modellization

Solving electricity market quadratic problems by Branch and Fix Coordination methods

Publication TypeConference Paper
Year of Publication2011
AuthorsF.-Javier Heredia; Cristina Corchero; Eugenio Mijangos
Conference Name25th IFIP TC7 Conference on System Modeling and Optimization
Conference Date12-16/09/2011
Conference LocationBerlin
Type of Workcontributed presentation
Key Wordsresearch; optimal bid; day-ahead electricity market; branch and fix coordination; perspective cuts; bilateral contracts; futures contracts; stochastic programming
AbstractThe electric market regulation in Spain (MIBEL) establishes the rules for bilateral 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 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. Numerical results are reported.
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Management Science Optimization Modeling with SAS/OR

 Els próxims dies 12, 13 i 14 de juliol participaré al V Summer School del Màster Interuniversitari d'Estadística i Investigació Operativa UP/UB impartint el curs  Management Science Optimization Modeling with SAS/OR , en col·laboració amb la professora Crisitina Corchero, investigadora de l'IREC i GNOM. Els objectius del curs son:

"This course is focused on the possibilities of the SAS/OR package to implement and solve some optimization models that are in the core of the so called Analytic Consulting which represents the application of the MS methodology to the consulting Activity. Although commonly considered as software for data management, SAS also includes through his SAS/OR package (OR for Operations Research) a broad list of procedures to implement and solve any kind of optimization problems. The course will give basic skills to the participants for the efficiency formulation, implementation, solution and analysis of several management science optimization problems with SAS/OR."

Podeu consultar els detalls del curs en aquest enllaç .

Introducción a SAS System

Publication TypeConference/School/Seminar attendance
Year of Publication2011
AuthorsF.-Javier Heredia
Event Typecurs / course
Conference OrganiserServeis Tècnics de Recerca de la Universitat de Girona
Conference Dates2-23/06/2011
Conference LocationOnline
Key Wordsresearch; teaching; software; SAS
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Efficient Solution of Optimal Multimarket Electricity Bid Models

Publication TypeProceedings Article
Year of Publication2011
AuthorsCristina Corchero; F.-Javier Heredia; Eugenio Mijangos
Conference Name8th International Conference on the European Energy Market (EEM11)
Series TitleTo be published in the IEEEXplore
Pagination244-249
Conference Start Date25/05/2011
PublisherInstitute of Electrical and Electronics Engineers, Inc.
Conference LocationZagreb, Croatia
EditorMarko Delimar
ISBN Number978-1-61284-286-8/11
Key Wordsspot electricity markets; financial electricity markets; Iberian Electricity Market; stochastic programming; perspective cuts; research; DPI2008-02153; paper
AbstractShort-term electricity market is made up of a sequence of markets, that is, it is a multimarket enviroment. In the case of the Iberian Energy Market the sequence of major short-term electricity markets are the day-ahead market, the ancillary service market or secondary reserve market (henceforth reserve market), and a set of six intraday markets. Generation Companies (GenCos) that participate in the electricity market could increase their benefits by jointly optimizing their participation in this sequence of electricity markets. This work proposes a stochastic programming model that gives the GenCo the optimal bidding strategy for the day-ahead market (DAM), which considers the benefits and costs of participating in the subsequent markets and which includes both physical futures contracts and bilateral contracts.
URLClick Here
DOI10.1109/EEM.2011.5953017
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Efficient Solution of Optimal Multimarket Electricity Bid Models

Publication TypeConference Paper
Year of Publication2011
AuthorsCristina Corchero; F.-Javier Heredia; Eugenio Mijangos
Conference Name8th International Conference on the European Energy Market (EEM11)
Series TitleInternational Conference on the European Energy Market
Conference Date25-27/05/2011
PublisherInstitute of Electrical and Electronics Engineers, Inc.
Conference LocationZagreb, Croatia
EditorMarko Delimar
Type of WorkContributed presentacion
ISBN Number978-1-61284-284-4
Key Wordsspot electricity markets; financial electricity markets; Iberian Electricity Market; stochastic programming; perspective cuts; research; DPI2008-02153
AbstractShort-term electricity market is made up of a sequence of markets, that is, it is a multimarket enviroment. In the case of the Iberian Energy Market the sequence of major short-term electricity markets are the day-ahead market, the ancillary service market or secondary reserve market (henceforth reserve market), and a set of six intraday markets. Generation Companies (GenCos) that participate in the electricity market could increase their benefits by jointly optimizing their participation in this sequence of electricity markets. This work proposes a stochastic programming model that gives the GenCo the optimal bidding strategy for the day-ahead market (DAM), which considers the benefits and costs of participating in the subsequent markets and which includes both physical futures contracts and bilateral contracts.
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Congratulations Dr. Cristina Corchero!

 Dr. Heredia (left) and Corchero (right).Yesterday February 2 my doctorate student, and friend, Cristina Corchero presented her Ph. D. dissertation on optimal bids in electricity markets. Dr. Corchero developed stochastic programming optimization models to find the optimal bid curve that integrates bilateral and future contractes in the sequence of short-term MIBEL's electricity markets.

The members of the examination panel were prof. Stein-Erik Fleten , from the Norwegian University of Science and Technology, prof. Andres Ramos from the Universidad Pontificia de Comillas and prof. Jordi Castro, from the  Universitat Politècnica de Catalunya. After a very interesting discussion they agreed to give the maximum qualification, Cum Laude, to the research work of Ms. Corchero. I would like to thank the members of the examination committe for their  interesting comments and analysis of the thesis contributions. I'm also very grateful with prof. Pilar Muñoz and  prof. Marcos J. Rider for their collaboration in the supervision of the thesis.

And, of course, my most sinceres congratulations to Dr. Cristina Corchero.

New paper accepted for publication in Annals of Operations Research

The work A stochastic programming model for the optimal electricity market bid problem with bilateral contracts for thermal and combined cycle units of F.-Javier Heredia, Marcos J. Rider and C. Corchero has been accepted for publication in the journal Annals of Operations Research. A preliminary version of the manuscript is available at E-Prints UPC http://hdl.handle.net/2117/2282. This study, which was developed as a part of the research project DPI2008-02153,  allows a price-taker generation company to decide the unit commitment of the thermal and combined cycle programming units, the economic dispatch of the bilateral contract between all the programming units and the optimal sale bid by observing the Spanish peninsular regulation.

New paper accepted for publication in Computers & Operations Research

 The work A Stochastic Programming Model for the Thermal Optimal Day-Ahead Bid Problem with Physical Futures Contracts of C. Corchero and F.-Javier Heredia, has been accepted for publication in the journal Computers & Operations Research (DOI:10.1016/j.cor.2011.01.008). A preprint version of the manuscript is available at http://hdl.handle.net/2117/2795. The goal of this work, which was developed as a part of the research project DPI2008-02153,  is to optimize coordination between physical futures contracts and the day-ahead bidding which follow the MIBEL's regulation. The authors propose a stochastic quadratic mixed-integer programming model which maximizes the expected profits, taking into account futures contracts settlement.

Optimal Day-Ahead Bidding in the MIBEL's Multimarket Energy Production System

Publication TypeProceedings Article
Year of Publication2010
AuthorsCristina Corchero; F.-Javier Heredia
Conference Name7th Conference on European Energy Market EEM10
Series TitleProceedings of the 7th Conference on European Energy Market EEM10
Volume1
Pagination1 - 6
Conference Start Date23/06/2010
PublisherIEEE
Conference LocationMadrid
EditorIEEE
ISBN Number978-1-4244-6838-6
Key Wordsresearch; DPI2008-02153; multimarket; MIBEL; stochastic programming; futures contracts; bilateral contracts; optimal bid; paper
AbstractA Generation Company (GenCo) can participate in the Iberian Electricity Market (MIBEL) through different mechanisms and pools: the bilateral contracts, the physical derivatives products at the Derivatives Market, the bids to the Day-Ahead Market, the Intraday Markets or the Ancillary Services Markets. From the short-term generation planning point of view, the most important problem to solve is the bidding strategy for the Day-Ahead Market (DAM) given that the 85% of the physical energy traded in Spain is negotiated in it, but this participation cannot be tackled independently of other subsequent markets.
URLClick Here
DOI10.1109/EEM.2010.5558714
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A decision support procedure for the short-term scheduling problem of a generation company operating on day-ahead and physical derivatives electricity markets

Publication TypeConference Paper
Year of Publication2009
AuthorsM.-Teresa Vespucci; Cristina Corchero; Mario Innorta; F.-Javier Heredia
Conference Name11th International Conference on the Modern Information Technology in the Innovation Processes of the Industrial Enterprises (MITIP 2009)
Series TitleProceedings of the 11th International Conference on the Modern Information Technology in the Innovation Processes of the Industrial Enterprises (MITIP 2009)
Conference Date15-16/10/2009
Conference LocationBergamo, Italy
Type of Workinvited presentation
ISBN Number978-88-89555-09-05
Key Wordsresearch; hydro-thermal; futures; day-ahead; GAMS, CPLEX
AbstractWe consider a generation company operating in the liberalized electricity market, whose production system consists of hydro and thermal plants. Production is sold either directly to customers, by means of bilateral contracts, or on the spot market, where the electricity price is unknow until the market clearing process has taken place. Price risk may be hedged by financial tools provided by the Derivative Electricity Market. In this work futures contracts are considered, i.e. agreements to sell electricity in the future for a specified price. A Mixed Integer Linear Programming model is introduced for determining the unit commitment of thermal units and the dispatchment of available thermal units and hydro plants, aiming at maximizing profits. Numerical results on a case study are reported
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