electricity market

Improving electricity market price scenarios by means of forecasting factor models

Publication TypeConference Paper
Year of Publication2009
AuthorsM.-Pilar Muñoz; Cristina Corchero; F.-Javier Heredia
Conference NameThe 57th Session of the International Statistical Institute
Conference Date16-22/08/2009
PublisherInternational Statistical Institute
Conference LocationDurban, South Africa
Type of WorkPlenary session
Key Wordsresearch; spot price forecasting; scenario generation; MIBEL
AbstractIn liberalized electricity markets, Generation Companies must build an hourly bid that is sent to the market operator. The price at which the energy will be paid is unknown during the bidding process and has to be forecast. In this work we apply forecasting factor models to this framework and study its suitability.
URLClick Here
ExportTagged XML BibTex

Improving electricity market price scenarios by means of forecasting factor models

Publication TypeReport
Year of Publication2009
AuthorsM.-Pilar Muñoz; Cristina Corchero; F.-Javier Heredia
Pages12
Date09/2009
ReferenceResearch Report DR 2009/06, Dept. of Statistics and Operations Research, E-Prints UPC http://hdl.handle.net/2117/3047. Universitat Politècnica de Catalunya.
Prepared forPlenary session on the 57th Session of the International Statistical Institute, Durban, South Africa. Accepted for publication at International Statistical Review.
CityBarcelona.
Key Wordsresearch; spot price forecasting; scenario generation; MIBEL
AbstractIn liberalized electricity markets, Generation Companies must build an hourly bid that is sent to the market operator. The price at which the energy will be paid is unknown during the bidding process and has to be forecast. In this work we apply forecasting factor models to this framework and study its suitability.
URLClick Here
ExportTagged XML BibTex

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.
URLClick Here
ExportTagged XML BibTex

A stochastic approach to the decision support procedure for a Generation Company operating on Day-Ahead and Physical Derivatives Electricity Market

Publication TypeConference Paper
Year of Publication2009
AuthorsCristina Corchero; M-Teresa Vespucci; F-Javier Heredia; Mario Innorta
Conference NameEURO XXIII: 23rd European Conference on Operational Research
Conference Date05-08/07/2009
Conference LocationBonn, Germany
Type of WorkInvited oral presentation
Key Wordsresearch; electricity markets; day-ahead; futures contracts; hydro-thermal
URLClick Here
ExportTagged XML BibTex

Estudi i optimització de l'oferta al Mercat Ibèric d'Electricitat (MIBEL)

Publication TypeTesis de Grau i Màster // BSc and MSc Thesis
Year of Publication2009
AuthorsSilvia Nieto; Iván Ruz
DirectorF.-Javier Heredia
Tipus de tesiTesi de Grau // BSC Thesis
TitulacióDiplomatura d'Estadística
CentreFacultat de Matemàtiques i Estadística, UPC
Data defensa09/07/2009
Nota // mark9.5 (over 10) E
Key Wordsteaching; PFC-DE; MIBEL; optimal bid; BSc Thesis
AbstractEstudi de les ofertes reals de les companyies productores d'energia elèctrica a MIBEL i comparació de dos models alternatius de optimització de l'oferta.
URLClick Here
ExportTagged XML BibTex

Lectura de dos PFC's a la DE sobre oferta òptima als mercats d'energia elèctrica.

El passat dijous 9 de juliol de 2009 es va llegir el Projecte Final de Carrera dels alumnes Silvia Nieto i Ivan Ruz, que portava per títol "Estudi i optimització de l’oferta al Mercat Ibèric ’Electricitat (MIBEL)", dirigit pel professor Javier Heredia. Els objectius del treball han estat:


  • Fer una descriptiva de les dades obtingudes de les energies tèrmiques per veure el comportament que hi tenen.
  • Entendre el model d'optimització d'oferta presentat a l'article [1], i compendre la seva implementació.
  • Entendre el model d'optimització d'oferta de l'article [2] i resoldre una nova modelització adaptant aquest model a l'anterior fent els canvis pertinents.
  • Comparar els dos models i treure'n conclusions sobre quin és el més eficient.

Aquí teniu més informació.

[1] Arroyo, José M. ; Carrión, Miguel. A computationally efficient mixed-integer linear formulation for the termal unit commitment problem. Institute of Electrical and Electronics Engineers transactions on power systems, vol. 21, nº3, agost 2006.

[2] Cristina Corchero, F. Javier Heredia, "A Stochastic Programming Model for the Thermal Optimal Day-Ahead Bid Problem with Physical Futures Contracts", Submitted to European Journal of Operations Research, Barcelona, Espanya, Dept. of Statistics and Operations Research, Universitat Politècnica de Catalunya, 03/2009

 

A Stochastic Programming Model for the Thermal Optimal Day-Ahead Bid Problem with Physical Futures Contracts

Publication TypeReport
Year of Publication2009
AuthorsCristina Corchero; F. Javier Heredia
Pages19
Date03/2009
ReferenceResearch Report DR 2009/03, Dept. of Statistics and Operations Research, E-Prints UPC http://hdl.handle.net/2117/2795, Universitat Politècnica de Catalunya
Prepared forAccepted for publication at Computers and Operations Research
CityBarcelona, Spain.
Key Wordsresearch; Stochastic programming; OR in energy; electricity day-ahead market; futures contracts; optimal bid
AbstractThe reorganization of the electricity industry in Spain completed a new step with the start-up of the Derivatives Market. One main characteristic of MIBEL’s Derivatives Market is the existence of physical futures contracts; they imply the obligation to settle physically the energy. The market regulation establishes the mechanism for including those physical futures in the day-ahead bidding of the Generation Companies. The goal of this work is to optimize coordination between physical futures contracts and the Day-Ahead bidding which follow this regulation. We propose a stochastic quadratic mixed-integer programming model which maximizes the expected profits, taking into account futures contracts settlement. The model gives the simultaneous optimization for the Day-Ahead Market bidding strategy and power planning production (unit commitment) for the thermal units of a price-taker Generation Company. The uncertainty of the day-ahead market price is included in the stochastic model through a set of scenarios. Implementation details and some first computational experiences for small real cases are presented.
URLClick Here
ExportTagged XML BibTex

Lectura d'una Tesi Final de Màster a l'FME

 

Dimecres 4 de març es va llegir a la Facultat de Matemàtiques i Estadística la Tesi Final de Màster d'Enginyeria Matemàtica de l'alumna Eva Romero i Beneyto, que porta per títol "Oferta òptima multi – mercat al Mercat Ibèric d’Electricitat", i que he tingut el plaer de dirigir. En aquest treball es proposa un nou model, basat en els treball de Plazas et al. i Heredia et al. , per a l'oferta òptima al mercat diari tenint en compte els mercats de secundària i intradiari. Clicant aquí obtindreu més informació .

Optimization algorithms for electricity market models

Idees:

  •  Calcular una LB mitjançant LR i passar-li aCPLEX.

Oferta òptima multi–mercat al Mercat Ibèric d'Electricitat.

Publication TypeTesis de Grau i Màster // BSc and MSc Thesis
Year of Publication2009
AuthorsEva Romero i Beneyto
DirectorF.-Javier Heredia
Tipus de tesiTesi Final de Màster // MSc Thesis
TitulacióMàster en Enginyeria Matemàtica
CentreFacultat de Matemàtiques i Estadística, UPC
Data defensa04/03/2009
Nota // mark9 (over 10) E
Key Wordsteaching; MEM; electricity market; multimarket; optimal offer; stochastic programming; MSc Thesis
AbstractEl present projecte analitza, estudia i desenvolupa diversos models multi - mercat estocàstics per al Mercat Ibèric d'Electricitat. A partir de l'artcile "Multimarket Optimal Bidding for a Power Producer" de Plazas et al, s'analitzen i es proposen diverses possibles millores: incorporació de costos quadràtics de generació i una nova definició de funció d'oferta. Aquestes millores es desenvolupen donant lloc un nou model competitiu amb l'anterior. Tenint en compte el reglament de MIBEL, i com a millora al primer proposat, finalment es desenvolupa un tercer model multi – oferta que contempla la definició de la funció d'oferta de forma esglaonada. Els resultats obtinguts mostren com la consideració de la determinació dels graons dins la pròpia modelització és rellevant respecte les funcions d'oferta obtingudes.
URLClick Here
ExportTagged XML BibTex
Syndicate content