electricity market
Energy Management System para una microrred domestica con participación en los servicios auxiliares de red
Thu, 11/27/2014 - 16:32 — admin| Publication Type | Tesis de Grau i Màster // BSc and MSc Thesis |
| Year of Publication | 2014 |
| Authors | Irune Etxarri Urtasun |
| Director | F.-Javier Heredia, Cristina Corchero |
| Tipus de tesi | MSc Thesis |
| Titulació | Master in Statistics and Operations Reseafrch |
| Centre | Faculty of Mathematics and Statistics |
| Data defensa | 27/06/2014 |
| Nota // mark | ** |
| Key Words | teaching; research; microgrids; stochastic programming; electricity market; secondary reserve; MSc Thesis |
| Abstract | En este proyecto se ha propuesto un modelo estocástico de dos etapas para la gestión de energía en una microrred doméstica, introduciendo la participación en el mercado de banda de regulación. El objetivo del modelo es determinar la potencia que se oferta al mercado diario, teniendo en cuenta la participación en el mercado de banda de regulación. Se ha introducido estocasticidad en los precios de este mercado y en los precios y probabilidades del requerimiento a subir y a bajar de la energía de regulación secundaria. Se han comparado los beneficios de la microrred en caso de participar o no en el mercado de banda de regulación, y se ha visto que la participación en dicho mercado produce grandes beneficios para sus usuarios. |
| DOI / handle | http://hdl.handle.net/2099.1/23233 |
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Forecasting and optimization of wind generation in energy markets
Sat, 07/19/2014 - 11:53 — admin| Publication Type | Funded research projects |
| Year of Publication | 2014 |
| Authors | F.- Javier Heredia; Ma. Pilar Muñoz; Josep Anton Sánchez; Maria Dolores Márquez; Eugenio Mijangos; Marlyn Dayana Cuadrado Guevara |
| Type of participation | Principal Investigator (IP) |
| Duration | 01/2014-12/2016 |
| Call | PROGRAMA ESTATAL DE INVESTIGACIÓN, DESARROLLO E INNOVACIÓN ORIENTADA A LOS RETOS DE LA SOCIEDAD |
| Funding organization | Ministry of Economy and Competitivity, Government of Spain |
| Partners | Universitat Politècnica de Catalunya; Universitat Autònoma de Barcelona (Catalonia) Euskal Herriko Unibersitatea (Basc Country) Universidad Pontificia de Comillas (Madrid) Universidade Paulista Júlia de Mesquita Filho (Brasil) North Carolina State University (USA) Electrical Utilities: Iberdrola, Gas Natural - Fenosa. Research centers: Catalonia Institute for Energy Research. |
| Full time researchers | 4,5 |
| Budget | 49.000€ |
| Project code | MTM2013-48462-C2-1-R |
| Key Words | research; MTM2013-48462; forecasting, optimization, wind generation, energy markets; mineco; competitive; public; project; energy |
| Abstract | The coordinated project " Forecasting and Optimization of Wind Generation in Energy Markets" ( FOWGEM) aims at aplying a global approach to the problem of the optimal integration of the wind-enery generation of a generation company in the wholesale electricity market through the combination of statistical forecasting models, mathematical programming models for electricity markets and optimization algorithms. In the framework of the Spanish Strategy for Science and Technology and Innovation 2013-2020 this project contributes fundamentally to challenge 3, " safe, sustainable and clean energy ." Indeed, the forecasting and optimization models and procedures that will be developed in this project, are the necessary mechanisms to allow the competitive and safe integration of wind-energy generation in the multiple-markets based wholesale national energy production system. The FOWGEM project adopts an original and global approach to this problem that combines advanced methodologies in the area of statistics, mathematical modeling of energy markets and theoretical and computatitonal optimization that were developed in several previous projects of the Plan Nacional by the groups of the Universidad Politècnica de Catalunya and the Universidad Pontificia de Comillas . The main objecives of the project are:
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New research reports on energy markets and smartgrids.
Fri, 01/24/2014 - 10:18 — admin
The following three research reports on energy markets and smartgrids has been recently submitted for publication:
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Simona Sacripante, F.-Javier Heredia, Cristina Corchero, Stochastic optimal sale bid for a wind power producer,Research Report DR 2013/06 Dept. of Statistics and Operations Research. E-Prints UPC, Universitat Politècnica de Catalunya, 2013.
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F.-Javier Heredia, Julian Cifuentes, Cristina Corchero, Stochastic optimal generation bid to electricity markets with emission risk constraints, Research Report DR 2013/05 Dept. of Statistics and Operations Research. E-Prints UPC, http://hdl.handle.net/2117/20640. Universitat Politècnica de Catalunya, 2013.
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Lucia Igualada, Cristina Corchero, Miguel Cruz-Zambrano, F.-Javier Heredia, Optimal energy management for a residential microgrid including a vehicle-to-grid system, Research Report DR 2013/04 Dept. of Statistics and Operations Research. E-Prints UPC, http://hdl.handle.net/2117/20642 . Universitat Politècnica de Catalunya, 2013.
Stochastic optimal sale bid for a wind power producer
Sun, 11/24/2013 - 19:02 — admin| Publication Type | Report |
| Year of Publication | 2013 |
| Authors | Simona Sacripante; F.-Javier Heredia; Cristina Corchero |
| Pages | 17 |
| Date | 11/2013 |
| Reference | Research report DR 2013/06, Dept. of Statistics and Operations Research. E-Prints UPC, Universitat Politècnica de Catalunya |
| Prepared for | Submitted |
| Key Words | research; electricity markets; wind generator; stochastic programming |
| 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 daily 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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Stochastic optimal generation bid to electricity markets with emission risk constraints.
Sun, 11/17/2013 - 19:22 — admin| Publication Type | Report |
| Year of Publication | 2013 |
| Authors | F.-Javier Heredia; Julian Cifuentes; Cristina Corchero |
| Pages | 21 |
| Date | 09/2013 |
| Reference | Research report DR 2013/04, Dept. of Statistics and Operations Research. E-Prints UPC, http://hdl.handle.net/2117/20640. Universitat Politècnica de Catalunya |
| Prepared for | submitted |
| Key Words | research; OR in Energy; Stochastic Programming; Risk Management; Electricity market; Emission reduction |
| Abstract | There are many factors that influence the day-ahead market bidding strategies of a generation company (GenCo) in the current energy market framework. Environmental policy issues have become more and more important for fossil-fuelled power plants and they have to be considered in their management, giving rise to emission limitations. This work allows investigating the influence of the 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 Iberian Electricity Market (MIBEL) and the Spanish National Emission Reduction Plan (NERP) defines the environmental framework to deal with by the day-ahead market bidding strategies. To address emission limitations, some of the standard risk management methodologies developed for financial markets, such as Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR), have been extended giving rise to the new concept of Conditional Emission-at-Risk (CEaR). This study offers to electricity generation utilities a mathematical model to determinate the individual optimal generation bid to the wholesale electricity market, for each one of their generation units that maximizes the long-run profits of the utility abiding by the Iberian Electricity Market rules, as well as the environmental restrictions set by the Spanish National Emissions Reduction Plan. The economic implications for a GenCo of including the environmental restrictions of this National Plan are analyzed, and the effect of the NERP in the expected profits and optimal generation bid are analyzed. |
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A new optimal electricity market bid model solved through perspective cuts
Fri, 09/06/2013 - 15:58 — admin| Publication Type | Report |
| Year of Publication | 2011 |
| Authors | Cristina Corchero; Eugenio Mijangos; F.-Javier Heredia |
| Pages | 25 |
| Date | 11/2011 |
| Reference | Research report DR 2011/04, Dept. of Statistics and Operations Research. E-Prints UPC, http://hdl.handle.net/2117/18368. Universitat Politècnica de Catalunya |
| Prepared for | Published by TOP |
| Key Words | research; electricity market; |
| Abstract | On current electricity markets the electrical utilities are faced with very sophisticated decision making problems under uncertainty. Moreover, when focusing in the shortterm management, generation companies must include some medium-term products that directly influence their short-term strategies. In this work, the bilateral and physical futures contracts are included into the day-ahead market bid following MIBEL rules and a stochastic quadratic mixed-integer programming model is presented. The complexity of this stochastic programming problem makes unpractical the resolution of large-scale instances with general purpose optimization codes. Therefore, in order to gain efficiency, a polyhedral outer approximation of the quadratic objective function obtained by means of perspective cuts (PC) is proposed. A set of instances of the problem has been defined with real data and solved with the PC methodology. The numerical results obtained show the efficiency of this methodology compared with standard mixed quadratic optimization solvers. |
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Improving Electricity Market Price Forecasting with Factor Models for the Optimal Generation Bid
Fri, 09/06/2013 - 14:58 — admin| 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. |
| URL | Click Here |
| DOI | 10.1111/insr.12014 |
| Preprint | http://hdl.handle.net/2117/3047 |
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Stochastic optimal bid to electricity markets with environmental risk constraints
Wed, 03/27/2013 - 11:21 — admin| Publication Type | Tesis de Grau i Màster // BSc and MSc Thesis |
| Year of Publication | 2012 |
| Authors | Julian Cifuentes Rubiano |
| Director | F.-Javier Heredia |
| Tipus de tesi | MSc Thesis |
| Titulació | Master in Statistics and Operations Research |
| Centre | Faculty of Mathematics and Statistics |
| Data defensa | 21/12/2012 |
| Nota // mark | 9.5/10 |
| Key Words | teaching; stochastic programming; electricity markets; CO2 allowances; environment; emission limits; emission risk; CVaR; CEaR; modeling languages; MSc Thesis |
| Abstract | There are many factors that influence the day-ahead market bidding strategies of a generation company (GenCo) in the current energy market framework. Environmental policy issues have become more and more important for fossil-fuelled power plants and they have to be considered in their management, giving rise to emission limitations. This work allows to investigate 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 Iberian Electricity Market and the Spanish National Emissions and Allocation Plans are the framework to deal with the environmental issues in the day-ahead market bidding strategies. To address emission limitations, some of the standard risk management methodologies developed for financial markets, such as Value-at-Risk (VaR) and Conditional Value at Risk (CVaR), have been extended. This study offers to electricity generation utilities a mathematical model to determinate the individual optimal generation bid to the wholesale electricity market, for each one of their generation units that maximizes the long-run profits of the utility abiding by the Iberian Electricity Market rules, the environmental restrictions set by the EU Emission Trading Scheme, as well as the restrictions set by the Spanish National Emissions Reduction Plan. The economic implications for a GenCo of including the environmental restrictions of these National Plans are analyzed and the most remarkable results will be presented.. The problem to be solved in this project will provide generationutilities with a mathematical tool to find the individual optimal generation bid for each one of theirgeneration units that maximizes the long-run profits of the utility abiding by the Iberian ElectricityMarket rules, the environmental restrictions of the EU Emission Trading Scheme and also by theSpanish National Emissions Reduction Plan |
| DOI / handle | http://hdl.handle.net/2099.1/17485 |
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Solving Electric Market Quadratic Problems by Branch and Fix Coordination Methods
Tue, 03/05/2013 - 16:24 — admin| 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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Optimal Management of Microgrids
Thu, 07/19/2012 - 21:10 — admin| 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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