Energy Market (EEM11)
Series TitleTo be published in the IEEEXplore
Pagination244-249
Conference Start Date25/05/2011
PublisherInstitute of Electrical and Electronics Engineers, Inc.
Conference LocationZagreb, Croatia
EditorMarko Delimar
ISBN Number978-1-61284-286-8/11
Key Wordsspot electricity markets; financial electricity markets; Iberian Electricity Market; stochastic programming; perspective cuts; research; DPI2008-02153; paper
AbstractShort-term electricity market is made up of a sequence of markets, that is, it is a multimarket enviroment. In the case of the Iberian Energy Market the sequence of major short-term electricity markets are the day-ahead market, the ancillary service market or secondary reserve market (henceforth reserve market), and a set of six intraday markets. Generation Companies (GenCos) that participate in the electricity market could increase their benefits by jointly optimizing their participation in this sequence of electricity markets. This work proposes a stochastic programming model that gives the GenCo the optimal bidding strategy for the day-ahead market (DAM), which considers the benefits and costs of participating in the subsequent markets and which includes both physical futures contracts and bilateral contracts.
URLClick Here
DOI10.1109/EEM.2011.5953017
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