mixed nonlinear optimization

A MIP formulation of a Hybrid AC-DC offshore wind power plant topology.

Publication TypeTesis de Grau i Màster // BSc and MSc Thesis
Year of Publication2017
AuthorsJosep Homs Moreno
DirectorF.-Javier Heredia Cervera; Cristina Corchero; Lucia Igualada
Tipus de tesiMSc Thesis
TitulacióInteruniversity Master in Statistics and Operations Research UPC-UB
CentreFaculty of Mathematics and Statistics
Data defensa23/10/2017
Nota // mark9.5 (A)
Key Wordsoffshore wind; Hybrid AC-DC grid; MIP; teaching; MSc Thesis
AbstractThis thesis analyses a design in which individual wind turbine converters are removed from wind turbines and are installed on intermediate o shore platforms. Thus, many turbines may be controlled by only few power converters, de ning clusters. All wind turbines in a cluster operate at the same cluster optimal frequency. This approach is cheaper in terms of capital cost savings than having individual power converters integrated in wind turbines because less components must be installed and maintained. At the same time, it gives enough exibility to turbines to still operate with high power eciency. The generated power in turbines is transmitted with alternating current to AC/DC power converters. In addition, power from AC/DC converters is transmitted in direct current to a single large high voltage direct current converter, which transmits power to the onshore collection grid.
DOI / handlehttp://hdl.handle.net/2117/110482
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BSc Thesis on tight MILP formulation of the unit committment problem

 L'alumne del grau de matemàtiques de l'FME Jordan Escandell ha llegit el treball fi de grau Caracterització de Formulacions Fortes del Problema Unit Commitment. Aquest projecte abordava la caracterització de formulacions fortes del problema Unit Commitment a partir de l'estudi de les diferents desigualtats proposades pels diferents autors així com la seva adaptació i possible millora en la modelització de certs problemes reals de mercats elèctrics. Els models d'optimització matemàtica obtinguts s'han implementat computacionalment i aplicat a la resolució de problemes reals d'oferta òptima a merctas elèctrics.

Parallel Proximal Bundle Methods for Stochastic Electricity Market Problems

Publication TypeConference Paper
Year of Publication2015
AuthorsF.-Javier Heredia; Antonio Rengifo
Conference Name27th European Conference on Operational Research
Conference Date12-15/07/2015
Conference LocationGlasgow, UK.
Type of Workinvited
Key Wordsresearch; MTM2013-48462-C2-1; mixed-integer nonlinear programming; proximal bundle methods; multimarket electricity problems; parallelism
AbstractThe use of stochastic programming to solve real instances of optimal bid problems in electricity market usually implies the solution of large scale mixed integer nonlinear optimization problems that can't be tackled with the available general purpose commercial optimisation software. In this work we show the potential of proximal bundle methods to solve large scale stochastic programming problems arising in electricity markets. Proximal bundle methods was used in the past to solve deterministic unit commitment problems and are extended in this work to solve real instances of stochastic optimal bid problems to the day-ahead market (with embedded unit commitment) with thousands of scenarios. A parallel implementation of the proximal bundle method has been developed to take profit of the separability of the lagrangean problem in as many subproblems as generation bid units. The parallel proximal bundle method (PPBM) is compared against general purpose commercial optimization software as well as against the perspective cuts algorithm, a method specially conceived to deal with quadratic objective function over semi-continuous domains. The reported numerical results obtained with a workstation with 32 threads show that the commercial software can’t find a solution beyond 50 scenarios and that the execution times of the proposed PPBM are as low as a 15% of the execution time of the perspective cut approach for problems beyond 800 scenarios.
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Contribution to the 27th European Conference on Operational Research


EURO2015The 27th European Conference on Operational Research  was held in Glasgow, hosted by the University of Strathclyde, during 12-15 July 2015. I participated in the sessions with the following two works:

The first one, Parallel Proximal Bundle Methods for Stochastic Electricity Market Problems  in collaboration with Mr. Antonio Rengifo, a former student of our Master in Statistics and Operations Research.

The second one, entitled A multi-objective approach to infrastructure planning in the early stages of EV introduction  in collaboration with the Energy Economy group of the Catalonia Institute for Energy Reseach.

In the photography, me (right) with two of the coauthors of the last paper, Dr. Cristina Corchero (left) and Ms. Andina Brown (center).

Forecasting and optimization of wind generation in energy markets

Publication TypeFunded research projects
Year of Publication2014
AuthorsF.- Javier Heredia; Ma. Pilar Muñoz; Josep Anton Sánchez; Maria Dolores Márquez; Eugenio Mijangos
Type of participationPrincipal Investigator (IP)
Duration01/2014-12/2016
CallPROGRAMA ESTATAL DE INVESTIGACIÓN, DESARROLLO E INNOVACIÓN ORIENTADA A LOS RETOS DE LA SOCIEDAD
Funding organizationMinistry of Economy and Competitivity, Government of Spain
PartnersUniversitat 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 researchers4,5
Budget49.000€
Project codeMTM2013-48462-C2-1-R
Key Wordsresearch; MTM2013-48462; forecasting, optimization, wind generation, energy markets; mineco; competitive; public; project
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:

  1. To develop forecasting models for wind-enregy generation and electricity prices for the spot and ancillary electricity markets as a base for the optimal planning of a generation companys production.
  2. To develop mathematical programming models for the optimal integration of wind-energy production of the generation companies in the wholesale spot and ancillary services electricity market based on the results of the forecasting models for the wind-energy generation and market prices.
  3. To develop and implement efficient optimization algorithms for the large scale mixed linear and quadratic programming problems arising in real instances of the models for the integration of wind-energy production.
Regarding the social and economic impact of this project, the predictive models for wind-energy generation and market prices, together with the optimization models for the optimal integration of the wind-energy, will indicate power companies how to optimally coordinate their dispatchable generation with the estocastic wind-energy generation. As a result, the expected cost of the total production will be minimized (which means less fossil fuel consumption with the consequent positive impact on the environment ) and also the wind-energy spillage will be minimized. From the point of view of scientific and technical impact , the main feature of this project is its global an multidiciplinar approach through a methodological cycle that combines statistical methods, mathematical modeling of electricity markets and optimization techniques, in order to tackle with an actual problem concerning generation companies with real impacts on the national economy and environment. It is to mention the collaboration as EPO of two of the major Spanish gneration companies, Gas Natural Fenosa and Iberdrola, together with  the Institute for Energy Research (IREC ), the major research institution in Catalonia in the field of energy.
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A new optimal electricity market bid model solved through perspective cuts

Publication TypeReport
Year of Publication2011
AuthorsCristina Corchero; Eugenio Mijangos; F.-Javier Heredia
Pages25
Date11/2011
ReferenceResearch report DR 2011/04, Dept. of Statistics and Operations Research. E-Prints UPC, http://hdl.handle.net/2117/18368. Universitat Politècnica de Catalunya
Prepared forPublished by TOP
Key Wordsresearch; electricity market;
AbstractOn 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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Solving Electric Market Quadratic Problems by Branch and Fix Coordination Methods

Publication TypeProceedings Article
Year of Publication2013
AuthorsF. -Javier Heredia; Cristina Corchero; Eugenio Mijangos
Conference Name25th IFIP TC 7 Conference, CSMO 2011
Series TitleIFIP Advances in Information and Communication Technology
Volume391
Pagination511-520
Conference Start Date12/09/2011
PublisherSpringer Berlin Heidelberg
Conference LocationBerlin
ISSN Number1868-4238
ISBN Number978-3-642-36062-6
Key WordsLiberalized Electricity Market; Optimal Bid Stochastic Programming; Quadratic Branch-and-Fix Coordination; research; paper; DPI2008-02153
AbstractThe 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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DOI10.1007/978-3-642-36062-6_51
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Optimal electricity market bidding strategies considering emission allowances

Publication TypeConference Paper
Year of Publication2012
AuthorsCristina Corchero; F.-Javier Heredia; Julián Cifuentes
Conference Name9th International Conference on the European Energy Market (EEM12)
Conference Date10-12/05/2012
Conference LocationFlorence, Italy
Type of WorkContributed presentation
Key Wordsresearch; elecriticy; markets; CO2 allowances; emissions limits; environment; stochastic programming; modeling languages
AbstractThere are many factors that influence the day-ahead market bidding strategies of a GenCo in the current energy market framework. In this work we study 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 operational characteristics of both kinds of units are modeled in detail. We deal with this problem in the framework of the Iberian Electricity Market and the Spanish National Emissions and Allocation Plans. The economic implications for a GenCo of including the environmental restrictions of these National Plans are analyzed.
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New paper accepted for publication in TOP

The work "A new optimal electricity market bid model solved through prespective cuts" developed in collaboration with prof. Cristina Corchero (GNOM/IREC) and  Eugenio Mijangos (Basc Country University), has been accepted for publication in the journal TOPA preliminary version of the manuscript is available at this link . This study presents a new procedure to find the optimal electricity generation bid for a generation company operating in the Iberian Electricity Market (MIBEL), and was a part of the research project DPI2008-02153,.

A new optimal electricity market bid model solved through perspective cuts

Publication TypeJournal Article
Year of Publication2013
AuthorsCristina Corchero; Eugenio Mijangos; F.-Javier Heredia
Journal TitleTOP
Volume21
Issue1
Pages25
Start Page84
Journal Date04/2013
Short TitleA new optimal electricity market bid model
PublisherSpringer
ISSN Number1134-5764
Key Wordsresearch; paper; electricity market; day-ahead; bilateral contracts; future contracts; Optimal bid; Stochastic programming; Perspective cuts; mixed integer nonlinear programming; DPI2008-02153; Q3
AbstractOn current electricity markets the electrical utilities are faced with very sophisticated decision making problems under uncertainty. Moreover, when focusing in the short-term 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.
URLClick Here
DOI10.1007/s11750-011-0240-6
Preprinthttp://hdl.handle.net/2117/18368
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