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Stochastic programming models for optimal bid strategies in the Iberian Electricity Market

Tue, 09/01/2009 - 13:56 — admin
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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A stochastic approach to the decision support procedure for a Generation Company operating on Day-Ahead and Physical Derivatives Electricity Market

Wed, 07/22/2009 - 16:46 — admin
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
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Oferta òptima multi–mercat al Mercat Ibèric d'Electricitat.

Mon, 03/02/2009 - 18:25 — admin
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.
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Optimal Bidding Strategies for Thermal and Generic Programming Units in the Day-ahead Electricity Market

Fri, 12/19/2008 - 10:57 — admin
Publication TypeReport
Year of Publication2008
AuthorsHeredia, F.-Javier, Rider, Marcos.-J., Corchero, C.
Pages12
Date11/2008
ReferenceResearch report DR 2008/13, Dept. of Statistics and Operations Research. E-Prints UPC, http://hdl.handle.net/2117/2468. Universitat Politècnica de Catalunya
Prepared forPublished on august 2010 at IEEE Transactions on Power Systems
Key Wordsresearch; stochastic programming; electricity markets; day-ahead market, bilateral contracts; Virtual Power Plants; optimal bid
AbstractThis paper develops 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, with a special consideration for the new mechanism to balance the competition of the production market, namely virtual power plants auctions (VPP). The 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 generic programming unit (GPU) and the optimal sale/purchase bids for all units (thermal and generic) observing the MIBEL regulation. The uncertainty of the spot prices is represented through scenario sets built from the most recent real data using scenario reduction techniques. The model was solved with real data from a Spanish generation company and spot prices, and the results are reported and analyzed.
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A stochastic programming model for the optimal electricity market bid problem with bilateral contracts for thermal and CC units

Thu, 10/09/2008 - 17:48 — admin

HerediaRiderCorchero_EprintsUPC_08

This work, co-authored by Dr. Marcos.-J Rider and Ms. Cristina Corchero and submitted to the journal  Annals of Operations Research, 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. This 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 bilateral contracts between all the programming units and the optimal sale bid by observing the Spanish peninsular regulation. See the full text at  http://hdl.handle.net/2117/2282

A stochastic programming model for the optimal electricity market bid problem with bilateral contracts for thermal and combined cycle units

Thu, 10/09/2008 - 17:27 — admin
Publication TypeReport
Year of Publication2008
AuthorsHeredia, F.-Javier, Rider, Marcos.-J., Corchero, C.
Pages18
Date10/2008
ReferenceGroup on Numerical Optimization and Modelling, E-Prints UPC, http://hdl.handle.net/2117/2282. UPC.
Prepared forAccepted for publication in Annals of Operations Research (2011)
CityBarcelona
Key Wordscombined cycle units; optimal bid; bilateral contracts; day-ahead market; electricity markets; stochastic programming; modeling language; research
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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