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Optimal Short-Term Strategies for a Generation Company in the MIBEL

Mon, 09/24/2007 - 18:29 — admin
Publication TypeConference Paper
Year of Publication2006
AuthorsCorchero, C.; Heredia, F. J.
Conference NameAPMOD 2006: Applied Mathematical Programming and Modellization
Conference Date19-21/06/06
Conference LocationMadrid
EditorUniversidad Rey Juan carlos, Universidad Pontificia de Comillas
Type of WorkContributed session
Key Wordsstochastic programming; electricity markets; day-ahead market; future contracts; research
AbstractMIBEL, 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.
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A mixed-integer stochastic programming model for the day-ahead and futures energy markets coordination

Sat, 09/22/2007 - 12:55 — admin
Publication TypeConference Paper
Year of Publication2007
AuthorsCorchero, C.; Heredia, F. J.
Conference NameEURO XXII: 2nd European Conference on Operational Reserach
Conference Date08/07/2007
PublisherThe Association of European Operational Research Societies
Conference LocationPrague, Czech Republic
Type of WorkOral presentacion
Key Wordsstochastic programming; electricity markets; day-ahead market; future contracts; research
AbstractThe 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.
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Numerical implementation and computational results of nonlinear network optimization with linear side constraints

Mon, 09/17/2007 - 23:09 — admin
Publication TypeBook Chapter
Year of Publication1991
AuthorsHeredia, F. J.; Nabona, N.
EditorP. Kall
Book TitleSystem Modelling and Optimization
PublisherSpringer Verlag
Key WordsNonlinear network flows
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Optimum Short-Term Hydrothermal Schedulling with Spinning Reserve through Network Flows

Mon, 09/17/2007 - 18:34 — admin
Publication TypeJournal Article
Year of Publication1995
AuthorsHeredia, F. J.; Nabona, N.
Journal TitleIEEE Trans. on Power Systems
Volume10
Issue3
Pages10
Start Page1642
PublisherThe Institue of Electrical and Electronic Engineering
ISSN Number0885-8950
Key Wordsnonlinear network flows; side constraints; power systems; short-term hydrothermal OPF; spinning reserve; research; paper
AbstractOptimizing the thermal production of electricity in the short term in an integrated power system when a thermal unit commitment has been decided means coordinating hydro and thermal generation in order to obtain the minimum thermal generation costs over the time period under study. Fundamental constraints to be satisfied are the covering of each hourly load and satisfaction of spinning reserve requirements and transmission capacity limits. A nonlinear network flow model with linear side constraints with no decomposition into hydro and thermal subproblems was used to solve the hydrothermal scheduling. Hydrogeneration is linearized with respect to network variables and a novel thermal generation and transmission network is introduced. Computational results are reported
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DOIhttp://dx.doi.org/10.1109/59.466476
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Spring School 2007. Stochastic Programming: theory and applications

Sun, 04/15/2007 - 19:13 — admin
Publication TypeConference/School/Seminar attendance
Year of Publication2007
AuthorsHeredia, F. J.
Event TypeSchool
Conference OrganiserDepartment of Mathematics, Computing and Applications. Università degli studi di Bergamo
Conference Dates10-20/04/2007
Conference LocationBergamo, Italy
Key WordsResearch, Stochastic Programming
AbstractThe initiative is oriented to researchers, doctoral students and practitioners with a general aim to attract a significant audience to a key and rapidly growing area of mathematical programming. The school aims also at establishing a qualified venue to enhance and promote the understanding by young scientists of the potentials of applied stochastic optimisation in areas such as finance, production planning, energy, telecommunications and clarify to leading practitioners the current state of the art in the development of stochastic optimisation techniques. The proposal comes at a point in which the potentials of stochastic programming techniques in applied decision theory are becoming fully recognised in the industry, and the demand for advanced education programmes in this area is growing.
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Constrained nonlinear network flow problems through projected Lagrangian methods

Sat, 03/17/2007 - 00:04 — admin
Publication TypeBook Chapter
Year of Publication2000
AuthorsHeredia, F. J.
Book TitleProblems in Modern Applied Mathematics
CityNew York
PublisherWorld Scientific Engineering Society
Pages406-411
ISBN Number960-8052-15-7
Key Wordsresearch; nonlinear network flows; optimization; projected lagrangian
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Unit Commitment by Augmented Lagrangian Relaxation: Testing Two Decomposition Approaches

Fri, 03/16/2007 - 23:32 — admin
Publication TypeJournal Article
Year of Publication2002
AuthorsBeltran, C.; Heredia, F. J.
Journal TitleJournal of Optimization Theory and Applications
VolumeV112
Issue2
Pages295 - 314
Journal Date02/2002
PublisherSpringer Netherlands
Key Wordsaugmented lagrangian relaxation; generalized unit commitment; block coordinated descent method; auxiliary principle problem; research; paper
AbstractOne of the main drawbacks of the augmented Lagrangian relaxation method is that the quadratic term introduced by the augmented Lagrangian is not separable. We compare empirically and theoretically two methods designed to cope with the nonseparability of the Lagrangian function: the auxiliary problem principle method and the block coordinated descent method. Also, we use the so-called unit commitment problem to test both methods. The objective of the unit commitment problem is to optimize the electricity production and distribution, considering a short-term planning horizon.
URLClick Here
DOI10.1023/A:1013601906224
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An Effective Line Search for the Subgradient Method

Fri, 03/16/2007 - 16:43 — admin
Publication TypeJournal Article
Year of Publication2005
AuthorsBeltran C.; F.-Javier Heredia
Journal TitleJournal of Optimization Theory and Applications
Volume125
Issue1
Pages19
Start Page1
ISSN Number0022-3239
Key Wordslagrangian relaxation; generalized unit commitment; radar subgradient method; research; paper
AbstractOne of the main drawbacks of the subgradient method is the tuning process to determine the sequence of steplengths. In this paper, the radar subgradient method, a heuristic method designed to compute a tuning-free subgradient steplength, is geometrically motivated and algebraically deduced. The unit commitment problem, which arises in the electrical engineering field, is used to compare the performance of the subgradient method with the new radar subgradient method.
URLClick Here
DOI10.1007/s10957-004-1708-4
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