F.-Javier Heredia - Academic web site

Publication Type	Proceedings Article
Year of Publication	2011
Authors	Cristina Corchero; F.-Javier Heredia; Eugenio Mijangos
Conference Name	8th International Conference on the European Energy Market (EEM11)
Series Title	To be published in the IEEEXplore
Pagination	244-249
Conference Start Date	25/05/2011
Publisher	Institute of Electrical and Electronics Engineers, Inc.
Conference Location	Zagreb, Croatia
Editor	Marko Delimar
ISBN Number	978-1-61284-286-8/11
Key Words	spot electricity markets; financial electricity markets; Iberian Electricity Market; stochastic programming; perspective cuts; research; DPI2008-02153; paper
Abstract	Short-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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DOI	10.1109/EEM.2011.5953017
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Publication Type	Conference Paper
Year of Publication	2011
Authors	Cristina Corchero; F.-Javier Heredia; Eugenio Mijangos
Conference Name	8th International Conference on the European Energy Market (EEM11)
Series Title	International Conference on the European Energy Market
Conference Date	25-27/05/2011
Publisher	Institute of Electrical and Electronics Engineers, Inc.
Conference Location	Zagreb, Croatia
Editor	Marko Delimar
Type of Work	Contributed presentacion
ISBN Number	978-1-61284-284-4
Key Words	spot electricity markets; financial electricity markets; Iberian Electricity Market; stochastic programming; perspective cuts; research; DPI2008-02153
Abstract	Short-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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Publication Type	Tesis de Grau i Màster // BSc and MSc Thesis
Year of Publication	2011
Authors	Unai Aldasoro Marcellan
Director	F. Javier Heredia
Tipus de tesi	MSc Thesis
Titulació	Màster in Statistics and Operations Research
Centre	Facultat de Matemàtiques i Estadística, departament d'Estadística i Investigació Operativa, UPC
Data defensa	16/03/2011
Nota // mark	Matrícula d'Honor (10/10)
Key Words	teaching; research; dual methods; electricity markets; DPI2008-02153; mixed integer nonlinear programming; proximal bundle method; optimal day-ahead bid; electricity multimarket; MSc Thesis
Abstract	El presente trabajo plantea la resolución computacional de un modelo de optimización de la oferta de generación eléctrica para compañías eléctricas que participan en el mercado eléctrico liberalizado MIBEL. Dicho mercado se circunscribe a España y Portugal y se compone de una serie de subastas energéticas consecutivas donde el operador de mercado realiza para cada una de ellas la casación entre la oferta y demanda. Así, el objetivo de la compañía generadora será maximizar los beneficios obtenidos en la participación del conjunto de mercados teniendo en cuenta el cumplimiento de las obligaciones contractuales ya establecidas. El modelo matemático propuesto para su caracterización corresponde a un modelo de programación estocástica multietapa cuyo equivalente determinista es un problema de optimización cuadrática con variable binaria. Con el objetivo de aprovechar la estructura del problema se procede a plantear la dualización de un grupo de restricciones que producen que el problema original pueda ser dividido en subproblemas. Para su resolución se deberá estudiar la idoneidad de diversos métodos duales (subgradiente, Bundle Methods, ACCPM) y seleccionar el más conveniente para el caso abordado. La decisión finalmente adoptada ha consistido en elegir como método de resolución el algoritmo Proximal Bundle Method descrito en [18] y adaptado satisfactoriamente a problemas de coordinación de la generación hidro-térmica [17]. El análisis de método Proximal Bundle Method corresponderá a su compresión e interpretación gráfica, a la resolución de un ejemplo de pequeña escala de manera analítica y a su resolución computacional. El objetivo de la fase de resolución será valorar el proceso iterativo y la convergencia del Proximal Bundle Method aplicado al problema multimercado de oferta óptima y la comparación de resultados respecto a otro método dual como el método del subgradiente. La implementación computacional se realizará mediante el lenguaje C++, específicamente se utilizará el metalenguaje Concert Techonolgy creado por IBM para el enlace entre el código C++ y el solver CPLEX. Se comprueba que dicho lenguaje tiene como ventajas principales su simplicidad estructural y el compacto código que produce. No obstante la implementación del Proximal Bundle Method manifiesta una serie de limitaciones prácticas de Concert Technology en cuanto al almacenado y actualización de problemas de optimización. Se propone como línea de futuro el análisis de lenguajes alternativos. En todo caso, los resultados obtenidos desprenden que el Proximal Bundle Method se adapta satisfactoriamente al problema multimercado de oferta óptima, además se concluye que en la aplicación numérica considerada un tamaño de Bundle ilimitado produce los mejores resultados. Además en trabajo propone una serie de líneas de investigación futuras en las que destacan la paralelización de la resolución de los subproblemas, y la definición del subproblema asociado a cada térmica como un problema de caminos mínimos
DOI / handle	http://hdl.handle.net/2099.1/13917
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Publication Type	Journal Article
Year of Publication	2011
Authors	Cristina Corchero; F.-Javier Heredia
Journal Title	Computers & Operations Research
Volume	38
Issue	11
Pages	1501-1512
Start Page	1501
Journal Date	2011
Publisher	Elsevier
ISSN Number	0305-0548
Key Words	research; paper; stochastic programming; optimal bod; day-ahead market; MIBEL; DPI2008-02154; modeling
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DOI	10.1016/j.cor.2011.01.008
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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.

Publication Type	Proceedings Article
Year of Publication	2010
Authors	Cristina Corchero; F.-Javier Heredia
Conference Name	7th Conference on European Energy Market EEM10
Series Title	Proceedings of the 7th Conference on European Energy Market EEM10
Volume	1
Pagination	1 - 6
Conference Start Date	23/06/2010
Publisher	IEEE
Conference Location	Madrid
Editor	IEEE
ISBN Number	978-1-4244-6838-6
Key Words	research; DPI2008-02153; multimarket; MIBEL; stochastic programming; futures contracts; bilateral contracts; optimal bid; paper
Abstract	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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DOI	10.1109/EEM.2010.5558714
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Publication Type	Conference Paper
Year of Publication	2009
Authors	M.-Teresa Vespucci; Cristina Corchero; Mario Innorta; F.-Javier Heredia
Conference Name	11th International Conference on the Modern Information Technology in the Innovation Processes of the Industrial Enterprises (MITIP 2009)
Series Title	Proceedings of the 11th International Conference on the Modern Information Technology in the Innovation Processes of the Industrial Enterprises (MITIP 2009)
Conference Date	15-16/10/2009
Conference Location	Bergamo, Italy
Type of Work	invited presentation
ISBN Number	978-88-89555-09-05
Key Words	research; hydro-thermal; futures; day-ahead; GAMS, CPLEX
Abstract	We 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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Publication Type	Report
Year of Publication	2010
Authors	Cristina Corchero; F.-Javier Heredia
Pages	6
Date	07/2010
Reference	Research report DR 2010/**, Dept. of Statistics and Operations Research. E-Prints UPC, http://hdl.handle.net/2117/8390. Universitat Politècnica de Catalunya
Prepared for	Published by the IEEE at the proceedings of the 7th Conference on European Energy Market EEM10, Madrid, Spain
Key Words	research; electricity markets; multimarkets; day-ahead market; intraday market; AGC market; stochastic programming
Abstract	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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Publication Type	Conference Paper
Year of Publication	2010
Authors	Cristina Corchero; F.-Javier Heredia; M.-Pilar Muñoz
Conference Name	24th European Conference on Operational Research
Conference Date	11-14/07/2010
Conference Location	Lisboa
Type of Work	Invited Presentation
Key Words	research; electrical markets; stochastic programming; forecasting
Abstract	We propose a stochastic programming model that gives the optimal bidding, bilateral (BC) and futures contracts (FC) nomination strategy for a price-taker generation company in the MIBEL. The objective of the study is to decide the optimal economic dispatch of the physical FC and BC among the thermal units, the optimal bidding at day-ahead market (DAM) abiding by the MIBEL rules and the optimal unit commitment that maximizes the expected profits from the DAM. For the uncertainty characterization, we apply the methodology of factors models to forecast market prices in a short-term horizon.
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Publication Type	Conference Paper
Year of Publication	2010
Authors	Cristina Corchero; F.-Javier Heredia
Conference Name	7th Conference on European Energy Market EEM10
Conference Date	23-25/06/2010
Conference Location	Madrid, Spain
Type of Work	Contributed Presentation
Key Words	research; multimarket; bilateral contracts; futures contracts; optimal bid; stochastic programming; MIBEL
Abstract	Abstract—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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