futures contracts
Planificación de la generación eléctrica a corto y largo plazo en un mercado liberalizado con contratos bilaterales (DPI2005-09117-C02-01).
Wed, 10/24/2007 - 23:39 — admin| Publication Type | Funded research projects |
| Year of Publication | 2005 |
| Authors | F.-Javier Heredia |
| Type of participation | Full time researcher |
| Duration | 01/2006-12/2008 |
| Funding organization | Ministerio de Educación y Ciencia |
| Partners | Departament d'Estadística i Investigació Operativa, Universidad Politèctica de Catalunya; Unión Fenosa |
| Full time researchers | 5 |
| Budget | 289.408'00€ |
| Project code | DPI2005-09117-C02-01 |
| Key Words | research; stochastic programming; electricity markets; future contracts; bilateral contracts; regulation markets; project; public; competitive; micinn; energy |
| Abstract | The project aims at two new features: the simultaneous consideration of bidding power to the liberalized market and of bilateral contracts (between a generation company and a consumer client), given the future elimination of the current regulations discouraging bilateral contracts, and the developement of optimization procedures more efficient than those employed now to solve these problems. This higher efficiency will allow a more accurate modeling and solving larger real problems in reasonable CPU time. In this project, both modeling languages and commercially available solvers in the one hand, and our own optimization algorithms in the other are employed. The algorithms to be developed include the use of: interior-point methods, global optimization, column-generation methods, and Lagrangian relaxation procedures employing dual methods |
| URL | Click Here |
| Export | Tagged XML BibTex |
Optimal Short-Term Strategies for a Generation Company in the MIBEL
Mon, 09/24/2007 - 18:29 — admin| Publication Type | Conference Paper |
| Year of Publication | 2006 |
| Authors | Corchero, C.; Heredia, F. J. |
| Conference Name | APMOD 2006: Applied Mathematical Programming and Modellization |
| Conference Date | 19-21/06/06 |
| Conference Location | Madrid |
| Editor | Universidad Rey Juan carlos, Universidad Pontificia de Comillas |
| Type of Work | Contributed session |
| Key Words | stochastic programming; electricity markets; day-ahead market; future contracts; research |
| Abstract | MIBEL, the future Spanish and Portuguese electricity market, is expected to start in 2007 and one of the most important changes will be the creation of short-term futures markets, such as daily and weekly futures contracts. This new framework will require important changes in the short term optimization strategies of the generation companies. We propose a methodology to coordinate the day-ahead market and the new daily futures market proposed in the MIBEL. This coordination is particularly important in physical futures contracts; they imply the obligation to supply energy and could change the optimal power planning. The methodology is based on stochastic mixed-integer programming and gives the optimal bid in the futures markets as long as the simultaneous optimization for power planning production and day-ahead market bidding for the thermal units of a price-taker generation company. The approach presented is stochastic because of the uncertainty of the spot and futures market prices. We use time series techniques to model the market prices and we introduce them in the optimization model by an optimally generated scenario tree. The implementation is done with a modelling language. Implementation details and some first computational experiences for small cases are presented. |
| URL | Click Here |
| Export | Tagged XML BibTex |
A mixed-integer stochastic programming model for the day-ahead and futures energy markets coordination
Sat, 09/22/2007 - 12:55 — admin| Publication Type | Conference Paper |
| Year of Publication | 2007 |
| Authors | Corchero, C.; Heredia, F. J. |
| Conference Name | EURO XXII: 2nd European Conference on Operational Reserach |
| Conference Date | 08/07/2007 |
| Publisher | The Association of European Operational Research Societies |
| Conference Location | Prague, Czech Republic |
| Type of Work | Oral presentacion |
| Key Words | stochastic programming; electricity markets; day-ahead market; future contracts; research |
| Abstract | The participation in spot-market and in financial markets has traditionally been studied independently but there are some evidences that indicate it could be interesting a joint approach. We propose a methodology based on stochastic mixed-integer programming to coordinate the day-ahead market and the physical futures contracts. It gives the optimal bid for the spot-market as long as the simultaneous optimization for power planning production and day-ahead market bidding for the thermal units of a price-taker generation company. Implementation details and some first computational experiences for small real cases are presented. |
| URL | Click Here |
| Export | Tagged XML BibTex |
