modellization

Electricity Market Optimization: finding the best bid through stochastic programming.

Publication TypeConference Paper
Year of Publication2010
AuthorsF.-Javier Heredia; Cristina Corchero; M.-Pilar Muñoz; Eugenio Mijangos
Conference NameConference on Numerical Optimization and Applications in Engineering (NUMOPEN-2010)
Conference Date13-15/10/2010
Conference LocationCentre de Recerca Matemàtica. UAB. Barcelona, Spain.
Type of WorkInvited presentation
Key Wordsresearch; electricity markets; stochastic programming; perspective cuts; TSFA; DPI2008-02153
AbstractThe participation in national and international electricity markets has became a very complex decision making process. Electrical utilities participating in such liberalized market have to decide daily the operation, generation scheduling and optimal bid of each one of their generation units in several consecutives day-ahead markets. In the talk, we will describe the operation rules of the Iberian Electricity Market (MIBEL), how this operation can be mathematically modelled with the help of stochastic programming into large scale nonlinear integer problems and how these difficult optimization problems can be solved with specialised algorithms. Finally, the results found for several cases with real data of Spanish utilities and MIBEL market prices will be shown.
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Optimal day-ahead bidding strategy in the MIBEL's multimarket energy production system

Publication TypeReport
Year of Publication2010
AuthorsCristina Corchero; F.-Javier Heredia
Pages6
Date07/2010
ReferenceResearch report DR 2010/**, Dept. of Statistics and Operations Research. E-Prints UPC, http://hdl.handle.net/2117/8390. Universitat Politècnica de Catalunya
Prepared forPublished by the IEEE at the proceedings of the 7th Conference on European Energy Market EEM10, Madrid, Spain
Key Wordsresearch; electricity markets; multimarkets; day-ahead market; intraday market; AGC market; stochastic programming
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.
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Optimal day-ahead bidding strategy with futures and bilateral contracts. Scenario generation through factor models

Publication TypeConference Paper
Year of Publication2010
AuthorsCristina Corchero; F.-Javier Heredia; M.-Pilar Muñoz
Conference Name24th European Conference on Operational Research
Conference Date11-14/07/2010
Conference LocationLisboa
Type of WorkInvited Presentation
Key Wordsresearch; electrical markets; stochastic programming; forecasting
AbstractWe propose a stochastic programming model that gives the optimal bidding, bilateral (BC) and futures contracts (FC) nomination strategy for a price-taker generation company in the MIBEL. The objective of the study is to decide the optimal economic dispatch of the physical FC and BC among the thermal units, the optimal bidding at day-ahead market (DAM) abiding by the MIBEL rules and the optimal unit commitment that maximizes the expected profits from the DAM. For the uncertainty characterization, we apply the methodology of factors models to forecast market prices in a short-term horizon.
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Optimal Day-Ahead Bidding in the MIBEL's Multimarket Energy Production System

Publication TypeConference Paper
Year of Publication2010
AuthorsCristina Corchero; F.-Javier Heredia
Conference Name7th Conference on European Energy Market EEM10
Conference Date23-25/06/2010
Conference LocationMadrid, Spain
Type of WorkContributed Presentation
Key Wordsresearch; multimarket; bilateral contracts; futures contracts; optimal bid; stochastic programming; MIBEL
AbstractAbstract—A 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.
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Optimal Bidding Strategies for Thermal and Combined Cycle Units in the Day-ahead Electricity Market with Bilateral Contracts

Publication TypeProceedings Article
Year of Publication2009
AuthorsHeredia, F.-Javier; Rider, Marcos.-J.; Corchero, C.
Conference Name2009 Power Engineering Society General Meeting
Pagination1-6
Conference Start Date26/07/2010
PublisherIEEE
Conference LocationCalgary
ISSN Number1944-9925
ISBN Number978-1-4244-4241-6
Key Wordsresearch; Electricity spot-market; bilateral contracts; combined cycle units; optimal bidding strategies; short-term electricity generation planning; stochastic programming; paper
AbstractThis paper developed a stochastic programming model that integrated the most recent regulation rules of the Spanish peninsular system 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 and combined cycle programming units, the economic dispatch of the BC between all the programming units and the optimal sale bid by observing the Spanish peninsular regulation. The model was solved using real data of a typical generation company and a set of scenarios for the Spanish market price. The results are reported and analyzed.
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DOI10.1109/PES.2009.5275680
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Optimal Bidding Strategies for Thermal and Generic Programming Units in the Day-Ahead Electricity Market

Publication TypeJournal Article
Year of Publication2010
AuthorsHeredia, F.-J; Rider, M.-Julio; Corchero, C.
Journal TitleIEEE Transactions on Power Systems
Volume25
Issue3
Pages1504-1518
Start Page1504
Journal DateAug. 2010
PublisherIEEE Power & Energy Society
ISSN Number0885-8950
Key Wordsresearch; paper; bilateral contracts; electricity spot market; optimal bidding strategies; short-term electricity generation planning; stochastic programming; virtual power plant auctions
AbstractThis study has developed a stochastic programming model that integrates the day-ahead optimal bidding problem with the most recent regulation rules of the Iberian Electricity Market (MIBEL) for bilateral contracts (BC), with a special consideration for the new mechanism to balance the competition of the production market, namely virtual power plant (VPP) auctions. The model allows a price-taking generation company (GenCo) to decide on the unit commitment of the thermal units, the economic dispatch of the BCs between the thermal units and the generic programming unit (GPU), and the optimal sale/purchase bids for all units (thermal and generic), by observing the MIBEL regulation. The uncertainty of the spot prices has been represented through scenario sets built from the most recent real data using scenario reduction techniques. The model has been solved using real data from a Spanish generation company and spot prices, and the results have been reported and analyzed.
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DOI10.1109/TPWRS.2009.2038269
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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 TypeProceedings Article
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 Start Date15-16/10/2009
Conference LocationBergamo, Italy
ISBN NumberISBN 978-88-89555-09-05
Key Wordsresearch; hydro-thermal; futures; day-ahead; GAMS, CPLEX; paper
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Recent Advances in Optimisation of Generation Operation

Publication TypeConference/School/Seminar attendance
Year of Publication1999
AuthorsF.-Javier Heredia
Conference NameElectric Energy Systems University Enterprise Training Partnership
Event TypeSeminar
Conference OrganiserElectricité de France (EDF)
Conference Dates25-26/03/1999
Conference LocationClamart, France
Key Wordsresearch; power systems; EDF
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Optimal Bidding Strategies for Thermal and Combined Cycle Units in the Day-ahead Electricity Market with Bilateral Contracts

Publication TypeConference Paper
Year of Publication2009
AuthorsHeredia, F.-Javier; Rider, Marcos.-J.; Corchero, C.
Conference Name2009 Power Engineering Society General Meeting
Series TitleProceedings of the Power Engineering Society General Meeting, 2009. IEEE
Volume1
Pagination1-6
Conference Date26-30/07/2009
PublisherIEEE
Conference LocationCalgary, Alberta, Canada
EditorIEEE
Type of WorkContributed oral presentation
ISSN Number1944-9925
ISBN Number978-1-4244-4241-6
Key Wordsresearch; stochastic programming; electricity markets; day-ahead market, bilateral contracts; Combined Cycle Units; optimal bid
AbstractThis paper developed a stochastic programming model that integrated the most recent regulation rules of the Spanish peninsular system for bilateral contracts in the dayahead optimal bid problem. Our model allows a price-taker generation company to decide the unit commitment of the thermal and combined cycle programming units, the economic dispatch of the BC between all the programming units and the optimal sale bid by observing the Spanish peninsular regulation. The model was solved using real data of a typical generation company and a set of scenarios for the Spanish market price. The results are reported and analyzed.
URLClick Here
DOI10.1109/PES.2009.5275680
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Stochastic programming models for optimal bid strategies in the Iberian Electricity Market

Publication TypeConference Paper
Year of Publication2009
AuthorsF.-Javier Heredia; Cristina Corchero
Conference NameThe 20th International Symposium of Mathematical Programming (ISMP)
Conference Date23-28/08/2009
Conference LocationChicago
Type of WorkInvited oral presentation
Key Wordsresearch; stochastic programming; electricity markets; day-ahead market; bilateral contracts; futures contracts; optimal bid
AbstractThe day-ahead market is not only the main physical energy market of Portugal and Spain in terms of the amount of traded energy, but also the mechanism through which other energy products, as bilateral (BC) and physical futures contracts (FC), are integrated into the Iberian Electricity Market (MIBEL) energy production system. We propose stochastic programming models that give the optimal bidding and BC and FC nomination strategy for a price-taker generation company in the MIBEL. Implementation details and some first computational experiences for small real cases are presented.
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