day-ahead market

Efficient Solution of Optimal Multimarket Electricity Bid Models

Publication TypeConference Paper
Year of Publication2011
AuthorsCristina Corchero; F.-Javier Heredia; Eugenio Mijangos
Conference Name8th International Conference on the European Energy Market (EEM11)
Series TitleInternational Conference on the European Energy Market
Conference Date25-27/05/2011
PublisherInstitute of Electrical and Electronics Engineers, Inc.
Conference LocationZagreb, Croatia
EditorMarko Delimar
Type of WorkContributed presentacion
ISBN Number978-1-61284-284-4
Key Wordsspot electricity markets; financial electricity markets; Iberian Electricity Market; stochastic programming; perspective cuts; research; 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.
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A stochastic programming model for the optimal electricity market bid problem with bilateral contracts for thermal and combined cycle units

Publication TypeJournal Article
Year of Publication2012
AuthorsF.-Javier Heredia; Marcos J. Rider; C. Corchero
Journal TitleAnnals of Operations Research
Volume193
Issue1
Pages107-127
Start Page107
Journal Date2012
PublisherSpringer
ISSN Number0254-5330
Key Wordsresearch; paper; stochastic programming; day-ahead market; combined cycle; bilateral contracts; modeling; DPI2008-02154
AbstractThis paper develops a stochastic programming model that integrates the most recent regulation rules of the Spanish peninsular system for bilateral contracts in the dayahead optimal bid problem. Our model allows a price-taker generation company to decide the unit commitment of the thermal and combined cycle programming units, the economic dispatch of the bilateral contract between all the programming units and the optimal sale bid by observing the Spanish peninsular regulation. The model was solved using real data of a typical generation company and a set of scenarios for the Spanish market price. The results are reported and analyzed. The main contributions of this paper include: (a) a new model for the optimal bid function and matched energy for thermal and CC units, (b) a new and detailed mixed-integer formulation of the operation rules of the CC units and (c) the joint optimization of all the above-mentioned factors together with the BC duties. The model was tested with real data of market prices and programming units of a GenCo operating in the Spanish electricity market.
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DOI10.1007/s10479-011-0847-x
Preprinthttp://hdl.handle.net/2117/2282
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A Stochastic Programming Model for the Thermal Optimal Day-Ahead Bid Problem with Physical Futures Contracts

Publication TypeJournal Article
Year of Publication2011
AuthorsCristina Corchero; F.-Javier Heredia
Journal TitleComputers & Operations Research
Volume38
Issue11
Pages1501-1512
Start Page1501
Journal Date2011
PublisherElsevier
ISSN Number0305-0548
Key Wordsresearch; paper; stochastic programming; optimal bod; day-ahead market; MIBEL; DPI2008-02154; modeling
URLClick Here
DOI10.1016/j.cor.2011.01.008
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New paper accepted for publication in Annals of Operations Research

The work A stochastic programming model for the optimal electricity market bid problem with bilateral contracts for thermal and combined cycle units of F.-Javier Heredia, Marcos J. Rider and C. Corchero has been accepted for publication in the journal Annals of Operations Research. A preliminary version of the manuscript is available at E-Prints UPC http://hdl.handle.net/2117/2282. This study, which was developed as a part of the research project DPI2008-02153,  allows a price-taker generation company to decide the unit commitment of the thermal and combined cycle programming units, the economic dispatch of the bilateral contract between all the programming units and the optimal sale bid by observing the Spanish peninsular regulation.

New paper accepted for publication in Computers & Operations Research

 The work A Stochastic Programming Model for the Thermal Optimal Day-Ahead Bid Problem with Physical Futures Contracts of C. Corchero and F.-Javier Heredia, has been accepted for publication in the journal Computers & Operations Research (DOI:10.1016/j.cor.2011.01.008). A preprint version of the manuscript is available at http://hdl.handle.net/2117/2795. The goal of this work, which was developed as a part of the research project DPI2008-02153,  is to optimize coordination between physical futures contracts and the day-ahead bidding which follow the MIBEL's regulation. The authors propose a stochastic quadratic mixed-integer programming model which maximizes the expected profits, taking into account futures contracts settlement.

Optimal Day-Ahead Bidding in the MIBEL's Multimarket Energy Production System

Publication TypeProceedings Article
Year of Publication2010
AuthorsCristina Corchero; F.-Javier Heredia
Conference Name7th Conference on European Energy Market EEM10
Series TitleProceedings of the 7th Conference on European Energy Market EEM10
Volume1
Pagination1 - 6
Conference Start Date23/06/2010
PublisherIEEE
Conference LocationMadrid
EditorIEEE
ISBN Number978-1-4244-6838-6
Key Wordsresearch; DPI2008-02153; multimarket; MIBEL; stochastic programming; futures contracts; bilateral contracts; optimal bid; paper
AbstractA Generation Company (GenCo) can participate in the Iberian Electricity Market (MIBEL) through different mechanisms and pools: the bilateral contracts, the physical derivatives products at the Derivatives Market, the bids to the Day-Ahead Market, the Intraday Markets or the Ancillary Services Markets. From the short-term generation planning point of view, the most important problem to solve is the bidding strategy for the Day-Ahead Market (DAM) given that the 85% of the physical energy traded in Spain is negotiated in it, but this participation cannot be tackled independently of other subsequent markets.
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DOI10.1109/EEM.2010.5558714
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A decision support procedure for the short-term scheduling problem of a generation company operating on day-ahead and physical derivatives electricity markets

Publication TypeConference Paper
Year of Publication2009
AuthorsM.-Teresa Vespucci; Cristina Corchero; Mario Innorta; F.-Javier Heredia
Conference Name11th International Conference on the Modern Information Technology in the Innovation Processes of the Industrial Enterprises (MITIP 2009)
Series TitleProceedings of the 11th International Conference on the Modern Information Technology in the Innovation Processes of the Industrial Enterprises (MITIP 2009)
Conference Date15-16/10/2009
Conference LocationBergamo, Italy
Type of Workinvited presentation
ISBN Number978-88-89555-09-05
Key Wordsresearch; hydro-thermal; futures; day-ahead; GAMS, CPLEX
AbstractWe consider a generation company operating in the liberalized electricity market, whose production system consists of hydro and thermal plants. Production is sold either directly to customers, by means of bilateral contracts, or on the spot market, where the electricity price is unknow until the market clearing process has taken place. Price risk may be hedged by financial tools provided by the Derivative Electricity Market. In this work futures contracts are considered, i.e. agreements to sell electricity in the future for a specified price. A Mixed Integer Linear Programming model is introduced for determining the unit commitment of thermal units and the dispatchment of available thermal units and hydro plants, aiming at maximizing profits. Numerical results on a case study are reported
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Optimal day-ahead bidding strategy in the MIBEL's multimarket energy production system

Publication TypeReport
Year of Publication2010
AuthorsCristina Corchero; F.-Javier Heredia
Pages6
Date07/2010
ReferenceResearch report DR 2010/**, Dept. of Statistics and Operations Research. E-Prints UPC, http://hdl.handle.net/2117/8390. Universitat Politècnica de Catalunya
Prepared forPublished by the IEEE at the proceedings of the 7th Conference on European Energy Market EEM10, Madrid, Spain
Key Wordsresearch; electricity markets; multimarkets; day-ahead market; intraday market; AGC market; stochastic programming
AbstractA Generation Company (GenCo) can participate in the Iberian Electricity Market (MIBEL) through different mechanisms and pools: the bilateral contracts, the physical derivatives products at the Derivatives Market, the bids to the Day-Ahead Market, the Intraday Markets or the Ancillary Services Markets. From the short-term generation planning point of view, the most important problem to solve is the bidding strategy for the Day-Ahead Market (DAM) given that the 85% of the physical energy traded in Spain is negotiated in it, but this participation cannot be tackled independently of other subsequent markets.
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Optimal Day-Ahead Bidding in the MIBEL's Multimarket Energy Production System

Publication TypeConference Paper
Year of Publication2010
AuthorsCristina Corchero; F.-Javier Heredia
Conference Name7th Conference on European Energy Market EEM10
Conference Date23-25/06/2010
Conference LocationMadrid, Spain
Type of WorkContributed Presentation
Key Wordsresearch; multimarket; bilateral contracts; futures contracts; optimal bid; stochastic programming; MIBEL
AbstractAbstract—A Generation Company (GenCo) can participate in the Iberian Electricity Market (MIBEL) through different mechanisms and pools: the bilateral contracts, the physical derivatives products at the Derivatives Market, the bids to the Day-Ahead Market, the Intraday Markets or the Ancillary Services Markets. From the short-term generation planning point of view, the most important problem to solve is the bidding strategy for the Day-Ahead Market (DAM) given that the 85% of the physical energy traded in Spain is negotiated in it, but this participation cannot be tackled independently of other subsequent markets.
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Optimal Bidding Strategies for Thermal and Combined Cycle Units in the Day-ahead Electricity Market with Bilateral Contracts

Publication TypeProceedings Article
Year of Publication2009
AuthorsHeredia, F.-Javier; Rider, Marcos.-J.; Corchero, C.
Conference Name2009 Power Engineering Society General Meeting
Pagination1-6
Conference Start Date26/07/2010
PublisherIEEE
Conference LocationCalgary
ISSN Number1944-9925
ISBN Number978-1-4244-4241-6
Key Wordsresearch; Electricity spot-market; bilateral contracts; combined cycle units; optimal bidding strategies; short-term electricity generation planning; stochastic programming; paper
AbstractThis paper developed a stochastic programming model that integrated the most recent regulation rules of the Spanish peninsular system 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 and combined cycle programming units, the economic dispatch of the BC between all the programming units and the optimal sale bid by observing the Spanish peninsular regulation. The model was solved using real data of a typical generation company and a set of scenarios for the Spanish market price. The results are reported and analyzed.
URLClick Here
DOI10.1109/PES.2009.5275680
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