energy and power systems

New paper accepted for publication in Computers & Operations Research

 The work A Stochastic Programming Model for the Thermal Optimal Day-Ahead Bid Problem with Physical Futures Contracts of C. Corchero and F.-Javier Heredia, has been accepted for publication in the journal Computers & Operations Research (DOI:10.1016/j.cor.2011.01.008). A preprint version of the manuscript is available at http://hdl.handle.net/2117/2795. The goal of this work, which was developed as a part of the research project DPI2008-02153,  is to optimize coordination between physical futures contracts and the day-ahead bidding which follow the MIBEL's regulation. The authors propose a stochastic quadratic mixed-integer programming model which maximizes the expected profits, taking into account futures contracts settlement.

The Radar Subgradient Method Applied to the Unit Commitment Problem

Publication TypeConference Paper
Year of Publication2000
AuthorsF.-Javier Heredia; Cesar Beltrán
Conference Name9th Stockolm Optimization Days
Conference Date06/2000
Conference LocationStockholm, Sweden
Type of WorkContributed presentation
Key Wordsresearch, radar subgradient; guc
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Desarrollo e instalación de programas de Expansión Optima de la Red Eléctrica a distintos niveles de tensión (UPC C1958).

Publication TypeFunded research projects
Year of Publication1993
AuthorsF.-Javier Heredia
Type of participationResearcher
Duration10/1993-05/1995
Funding organizationElectra de Viesgo S.A.
PartnersDep. Estadística i Investigació Operativa, UPC
Full time researchers4
Budget62.505,26€
Project codeUPC C1958
Key Wordsresearch; contracts; Electra de Viesgo; network expansion; project; private
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Desarrollo y suministro de un conjunto de programas de Coordinación Hidrotérmica a Corto Plazo de la Generación Eléctrica por flujos multiartículo en redes con restricciones laterales lineales (UPC C0919).

Publication TypeFunded research projects
Year of Publication1989
AuthorsF.-Javier Heredia
Type of participationResearcher
Duration05/1989-12/1992
Funding organizationFECSA-ENHER-HECSA
PartnersDep. d'Estadística i Investigació Operativa, UPC
Full time researchers2
Budget158.088,00€
Project codeUPC C0919
Key Wordsresearch; contracts; multicommodity; project; private
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Desarrollo y suministro de programas de Coordinación Hidrotérmica a Largo Plazo de la Generación Eléctrica empleando flujos multiartículo en redes (UPC C0606).

Publication TypeFunded research projects
Year of Publication1992
AuthorsF.-Javier Heredia
Type of participationResearcher
Duration01/1989-12/1992
Funding organizationRed Eléctrica de España, S.A.
PartnersDept. d?Estadística i Investigació Operativa, Universitat Politècnica de Catalunya.
Full time researchers3
Budget102.472,00€
Project codeUPC C0606
Key Wordsresearch; contracts; REE; multicommodity; project; public; competitive
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Generalized unit commitment by the radar multiplier method

Publication TypeThesis
Year of Publication2001
AuthorsCesar Beltran
Academic DepartmentDept. of Statistics and Operations Research. Prof. F.-Javier Heredia, advisor.
Number of Pages147
UniversityUniversitat Politècnica de Catalunya
CityBarcelona
DegreePhD Thesis
Key Wordsresearch; radar multiplier; generalised unit commitment; teaching
AbstractThis operations research thesis should be situated in the field of the power generation industry. The general objective of this work is to efficiently solve the Generalized Unit Commitment (GUC) problem by means of specialized software. The GUC problem generalizes the Unit Commitment (UC) problem by simultane-ously solving the associated Optimal Power Flow (OPF) problem. There are many approaches to solve the UC and OPF problems separately, but approaches to solve them jointly, i.e. to solve the GUC problem, are quite scarce. One of these GUC solving approaches is due to professors Batut and Renaud, whose methodology has been taken as a starting point for the methodology presented herein. This thesis report is structured as follows. Chapter 1 describes the state of the art of the UC and GUC problems. The formulation of the classical short-term power planning problems related to the GUC problem, namely the economic dispatching problem, the OPF problem, and the UC problem, are reviewed. Special attention is paid to the UC literature and to the traditional methods for solving the UC problem. In chapter 2 we extend the OPF model developed by professors Heredia and Nabona to obtain our GUC model. The variables used and the modelling of the thermal, hydraulic and transmission systems are introduced, as is the objective function. Chapter 3 deals with the Variable Duplication (VD) method, which is used to decompose the GUC problem as an alternative to the Classical Lagrangian Relaxation (CLR) method. Furthermore, in chapter 3 dual bounds provided by the VDmethod or by the CLR methods are theoretically compared. Throughout chapters 4, 5, and 6 our solution methodology, the Radar Multiplier (RM) method, is designed and tested. Three independent matters are studied: first, the auxiliary problem principle method, used by Batut and Renaud to treat the inseparable augmented Lagrangian, is compared with the block coordinate descent method from both theoretical and practical points of view. Second, the Radar Sub- gradient (RS) method, a new Lagrange multiplier updating method, is proposed and computationally compared with the classical subgradient method. And third, we study the local character of the optimizers computed by the Augmented Lagrangian Relaxation (ALR) method when solving the GUC problem. A heuristic to improve the local ALR optimizers is designed and tested. Chapter 7 is devoted to our computational implementation of the RM method, the MACH code. First, the design of MACH is reviewed brie y and then its performance is tested by solving real-life large-scale UC and GUC instances. Solutions computed using our VD formulation of the GUC problem are partially primal feasible since they do not necessarily fulfill the spinning reserve constraints. In chapter 8 we study how to modify this GUC formulation with the aim of obtaining full primal feasible solutions. A successful test based on a simple UC problem is reported. The conclusions, contributions of the thesis, and proposed further research can be found in chapter 9.
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Optimal Day-Ahead Bidding in the MIBEL's Multimarket Energy Production System

Publication TypeProceedings Article
Year of Publication2010
AuthorsCristina Corchero; F.-Javier Heredia
Conference Name7th Conference on European Energy Market EEM10
Series TitleProceedings of the 7th Conference on European Energy Market EEM10
Volume1
Pagination1 - 6
Conference Start Date23/06/2010
PublisherIEEE
Conference LocationMadrid
EditorIEEE
ISBN Number978-1-4244-6838-6
Key Wordsresearch; DPI2008-02153; multimarket; MIBEL; stochastic programming; futures contracts; bilateral contracts; optimal bid; paper
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.
URLClick Here
DOI10.1109/EEM.2010.5558714
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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 TypeConference Paper
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 Date15-16/10/2009
Conference LocationBergamo, Italy
Type of Workinvited presentation
ISBN Number978-88-89555-09-05
Key Wordsresearch; hydro-thermal; futures; day-ahead; GAMS, CPLEX
AbstractWe consider a generation company operating in the liberalized electricity market, whose production system consists of hydro and thermal plants. Production is sold either directly to customers, by means of bilateral contracts, or on the spot market, where the electricity price is unknow until the market clearing process has taken place. Price risk may be hedged by financial tools provided by the Derivative Electricity Market. In this work futures contracts are considered, i.e. agreements to sell electricity in the future for a specified price. A Mixed Integer Linear Programming model is introduced for determining the unit commitment of thermal units and the dispatchment of available thermal units and hydro plants, aiming at maximizing profits. Numerical results on a case study are reported
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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.
URLClick Here
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