energy and power systems
Optimal multimarket bid
Thu, 02/12/2009 - 18:13 — admin
Pla de treball:
Estudiar normativa mercat reserva (P.O. 7.2)- (CC) Modelització mercat de reserva: variables aleatòries rellevants-> arbres.
- (JH) Pensar com afecta secundària a l'oferta el mercat diari.
A decision support procedure for the short-term scheduling problem of a Generation Company operating on Day-Ahead and Physical Derivatives Electricity Markets
Thu, 02/12/2009 - 13:04 — admin| Publication Type | Conference Paper |
| Year of Publication | 2008 |
| Authors | Vespucci, M.T.; Corchero, C.; Innorta, M.; Heredia, F.-Javier |
| Conference Name | 43rd Euro Working Group on Financial Modelling Meeting |
| Conference Date | 4-5/09/2008 |
| Publisher | Euro Working Group on Financial Modelling |
| Conference Location | Cass Business School, City University, London |
| Type of Work | Invited oral presentation |
| Key Words | research; electricity markets; day-ahead; futures contracts; hydro-thermal |
| Abstract | In 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
Thu, 02/12/2009 - 12:36 — admin| Publication Type | Conference Paper |
| Year of Publication | 2009 |
| Authors | Vespucci, M.T.; Corchero, C.; Heredia, F.-Javier; Innorta, M. |
| Conference Name | Third FIMA International Conference |
| Conference Date | 19-22/01/2009 |
| Conference Location | Gressoney Saint Jean, Italy. |
| Editor | Federazione Italiana di Matematica Applicata |
| Type of Work | Invited oral presentation |
| Key Words | research; electricity markets; futures contracts; hydro-thermal |
| Abstract | A 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
Mon, 01/12/2009 - 12:15 — admin
(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
Fri, 12/19/2008 - 10:57 — admin| Publication Type | Report |
| Year of Publication | 2008 |
| Authors | Heredia, F.-Javier, Rider, Marcos.-J., Corchero, C. |
| Pages | 12 |
| Date | 11/2008 |
| Reference | Research report DR 2008/13, Dept. of Statistics and Operations Research. E-Prints UPC, http://hdl.handle.net/2117/2468. Universitat Politècnica de Catalunya |
| Prepared for | Published on august 2010 at IEEE Transactions on Power Systems |
| Key Words | research; stochastic programming; electricity markets; day-ahead market, bilateral contracts; Virtual Power Plants; optimal bid |
| Abstract | This 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
Wed, 12/17/2008 - 12:18 — admin| Publication Type | Report |
| Year of Publication | 2008 |
| Authors | Vespucci, M.T.; Corchero, C.; Innorta, M.; Heredia, F.-Javier |
| Pages | 10 |
| Date | 12/2008 |
| Reference | Working paper n12/MS-2008, Dipartimento di Ingegneria dell'Informazione e Metodi Matematici, Università degli Studi di Bergamo |
| City | Bergamo, Italy |
| Key Words | research; 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)
Fri, 11/07/2008 - 19:57 — admin| Publication Type | Funded research projects |
| Year of Publication | 2008 |
| Authors | F.-Javier Heredia |
| Type of participation | Project leader |
| Duration | 01/2009-12/2011 |
| Call | Proyectos de Investigación Fundamental no Orientada 2008. IV Plan Nacional de I+D+i (2008-2011) |
| Funding organization | Ministerio de Ciencia e Innovación, Gobierno de España |
| Partners | Unión 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 researchers | 6 EDP |
| Budget | 157.300'00€ |
| Project code | DPI2008-02153 |
| Key Words | research; stochastic programming; electricity markets; risc; multimarket; environmental constraints; project; public; competitive; micinn; energy |
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A decision support procedure for a Price-Taker producer operating on Day-Ahead and Physical Derivatives Electricity Markets
Fri, 07/11/2008 - 18:28 — admin| Publication Type | Conference Paper |
| Year of Publication | 2008 |
| Authors | Cristina Corchero; F-Javier Heredia; M-Teresa Vespucci; Mario Innorta |
| Conference Name | V International Summer School in Risk Measurement and Control |
| Conference Date | 30/06-04/07/2008 |
| Publisher | Luiss Guido Carli University |
| Conference Location | Roma |
| Type of Work | Contributed oral presentation |
| Key Words | future contracts; electricity markets; stochastic programming; research |
| URL | Click Here |
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Optimal thermal and virtual power plants operation in the day-ahead electricity market.
Tue, 06/10/2008 - 12:22 — admin| Publication Type | Conference Paper |
| Year of Publication | 2008 |
| Authors | F.-Javier Heredia; Marcos-J. Rider; Cristina Corchero |
| Conference Name | APMOD 2008 International Conference on Applied Mathematical Programming and Modelling |
| Series Title | APMOD2008 CONFERENCE BOOK |
| Pagination | 21 |
| Conference Date | 27-30/05/2008 |
| Conference Location | Comenius University, Bratislava, Slovak Republic |
| Type of Work | Contributed presentation |
| Key Words | stochastic programming; electricity markets; day-ahead market; bilateral contracts; Virtual Power Plant; Generic Programming Unit; MIBEL; modellization; research |
| Abstract | The 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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