research
A stochastic approach to the decision support procedure for a Generation Company operating on Day-Ahead and Physical Derivatives Electricity Market
Wed, 07/22/2009 - 16:46 — admin| Publication Type | Conference Paper |
| Year of Publication | 2009 |
| Authors | Cristina Corchero; M-Teresa Vespucci; F-Javier Heredia; Mario Innorta |
| Conference Name | EURO XXIII: 23rd European Conference on Operational Research |
| Conference Date | 05-08/07/2009 |
| Conference Location | Bonn, Germany |
| Type of Work | Invited oral presentation |
| Key Words | research; electricity markets; day-ahead; futures contracts; hydro-thermal |
| URL | Click Here |
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A Stochastic Programming Model for the Thermal Optimal Day-Ahead Bid Problem with Physical Futures Contracts
Wed, 03/18/2009 - 17:25 — admin| Publication Type | Report |
| Year of Publication | 2009 |
| Authors | Cristina Corchero; F. Javier Heredia |
| Pages | 19 |
| Date | 03/2009 |
| Reference | Research Report DR 2009/03, Dept. of Statistics and Operations Research, E-Prints UPC http://hdl.handle.net/2117/2795, Universitat Politècnica de Catalunya |
| Prepared for | Accepted for publication at Computers and Operations Research |
| City | Barcelona, Spain. |
| Key Words | research; Stochastic programming; OR in energy; electricity day-ahead market; futures contracts; optimal bid |
| Abstract | The reorganization of the electricity industry in Spain completed a new step with the start-up of the Derivatives Market. One main characteristic of MIBEL’s Derivatives Market is the existence of physical futures contracts; they imply the obligation to settle physically the energy. The market regulation establishes the mechanism for including those physical futures in the day-ahead bidding of the Generation Companies. The goal of this work is to optimize coordination between physical futures contracts and the Day-Ahead bidding which follow this regulation. We propose a stochastic quadratic mixed-integer programming model which maximizes the expected profits, taking into account futures contracts settlement. The model gives the simultaneous optimization for the Day-Ahead Market bidding strategy and power planning production (unit commitment) for the thermal units of a price-taker Generation Company. The uncertainty of the day-ahead market price is included in the stochastic model through a set of scenarios. Implementation details and some first computational experiences for small real cases are presented. |
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Optimal multimarket bid
Thu, 02/12/2009 - 18:13 — admin
Pla de treball:
Estudiar normativa mercat reserva (P.O. 7.2)- (CC) Modelització mercat de reserva: variables aleatòries rellevants-> arbres.
- (JH) Pensar com afecta secundària a l'oferta el mercat diari.
A decision support procedure for the short-term scheduling problem of a Generation Company operating on Day-Ahead and Physical Derivatives Electricity Markets
Thu, 02/12/2009 - 13:04 — admin| Publication Type | Conference Paper |
| Year of Publication | 2008 |
| Authors | Vespucci, M.T.; Corchero, C.; Innorta, M.; Heredia, F.-Javier |
| Conference Name | 43rd Euro Working Group on Financial Modelling Meeting |
| Conference Date | 4-5/09/2008 |
| Publisher | Euro Working Group on Financial Modelling |
| Conference Location | Cass Business School, City University, London |
| Type of Work | Invited oral presentation |
| Key Words | research; electricity markets; day-ahead; futures contracts; hydro-thermal |
| Abstract | In this paper we develop a decision support procedure for a Price-Taker producer operating on Day- Ahead and Physical Derivatives Electricity Markets. The management of the electricity generation companies and their operation in the liberalized electricity market on a short-term horizon is an interesting problem in continuous evolution. Specifically, the incorporation of the Electricity Derivatives Market is the natural improvement in the Electricity Day-Ahead Markets in most countries in the world. Therefore, the inclusion of the management of derivatives products in generation company models is also a natural improvement of them. In this work, the derivatives products studied are the futures contracts. |
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Generació de la corba d'oferta a partir de les dades públiques del MIBEL
Wed, 02/11/2009 - 12:40 — admin| Publication Type | Report |
| Year of Publication | 2008 |
| Authors | Glòria Casanellas; Cristina Corchero: F.-Javier Heredia |
| Pages | 27 |
| Date | 11/2008 |
| Reference | Research Report 2008/16, Dept. of Statistics and Operations Research, Universitat Politècnica de Catalunya |
| City | Barcelona |
| Key Words | research; electricity markets; MIBEL; bidding |
| Export | Tagged XML BibTex |
