research
Optimal thermal and virtual power plants operation in the day-ahead electricity market.
Tue, 06/10/2008 - 12:22 — admin| Publication Type | Conference Paper |
| Year of Publication | 2008 |
| Authors | F.-Javier Heredia; Marcos-J. Rider; Cristina Corchero |
| Conference Name | APMOD 2008 International Conference on Applied Mathematical Programming and Modelling |
| Series Title | APMOD2008 CONFERENCE BOOK |
| Pagination | 21 |
| Conference Date | 27-30/05/2008 |
| Conference Location | Comenius University, Bratislava, Slovak Republic |
| Type of Work | Contributed presentation |
| Key Words | stochastic programming; electricity markets; day-ahead market; bilateral contracts; Virtual Power Plant; Generic Programming Unit; MIBEL; modellization; research |
| Abstract | The new rules of the electrical energy production market operation of the Iberic Electricity Market MIBEL (mainland Spanish and Portuguese systems), for the diary and intra-diary market (July 2007), bring new challenges in the modeling and solution of the production market operation. Aiming to increase the proportion of electricity that is purchased through bilateral contracts with duration of several months and intending to stimulate liquidity in forward electricity markets, the Royal Decree 1634/2006, dated December 29th, 2006 imposes to Endesa and Iberdrola (the two dominant utility companies in the Spanish peninsular Markets) to hold a series of five auctions offering virtual power plant (VPP) capacity to any party who is a member of the MIBEL. Other experience of the application of VPP auctions can be seen in France, Belgium and Germany. In Spain, the VPP capacity means that the buyer of this product will have the capacity to generate MWh at his disposal. The buyer can exercise the right to produce against an exercise price that is set in advance, by paying an option premium. So although Endesa and Iberdrola still own the power plants, part of their capacity to produce will be at the disposal of the buyers of VPP. VPP capacity is represented by a set of hourly call options giving the buyer the right to nominate energy for delivery at a pre-defined exercise price. There will be baseload and peakload contracts with different exercise prices. The energy resulting from the exercise of the VPP options can be used by buyers in several ways: (a) national and international bilateral contracts prior to the day-ahead market; (b) bids to the day-ahead market and (c) national bilateral contracts after the day-ahead market. In order to operate the VPP options each buyer agent will have a Generic Unit (GU). This work develops an stochastic programming model for a Generation Company (GenCo) to find the optimal management of a VPP in the day-ahead electricity market under the most recent bilateral contracts regulation rules of MIBEL energy market. |
| Export | Tagged XML BibTex |
Stochastic optimal day-ahead bid with physical future contracts
Tue, 06/10/2008 - 12:12 — admin| Publication Type | Conference Paper |
| Year of Publication | 2008 |
| Authors | Cristina Corchero; F.-Javier Heredia |
| Conference Name | International Workshop on Operational Research 2008 |
| Series Title | I.W.OR. International Workshop on Operations Research |
| Pagination | 77 |
| Conference Date | 05-07/06/2008 |
| Publisher | Dept. of Statistics and Operational Research, Univ. Rey Juan Carlos. |
| Conference Location | Dept. of Statistics and Operational Research, Univ. Rey Juan Carlos, Madrid, Spain. |
| Type of Work | Invited presentation |
| ISBN Number | 978-84-691-3994-3 |
| Key Words | stochastic programming; electricity markets; day-ahead market; futures contracts; MIBEL; modellization; research |
| Abstract |
The reorganization of electricity industry in Spain has finished a new step with the start-up of the Derivatives Market. Nowadays all electricity transactions in Spain and Portugal are managed jointly through the MIBEL by the Day-Ahead Market Operator and the Derivatives Market Operator. This new framework requires important changes in the short-term optimization strategies of the Generation Companies.
One main characteristic of MIBEL’s derivative market is the existence of short-term physical futures contracts; they imply the obligation to settle physically the energy. The regulation of our market establishes the mechanism for including those physical futures in the day-ahead bidding of the Generation Companies. Thus, the participation in the derivatives market changes the incomes function. The goal of this work is the optimization of the coordination between the physical products and the day-ahead bidding following this regulation because it could imply changes in the optimal planning, both in the optimal bidding and in the unit commitment.
We propose a stochastic mixed-integer programming model to coordinate the Day-Ahead Market and the physical futures contracts of the generation company. The model maximizes the expected profits taking into account futures contracts incomes. The model gives the optimal bidding strategy for the Day-Ahead 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. Thus, the model gives the optimal bid, particularly the instrumental-price bid quantity and its economic dispatch, and it provides the unit commitment. The uncertainty of the day-ahead market price is included in the stochastic model through a scenario tree. There has been applied both reduction and generation techniques for building this scenario tree from an ARIMA model. Results applying those different approaches are presented. The implementation is done with a modelling language. Implementation details and some first computational experiences for small real cases are presented. |
| URL | Click Here |
| Export | Tagged XML BibTex |
Stochastic programming model for the day-ahead bid and bilateral contracts settlement problem
Tue, 06/10/2008 - 11:57 — admin| Publication Type | Conference Paper |
| Year of Publication | 2008 |
| Authors | F.-Javier Heredia; Marcos-J. Rider; Cristina Corchero |
| Conference Name | International Workshop on Operational Research 2008 |
| Series Title | I.W.OR. International Workshop on Operations Research |
| Pagination | 79 |
| Conference Date | 5-7/06/2008 |
| Publisher | Dept. of Statistics and Operational Research, Univ. Rey Juan Carlos. |
| Conference Location | Dept. of Statistics and Operational Research, Univ. Rey Juan Carlos, Madrid, Spain |
| Type of Work | Invited presentation |
| ISBN Number | 978-84-691-3994-3 |
| Key Words | stochastic programming; electricity markets; day-ahead market; bilateral contracts; Virtual Power Plant; Generic Programming Unit; MIBEL; modellization; research |
| Abstract | The new rules of electrical energy production market operation of the Spanish peninsular system (MIBEL) from the July 2007, bring new challenges in the modeling and solution of the production market operation. In order to increase the proportion of electricity that is purchased through bilateral contracts and to stimulate liquidity in forward electricity markets, the MIBEL rules imposes to the dominant utility companies in the Spanish peninsular Markets to hold a series of auctions offering virtual power plant (VPP) capacity to any party who is a member of the Spanish peninsular electricity market. In Spain, the VPP capacity means that the buyer of this product will have the capacity to generate MWh at his disposal. The energy resulting from the exercise of the VPP options can be used by buyers in several ways: covering national and international bilateral contracts prior to the day-ahead market; bidding to the day-ahead market and covering national bilateral contracts after the day-ahead market. This work develops a stochastic programming model that integrates the most recent regulation rules of the Spanish peninsular system for bilateral contracts, especially VPP auctions, in the day-ahead optimal bid problem. The model currently developed 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 and generic units and the optimal bid observing the Spanish peninsular regulation. The scenario tree representing the uncertainty of the spot prices is built applying reduction techniques to the tree obtained from an ARIMA model. The model was solved with real data of a Spanish generation company and market prices. |
| URL | Click Here |
| Export | Tagged XML BibTex |
Oferta de treball modelització i optimització de mercats elèctrics
Wed, 04/16/2008 - 13:52 — admin
El Grup d'Optimització Numèrica i Modelització (GNOM) del Departament d'Estadística I Investigació Operativa,
UPC, convoca dues places de tècnic de suport a la recerca. Els candidats seleccionats s'incorporaran al grup de recerca GNOM realitzant tasques de suport a la recerca en modelització i optimització de mercats elèctrics dins del marc del projecte de recerca del Ministerio de Educación y Ciencia (DPI2005-09117-C02-01), en col·laboració amb empreses del sector elèctric espanyol i sota la supervisió dels professors Narcís Nabona i F. Javier Heredia.
Second Order Conic Programming
Wed, 04/16/2008 - 10:21 — admin| Publication Type | Conference/School/Seminar attendance |
| Year of Publication | 2008 |
| Authors | F.-Javier Heredia |
| Conference Name | Summer School of the Master on Statistics and Operations Research |
| Event Type | Summer School |
| Conference Organiser | Dept. of Statistics and Operations Research, Technical University of Catalonia |
| Conference Dates | 14-15/04/2008 |
| Conference Location | Barcelona, Spain |
| Abstract | Conic quadratic optimization is an exciting extension of linear optimization. The excitement comes from that many important applications can be modeled as a conic quadratic optimization problem. Moreover, conic quadratic optimization problems can be effciently solved using an appropriate interior-point method. In this course we will review the topic conic quadratic optimization. The review will include basic theory, important applications, algorithms, and available software. Course topics: 1. Basic properties of Second Order Conic Programming (SOCP). Duality 2. Modelling. Important applications. 3. Algorithms for SOCP. 4. Software for SOCP. |
| Export | Tagged XML BibTex |
Modelling and Solution of Optimisation Problems
Wed, 10/31/2007 - 10:08 — admin| Publication Type | Conference/School/Seminar attendance |
| Year of Publication | 2004 |
| Authors | F.-Javier Heredia |
| Event Type | Workshop |
| Conference Organiser | Brunel University |
| Conference Dates | 20/06/2004 |
| Conference Location | Uxbridge, U.K. |
| Key Words | AMPL; AMPLStudio; research |
| Abstract | On Sunday 20 June 2004, there will be four parallel workshops on practical optimisation: MPL (Bjarni Kristjansson, Cormac Lucas), AIMMS (Jan Bisschop), AMPL (Robert Fourer, Patrick Valente) and LGO (Janos Pinter). Three of the workshop streams focus on MIP modelling staring with a simple application which is investigated and extended. By the end of the day the participants will not only have been instructed on how to model and solve efficiently their application but they will have been shown how to embed their applications as solutions behind Excel. During the course of the day each session will have case studies presented. The global optimisation workshop will be on applied nonlinear (global and convex) optimisation, with a focus on algorithm and software development and typically will include software demonstrations, as well as a review of engineering, economic, and scientific applications. |
| Export | Tagged XML BibTex |
Augmented Lagrangean Relaxation and Decomposition Applied to the Short-Term Hydrothermal Coordination Problem
Mon, 10/29/2007 - 18:36 — admin| Publication Type | Conference Paper |
| Year of Publication | 1999 |
| Authors | Beltran, C.; Heredia, F. J. |
| Conference Name | 19th IFIP TC7 Conference on System Modelling and Optimization |
| Conference Date | 12-16/07/1999 |
| Conference Location | Cambridge, U.K. |
| Type of Work | Contributed oral presentation |
| Key Words | augmented lagrangian relaxation; generalized unit commitment; block coordinated descent method; auxiliary principle problem; research |
| Abstract | The problem dealt with is called the Short-Term Hydrothermal Coordination (SHTC) problem. The objective of this problem is the optimization of electrical production and distribution, considering a short-term planning horizon (from one day to one week). Hydraulic and thermal plants must be coordinated in order to satisfy the customer demand of electricity at the minimum cost and with a reliable service. The model for the STHC problem presented here considers the thermal system, the hydraulic system and the distribution network. Nowadays the Lagrangean Relaxation (LR) method is the most widespread procedure to solve the STHC problem. The initial Classical Lagrangean Relaxation (CLR) method was improved by the Augmented Lagrangean Relaxation (ALR) method, although recent advances in the multiplier updating for the CLR method (cutting plane, bundle methods, etc.) have brought this classical method back into fashion. Two main advantages of the ALR method over the CLR method: (1) the ALR method allows us to obtain a saddle-point even in cases where the CLR method presents a duality gap. The solution of the STHC problem by the CLR method usually yields an infeasible primal solution $x_k$ due to the duality gap, whereas in the ALR method a solution of the dual problem provides a feasible primal solution. (2) The second advantage is that, using the CLR method, the differentiability of the dual function cannot be ensured and therefore nondifferentiable methods must be applied in the CLR method. This difficulty can be overcome if an augmented Lagrangean is used, since the dual function $q_c$ is differentiable for an appropriate c. Thus, the multipliers can be updated using ``large steps''. The main weakness of the ALR method is that the quadratic terms introduced by the augmented Lagrangean are not separable. If we want to solve the STHC problem by decomposition, some methods, such as the Auxiliary Problem Principle, or, as in our case, the Block Coordinate Descent method, must be used. However, the CLR method gives a separable Lagrangean. The starting point is the paper by Batut and Renaud [1] and therefore we use Variable Duplication plus the Augmented Lagrangean Relaxation (ALR) method. The method used by Batut and Renaud is improved theoretically and practically. From the theoretical point of view, the conservative Auxiliary Problem Principle is replaced by the Block Coordinate Descent Method that shows to be faster. From the practical point of view, an effective software package designed to solve the Optimum Short-Term Hydrothermal Coordination Problem, is incorporated in order to speed up the whole algorithm. Several medium to large scale instances of this problem have been solved showing the applicability of the proposed procedure. |
| Export | Tagged XML BibTex |
NETFLOW93: Network Optimization, Theory and Practice
Mon, 10/29/2007 - 17:37 — admin| Publication Type | Conference/School/Seminar attendance |
| Year of Publication | 1993 |
| Authors | F.-Javier Heredia |
| Event Type | Conference |
| Conference Organiser | Dipartimento di Informatica, Università di Pisa |
| Conference Dates | 3-7/10/1993 |
| Conference Location | San Miniato, Italy |
| Key Words | optimization; nonlinear network flows; research |
| Export | Tagged XML BibTex |
Large scale nonlinear network optimization with linear side constraints
Sun, 10/28/2007 - 20:44 — admin| Publication Type | Conference Paper |
| Year of Publication | 1991 |
| Authors | Heredia, F. J.; Nabona, N. |
| Conference Name | 11th European Congress on Operations Research |
| Conference Date | 1991 |
| Conference Location | Aachen, Germany |
| Type of Work | Contributed oral presentation |
| Key Words | nonlinear network flows; linear side constraints; research |
| Export | Tagged XML BibTex |
Numerical implementation and computational results of nonlinear network optimization with linear side constraints
Sun, 10/28/2007 - 20:42 — admin| Publication Type | Conference Paper |
| Year of Publication | 1991 |
| Authors | Heredia, F. J.; Nabona, N. |
| Conference Name | 15th IFIP Conference on System Modelling and Optimization |
| Conference Date | 1991 |
| Conference Location | Zurich, Switzerland |
| Type of Work | Contributed oral presentation |
| Key Words | nonlinear network flows; linear side constraints; research |
| Export | Tagged XML BibTex |
