F.-Javier Heredia - Academic web site

The paper A new optimal electrcity market bid model solved through perspective cuts has been recently published in the journal TOP, Springer (preprint available here). In this work, the perspective cut methodology for the resolution of large scale quadratic semi-continuous optimization problems are porposed to solve stochastic programming models arising in some optimal bid electrcitiy market related problems. The numerical results obtained show the efficiency of this methodology compared with standard mixed quadratic optimization solvers. This work is a partial result of the tasks developed in the research project DPI2008-02153 of the MINECO.

Publication Type	Journal Article
Year of Publication	2013
Authors	M.Pilar Muñoz; Cristina Corchero; F.-Javier Heredia
Journal Title	International Statistical Review
Volume	81
Issue	2
Pages	18 (289-306)
Start Page	289
Journal Date	August 2013
Publisher	Wiley
ISSN Number	1751-5823
Key Words	research; paper; electricity market prices; short-term forecasting; stochastic programming; factor models; price scenarios; Q2
Abstract	In liberalized electricity markets, the electricity generation companies usually manage their production by developing hourly bids that are sent to the day-ahead market. As the prices at which the energy will be purchased are unknown until the end of the bidding process, forecasting of spot prices has become an essential element in electricity management strategies. In this article, we apply forecasting factor models to the market framework in Spain and Portugal and study their performance. Although their goodness of fit is similar to that of autoregressive integrated moving average models, they are easier to implement. The second part of the paper uses the spot-price forecasting model to generate inputs for a stochastic programming model, which is then used to determine the company's optimal generation bid. The resulting optimal bidding curves are presented and analyzed in the context of the Iberian day-ahead electricity market.
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DOI	10.1111/insr.12014
Preprint	http://hdl.handle.net/2117/3047
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The proceeding paper Solving Electric Market Quadratic Problems by Branch and Fix Coordination Methods has been published by Springer in the series IFIP Advances in Information and Communication Technology (doi:10.1007/978-3-642-36062-6_51). In this paper the Branch&Fix Coordination methodology is applied to the solution of an specific class of quadratic two-stage stochastic programming problems arising in the field of the electricity market optimization. This work has been supported by the research project grant DPI2008-02153 of the MINECO.

Publication Type	Proceedings Article
Year of Publication	2013
Authors	F. -Javier Heredia; Cristina Corchero; Eugenio Mijangos
Conference Name	25th IFIP TC 7 Conference, CSMO 2011
Series Title	IFIP Advances in Information and Communication Technology
Volume	391
Pagination	511-520
Conference Start Date	12/09/2011
Publisher	Springer Berlin Heidelberg
Conference Location	Berlin
ISSN Number	1868-4238
ISBN Number	978-3-642-36062-6
Key Words	Liberalized Electricity Market; Optimal Bid Stochastic Programming; Quadratic Branch-and-Fix Coordination; research; paper; DPI2008-02153
Abstract	The electric market regulation in Spain (MIBEL) establishes the rules for bilateral and futures contracts in the day-ahead optimal bid problem. Our model allows a price-taker generation company to decide the unit commitment of the thermal units, the economic dispatch of the bilateral and futures contracts between the thermal units and the optimal sale bids for the thermal units observing the MIBEL regulation. The uncertainty of the spot prices is represented through scenario sets. We solve this model on the framework of the Branch and Fix Coordination metodology as a quadratic two-stage stochastic problem. In order to gain computational efficiency, we use scenario clusters and propose to use perspective cuts. Numerical results are reported.
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DOI	10.1007/978-3-642-36062-6_51
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Publication Type	Tesis de Grau i Màster // BSc and MSc Thesis
Year of Publication	2012
Authors	Lucia Igualada González
Director	F.-Javier Heredia; Cristina Corchero
Tipus de tesi	Tesi Final Màster // MSc Thesis
Titulació	Master in Statistics and Operations Research
Centre	Faculty of Mathematics and Statistics
Data defensa	04/07/2012
Nota // mark	10 MH // 10/10
Key Words	research; teaching; smartgrids; microgrid; migrogrid central controller; electric vehicle; MSc Thesis
Abstract	Smart grids and microgrids are the key in the near future where a decentralization of energy generation is expected. From the point of view of microgrid energy management, economic scheduling for generation devices, storage systems and loads is a crucial problem. Performance an optimization process is necessary to minimize the operating costs while several operational constraints are taken into account. Energy management is carried out by MCC (Microgrid Central Controller) in three steps: tertiary, secondary and primary controls. Tertiary control is executed one day-ahead and has two objectives. The first is an economic optimization using a program based on an Economic Dispatch and an Unit Commitment problem. The second objective is to improve the portability of the supply and demand balance by interacting with the grid and taking advantage of the V2G (vehicle-to-grid) capability of the charging spot, and to generate a schedule over all components of the microgrid. The secondary control receives the scheduling plan created by tertiary control and taking into account current data, corrects the power outputs of generation units. Exchanged power with the grid and storage states of charge programmed by the tertiary control are ensured. This Energy Management System has been tested over different scenarios. One of them is based on a smart house with a photovoltaic module, a micro wind turbine and one electric vehicle charging spot. The other scenario is based on a large building where one micro gas turbine and one storage device have been added to the rest of units. After analysing the results, several conclusions have been deduced such as a change in curve of load and a lower cost for the user. Generally, the consumption over peak periods is decreased or is almost zero in some test cases, while the demand overnight is increased.
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Publication Type	Proceedings Article
Year of Publication	2012
Authors	Cristina Corchero; M. Cruz; F.-Javier Heredia; J.-I. Cairo; L. Igualada; A. Romero
Conference Name	2012 9th International Conference on the European Energy Market (EEM 2012)
Series Title	IEEE Conference Publications
Pagination	1-6
Conference Start Date	10/05/2012
Publisher	IEEE
Conference Location	Florence, Italy
Editor	IEEE
ISBN Number	978-1-4673-0834-2
Key Words	research; electrical vehicle; smartgrids; charging station; microgrid; queuing system; paper
Abstract	In this work we focus on the optimal design of electric vehicle charging stations. We consider investment, operational costs, physical constraints and different electricity pricing strategies. The size of the various components in the microgrid architecture and the suitability of the storage system are analysed. The electric vehicle charging demand is modelled through a queuing system.
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DOI	10.1109/EEM.2012.6254677
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Publication Type	Proceedings Article
Year of Publication	2012
Authors	Cristina Corchero; F.-Javier Heredia; Julián Cifuentes
Conference Name	2012 9th International Conference on the European Energy Market (EEM 2012)
Series Title	IEEE Conference Publications
Pagination	1-8
Conference Start Date	10/05/2012
Publisher	IEEE
Conference Location	Florence
Editor	IEEE
ISSN Number	-
ISBN Number	978-1-4673-0834-2
Key Words	research; elecriticy; markets; CO2 allowances; emissions limits; environment; stochastic programming; modeling languages; paper
Abstract	There are many factors that influence the day-ahead market bidding strategies of a GenCo in the current energy market framework. In this work we study the influence of both the allowances and emission reduction plan and the incorporation of the derivatives medium-term commitments in the optimal generation bidding strategy to the day-ahead electricity market. Two different technologies have been considered: the coal thermal units, high-emission technology, and the combined cycle gas turbine units, low-emission technology. The operational characteristics of both kinds of units are modeled in detail. We deal with this problem in the framework of the Iberian Electricity Market and the Spanish National Emissions and Allocation Plans. The economic implications for a GenCo of including the environmental restrictions of these National Plans are analyzed.
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DOI	10.1109/EEM.2012.6254676
Preprint	http://hdl.handle.net/2117/18691
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Publication Type	Conference Paper
Year of Publication	2012
Authors	Simona Sacripante; F.-Javier Heredia; Cristina Corchero
Conference Name	9th International Conference on Computational Management Science.
Conference Date	18-20/04/2012
Conference Location	London
Type of Work	Invited presentation
Key Words	research; stochastic programming; wind producer; renewable energy; multimarket; electricity market; optimal bid; DPI2008-02153
Abstract	Wind power generation has a key role in Spanish electricity system since it is a native source of energy that could help Spain to reduce its dependency on the exterior for the production of electricity. Apart from the great environmental benefits produced, wind energy reduce considerably spot energy price, reaching to cover 16,6 % of peninsular demand. Although, wind farms show high investment costs and need an efficient incentive scheme to be financed. If on one hand, Spain has been a leading country in Europe in developing a successful incentive scheme, nowadays tariff deficit and negative economic conjunctures asks for consistent reductions in the support mechanism and demand wind producers to be able to compete into the market with more mature technologies. The objective of this work is to find an optimal commercial strategy in the production market that would allow wind producer to maximize their daily profit. That can be achieved on one hand, increasing incomes in day-ahead and intraday markets, on the other hand, reducing deviation costs due to error in generation predictions. We will previously analyze market features and common practices in use and then develop our own sale strategy solving a two-stage linear stochastic optimization problem. The first stage variable will be the sale bid in the day–ahead market while second stage variables will be the offers to the six sessions of intraday market. The model is implemented using real data from a wind producer leader in Spain.
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Publication Type	Conference/School/Seminar attendance
Year of Publication	2012
Authors	F.-Javier Heredia
Conference Name	VII Conference Barcelona Global Energy Challenges
Event Type	Conference
Conference Organiser	Catalonia Institute for Energy Research
Conference Dates	28-29/06/2012
Conference Location	Barcelona, Spain
Key Words	research; energy
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