energy and power systems

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 Publication2008
AuthorsVespucci, M.T.; Corchero, C.; Innorta, M.; Heredia, F.-Javier
Conference Name43rd Euro Working Group on Financial Modelling Meeting
Conference Date4-5/09/2008
PublisherEuro Working Group on Financial Modelling
Conference LocationCass Business School, City University, London
Type of WorkInvited oral presentation
Key Wordsresearch; electricity markets; day-ahead; futures contracts; hydro-thermal
AbstractIn this paper we develop a decision support procedure for a Price-Taker producer operating on Day- Ahead and Physical Derivatives Electricity Markets. The management of the electricity generation companies and their operation in the liberalized electricity market on a short-term horizon is an interesting problem in continuous evolution. Specifically, the incorporation of the Electricity Derivatives Market is the natural improvement in the Electricity Day-Ahead Markets in most countries in the world. Therefore, the inclusion of the management of derivatives products in generation company models is also a natural improvement of them. In this work, the derivatives products studied are the futures contracts.
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A Short-term Scheduling Model for a Generation Company operating on Day-Ahead and Physical Derivatives Electricity Markets

Publication TypeConference Paper
Year of Publication2009
AuthorsVespucci, M.T.; Corchero, C.; Heredia, F.-Javier; Innorta, M.
Conference NameThird FIMA International Conference
Conference Date19-22/01/2009
Conference LocationGressoney Saint Jean, Italy.
EditorFederazione Italiana di Matematica Applicata
Type of WorkInvited oral presentation
Key Wordsresearch; electricity markets; futures contracts; hydro-thermal
AbstractA decision support procedure is developed for the short-term hydro-thermal resource scheduling problem of a Generation Company operating in the liberalized electric energy market and aiming at profit maximization. The generation company is supposed to be a price-taker, i.e. without influence on the electricity market price: therefore the profit maximization model of the problem faced by the GenCo must take into account both technical problems of generation and uncertainty of electricity prices. The power producer may hedge against the significant risk factor represented by energy market-price by participating in the Derivatives electricity Market. The derivatives products considered in this work are the futures contracts. T
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Beca FPI-MICINN de doctorado en Mercados Eléctricos

(ATENCIÓN: CONVOCATORIA CERRADA Y RESUELTA) . ACCESO A LA CONVOCATORIA .

El Grupo de Optimitzación Numérica y Modelización (GNOM) del Departament d'Estadística I Investigació Operativa de la Universidad Poltécnica de Catalunya, dispone de una Beca de Formación de Personal Investigador (FPI) del Ministerio de Ciencia e Innovación, para la realización de una tesis doctoral dentro de un proyecto de investigación sobre Optimización de  Mercados Eléctricos financiado por el Plan Nacional de I+D+i. La duración de la beca es de hasta cuatro años. 

Optimal Bidding Strategies for Thermal and Generic Programming Units in the Day-ahead Electricity Market

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 decision support for a Price-Taker producer operating on Day-Ahead and Physical Derivatives Electricity Markets

Publication TypeReport
Year of Publication2008
AuthorsVespucci, M.T.; Corchero, C.; Innorta, M.; Heredia, F.-Javier
Pages10
Date12/2008
ReferenceWorking paper n12/MS-2008, Dipartimento di Ingegneria dell'Informazione e Metodi Matematici, Università degli Studi di Bergamo
CityBergamo, Italy
Key Wordsresearch; stochastic programming; electricity markets; futures contracts; hydro-thermal
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Short- and Medium-Term Multimarket Optimal Electricity Generation Planning with Risk and Environmental Constraints (DPI2008-02153)

Publication TypeFunded research projects
Year of Publication2008
AuthorsF.-Javier Heredia
Type of participationProject leader
Duration01/2009-12/2011
CallProyectos de Investigación Fundamental no Orientada 2008. IV Plan Nacional de I+D+i (2008-2011)
Funding organizationMinisterio de Ciencia e Innovación, Gobierno de España
PartnersUnión Fenosa, Gas Natural, Universidad Politècnica de Catalunya, Universidad del País Vasco, Universidade Estadual de Campinas-UNICAMP, University of Edinburgh, Norwegian University of Science and Technology.
Full time researchers6 EDP
Budget157.300'00€
Project codeDPI2008-02153
Key Wordsresearch; stochastic programming; electricity markets; risc; multimarket; environmental constraints; project; public; competitive; micinn
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A decision support procedure for a Price-Taker producer operating on Day-Ahead and Physical Derivatives Electricity Markets

Publication TypeConference Paper
Year of Publication2008
AuthorsCristina Corchero; F-Javier Heredia; M-Teresa Vespucci; Mario Innorta
Conference NameV International Summer School in Risk Measurement and Control
Conference Date30/06-04/07/2008
PublisherLuiss Guido Carli University
Conference LocationRoma
Type of WorkContributed oral presentation
Key Wordsfuture contracts; electricity markets; stochastic programming; research
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Optimal thermal and virtual power plants operation in the day-ahead electricity market.

Publication TypeConference Paper
Year of Publication2008
AuthorsF.-Javier Heredia; Marcos-J. Rider; Cristina Corchero
Conference NameAPMOD 2008 International Conference on Applied Mathematical Programming and Modelling
Series TitleAPMOD2008 CONFERENCE BOOK
Pagination21
Conference Date27-30/05/2008
Conference LocationComenius University, Bratislava, Slovak Republic
Type of WorkContributed presentation
Key Wordsstochastic programming; electricity markets; day-ahead market; bilateral contracts; Virtual Power Plant; Generic Programming Unit; MIBEL; modellization; research
AbstractThe new rules of the electrical energy production market operation of the Iberic Electricity Market MIBEL (mainland Spanish and Portuguese systems), for the diary and intra-diary market (July 2007), bring new challenges in the modeling and solution of the production market operation. Aiming to increase the proportion of electricity that is purchased through bilateral contracts with duration of several months and intending to stimulate liquidity in forward electricity markets, the Royal Decree 1634/2006, dated December 29th, 2006 imposes to Endesa and Iberdrola (the two dominant utility companies in the Spanish peninsular Markets) to hold a series of five auctions offering virtual power plant (VPP) capacity to any party who is a member of the MIBEL. Other experience of the application of VPP auctions can be seen in France, Belgium and Germany. In Spain, the VPP capacity means that the buyer of this product will have the capacity to generate MWh at his disposal. The buyer can exercise the right to produce against an exercise price that is set in advance, by paying an option premium. So although Endesa and Iberdrola still own the power plants, part of their capacity to produce will be at the disposal of the buyers of VPP. VPP capacity is represented by a set of hourly call options giving the buyer the right to nominate energy for delivery at a pre-defined exercise price. There will be baseload and peakload contracts with different exercise prices. The energy resulting from the exercise of the VPP options can be used by buyers in several ways: (a) national and international bilateral contracts prior to the day-ahead market; (b) bids to the day-ahead market and (c) national bilateral contracts after the day-ahead market. In order to operate the VPP options each buyer agent will have a Generic Unit (GU). This work develops an stochastic programming model for a Generation Company (GenCo) to find the optimal management of a VPP in the day-ahead electricity market under the most recent bilateral contracts regulation rules of MIBEL energy market.
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Stochastic optimal day-ahead bid with physical future contracts

Publication TypeConference Paper
Year of Publication2008
AuthorsCristina Corchero; F.-Javier Heredia
Conference NameInternational Workshop on Operational Research 2008
Series TitleI.W.OR. International Workshop on Operations Research
Pagination77
Conference Date05-07/06/2008
PublisherDept. of Statistics and Operational Research, Univ. Rey Juan Carlos.
Conference LocationDept. of Statistics and Operational Research, Univ. Rey Juan Carlos, Madrid, Spain.
Type of WorkInvited presentation
ISBN Number978-84-691-3994-3
Key Wordsstochastic programming; electricity markets; day-ahead market; futures contracts; MIBEL; modellization; research
Abstract
The reorganization of electricity industry in Spain has finished a new step with the start-up of the Derivatives Market. Nowadays all electricity transactions in Spain and Portugal are managed jointly through the MIBEL by the Day-Ahead Market Operator and the Derivatives Market Operator. This new framework requires important changes in the short-term optimization strategies of the Generation Companies.
One main characteristic of MIBEL’s derivative market is the existence of short-term physical futures contracts; they imply the obligation to settle physically the energy. The regulation of our market establishes the mechanism for including those physical futures in the day-ahead bidding of the Generation Companies. Thus, the participation in the derivatives market changes the incomes function. The goal of this work is the optimization of the coordination between the physical products and the day-ahead bidding following this regulation because it could imply changes in the optimal planning, both in the optimal bidding and in the unit commitment.
We propose a stochastic mixed-integer programming model to coordinate the Day-Ahead Market and the physical futures contracts of the generation company. The model maximizes the expected profits taking into account futures contracts incomes. The model gives the optimal bidding strategy for the Day-Ahead Market as long as the simultaneous optimization for power planning production and day-ahead market bidding for the thermal units of a price-taker generation company. Thus, the model gives the optimal bid, particularly the instrumental-price bid quantity and its economic dispatch, and it provides the unit commitment.
The uncertainty of the day-ahead market price is included in the stochastic model through a scenario tree. There has been applied both reduction and generation techniques for building this scenario tree from an ARIMA model. Results applying those different approaches are presented.
The implementation is done with a modelling language. Implementation details and some first computational experiences for small real cases are presented.
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Stochastic programming model for the day-ahead bid and bilateral contracts settlement problem

Publication TypeConference Paper
Year of Publication2008
AuthorsF.-Javier Heredia; Marcos-J. Rider; Cristina Corchero
Conference NameInternational Workshop on Operational Research 2008
Series TitleI.W.OR. International Workshop on Operations Research
Pagination79
Conference Date5-7/06/2008
PublisherDept. of Statistics and Operational Research, Univ. Rey Juan Carlos.
Conference LocationDept. of Statistics and Operational Research, Univ. Rey Juan Carlos, Madrid, Spain
Type of WorkInvited presentation
ISBN Number978-84-691-3994-3
Key Wordsstochastic programming; electricity markets; day-ahead market; bilateral contracts; Virtual Power Plant; Generic Programming Unit; MIBEL; modellization; research
AbstractThe new rules of electrical energy production market operation of the Spanish peninsular system (MIBEL) from the July 2007, bring new challenges in the modeling and solution of the production market operation. In order to increase the proportion of electricity that is purchased through bilateral contracts and to stimulate liquidity in forward electricity markets, the MIBEL rules imposes to the dominant utility companies in the Spanish peninsular Markets to hold a series of auctions offering virtual power plant (VPP) capacity to any party who is a member of the Spanish peninsular electricity market. In Spain, the VPP capacity means that the buyer of this product will have the capacity to generate MWh at his disposal. The energy resulting from the exercise of the VPP options can be used by buyers in several ways: covering national and international bilateral contracts prior to the day-ahead market; bidding to the day-ahead market and covering national bilateral contracts after the day-ahead market. This work develops a stochastic programming model that integrates the most recent regulation rules of the Spanish peninsular system for bilateral contracts, especially VPP auctions, in the day-ahead optimal bid problem. The model currently developed 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 and generic units and the optimal bid observing the Spanish peninsular regulation. The scenario tree representing the uncertainty of the spot prices is built applying reduction techniques to the tree obtained from an ARIMA model. The model was solved with real data of a Spanish generation company and market prices.
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