Publication Type | Proceedings Article |
Year of Publication | 2011 |
Authors | Cristina Corchero; F.-Javier Heredia; Eugenio Mijangos |
Conference Name | 8th International Conference on the European Energy Market (EEM11) |
Series Title | To be published in the IEEEXplore |
Pagination | 244-249 |
Conference Start Date | 25/05/2011 |
Publisher | Institute of Electrical and Electronics Engineers, Inc. |
Conference Location | Zagreb, Croatia |
Editor | Marko Delimar |
ISBN Number | 978-1-61284-286-8/11 |
Key Words | spot electricity markets; financial electricity markets; Iberian Electricity Market; stochastic programming; perspective cuts; research; DPI2008-02153; paper |
Abstract | Short-term electricity market is made up of a sequence of markets, that is, it is a multimarket enviroment. In the case of the Iberian Energy Market the sequence of major short-term electricity markets are the day-ahead market, the ancillary service market or secondary reserve market (henceforth reserve market), and a set of six intraday markets. Generation Companies (GenCos) that participate in the electricity market could increase their benefits by jointly optimizing their participation in this sequence of electricity markets. This work proposes a stochastic programming model that gives the GenCo the optimal bidding strategy for the day-ahead market (DAM), which considers the benefits and costs of participating in the subsequent markets and which includes both physical futures contracts and bilateral contracts. |
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DOI | 10.1109/EEM.2011.5953017 |
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Publication Type | Conference Paper |
Year of Publication | 2011 |
Authors | Cristina Corchero; F.-Javier Heredia; Eugenio Mijangos |
Conference Name | 8th International Conference on the European Energy Market (EEM11) |
Series Title | International Conference on the European Energy Market |
Conference Date | 25-27/05/2011 |
Publisher | Institute of Electrical and Electronics Engineers, Inc. |
Conference Location | Zagreb, Croatia |
Editor | Marko Delimar |
Type of Work | Contributed presentacion |
ISBN Number | 978-1-61284-284-4 |
Key Words | spot electricity markets; financial electricity markets; Iberian Electricity Market; stochastic programming; perspective cuts; research; DPI2008-02153 |
Abstract | Short-term electricity market is made up of a sequence of markets, that is, it is a multimarket enviroment. In the case of the Iberian Energy Market the sequence of major short-term electricity markets are the day-ahead market, the ancillary service market or secondary reserve market (henceforth reserve market), and a set of six intraday markets. Generation Companies (GenCos) that participate in the electricity market could increase their benefits by jointly optimizing their participation in this sequence of electricity markets. This work proposes a stochastic programming model that gives the GenCo the optimal bidding strategy for the day-ahead market (DAM), which considers the benefits and costs of participating in the subsequent markets and which includes both physical futures contracts and bilateral contracts. |
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Publication Type | Tesis de Grau i Màster // BSc and MSc Thesis |
Year of Publication | 2011 |
Authors | Unai Aldasoro Marcellan |
Director | F. Javier Heredia |
Tipus de tesi | MSc Thesis |
Titulació | Màster in Statistics and Operations Research |
Centre | Facultat de Matemàtiques i Estadística, departament d'Estadística i Investigació Operativa, UPC |
Data defensa | 16/03/2011 |
Nota // mark | Matrícula d'Honor (10/10) |
Key Words | teaching; research; dual methods; electricity markets; DPI2008-02153; mixed integer nonlinear programming; proximal bundle method; optimal day-ahead bid; electricity multimarket; MSc Thesis |
Abstract | El presente trabajo plantea la resolución computacional de un modelo de optimización de la oferta de generación eléctrica para compañías eléctricas que participan en el mercado eléctrico liberalizado MIBEL. Dicho mercado se circunscribe a España y Portugal y se compone de una serie de subastas energéticas consecutivas donde el operador de mercado realiza para cada una de ellas la casación entre la oferta y demanda. Así, el objetivo de la compañía generadora será maximizar los beneficios obtenidos en la participación del conjunto de mercados teniendo en cuenta el cumplimiento de las obligaciones contractuales ya establecidas. El modelo matemático propuesto para su caracterización corresponde a un modelo de programación estocástica multietapa cuyo equivalente determinista es un problema de optimización cuadrática con variable binaria. Con el objetivo de aprovechar la estructura del problema se procede a plantear la dualización de un grupo de restricciones que producen que el problema original pueda ser dividido en subproblemas. Para su resolución se deberá estudiar la idoneidad de diversos métodos duales (subgradiente, Bundle Methods, ACCPM) y seleccionar el más conveniente para el caso abordado. La decisión finalmente adoptada ha consistido en elegir como método de resolución el algoritmo Proximal Bundle Method descrito en [18] y adaptado satisfactoriamente a problemas de coordinación de la generación hidro-térmica [17]. El análisis de método Proximal Bundle Method corresponderá a su compresión e interpretación gráfica, a la resolución de un ejemplo de pequeña escala de manera analítica y a su resolución computacional. El objetivo de la fase de resolución será valorar el proceso iterativo y la convergencia del Proximal Bundle Method aplicado al problema multimercado de oferta óptima y la comparación de resultados respecto a otro método dual como el método del subgradiente. La implementación computacional se realizará mediante el lenguaje C++, específicamente se utilizará el metalenguaje Concert Techonolgy creado por IBM para el enlace entre el código C++ y el solver CPLEX. Se comprueba que dicho lenguaje tiene como ventajas principales su simplicidad estructural y el compacto código que produce. No obstante la implementación del Proximal Bundle Method manifiesta una serie de limitaciones prácticas de Concert Technology en cuanto al almacenado y actualización de problemas de optimización. Se propone como línea de futuro el análisis de lenguajes alternativos. En todo caso, los resultados obtenidos desprenden que el Proximal Bundle Method se adapta satisfactoriamente al problema multimercado de oferta óptima, además se concluye que en la aplicación numérica considerada un tamaño de Bundle ilimitado produce los mejores resultados. Además en trabajo propone una serie de líneas de investigación futuras en las que destacan la paralelización de la resolución de los subproblemas, y la definición del subproblema asociado a cada térmica como un problema de caminos mínimos |
DOI / handle | http://hdl.handle.net/2099.1/13917 |
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Publication Type | Journal Article |
Year of Publication | 2011 |
Authors | Cristina Corchero; F.-Javier Heredia |
Journal Title | Computers & Operations Research |
Volume | 38 |
Issue | 11 |
Pages | 1501-1512 |
Start Page | 1501 |
Journal Date | 2011 |
Publisher | Elsevier |
ISSN Number | 0305-0548 |
Key Words | research; paper; stochastic programming; optimal bod; day-ahead market; MIBEL; DPI2008-02154; modeling |
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DOI | 10.1016/j.cor.2011.01.008 |
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Publication Type | Proceedings Article |
Year of Publication | 2010 |
Authors | Cristina Corchero; F.-Javier Heredia |
Conference Name | 7th Conference on European Energy Market EEM10 |
Series Title | Proceedings of the 7th Conference on European Energy Market EEM10 |
Volume | 1 |
Pagination | 1 - 6 |
Conference Start Date | 23/06/2010 |
Publisher | IEEE |
Conference Location | Madrid |
Editor | IEEE |
ISBN Number | 978-1-4244-6838-6 |
Key Words | research; DPI2008-02153; multimarket; MIBEL; stochastic programming; futures contracts; bilateral contracts; optimal bid; paper |
Abstract | A 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. |
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DOI | 10.1109/EEM.2010.5558714 |
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Publication Type | Conference Paper |
Year of Publication | 2009 |
Authors | M.-Teresa Vespucci; Cristina Corchero; Mario Innorta; F.-Javier Heredia |
Conference Name | 11th International Conference on the Modern Information Technology in the Innovation Processes of the Industrial Enterprises (MITIP 2009) |
Series Title | Proceedings of the 11th International Conference on the Modern Information Technology in the Innovation Processes of the Industrial Enterprises (MITIP 2009) |
Conference Date | 15-16/10/2009 |
Conference Location | Bergamo, Italy |
Type of Work | invited presentation |
ISBN Number | 978-88-89555-09-05 |
Key Words | research; hydro-thermal; futures; day-ahead; GAMS, CPLEX |
Abstract | We 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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Publication Type | Report |
Year of Publication | 2010 |
Authors | Cristina Corchero; F.-Javier Heredia |
Pages | 6 |
Date | 07/2010 |
Reference | Research report DR 2010/**, Dept. of Statistics and Operations Research. E-Prints UPC, http://hdl.handle.net/2117/8390. Universitat Politècnica de Catalunya |
Prepared for | Published by the IEEE at the proceedings of the 7th Conference on European Energy Market EEM10, Madrid, Spain |
Key Words | research; electricity markets; multimarkets; day-ahead market; intraday market; AGC market; stochastic programming |
Abstract | A 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. |
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Publication Type | Conference Paper |
Year of Publication | 2010 |
Authors | Cristina Corchero; F.-Javier Heredia; M.-Pilar Muñoz |
Conference Name | 24th European Conference on Operational Research |
Conference Date | 11-14/07/2010 |
Conference Location | Lisboa |
Type of Work | Invited Presentation |
Key Words | research; electrical markets; stochastic programming; forecasting |
Abstract | We propose a stochastic programming model that gives the optimal bidding, bilateral (BC) and futures contracts (FC) nomination strategy for a price-taker generation company in the MIBEL. The objective of the study is to decide the optimal economic dispatch of the physical FC and BC among the thermal units, the optimal bidding at day-ahead market (DAM) abiding by the MIBEL rules and the optimal unit commitment that maximizes the expected profits from the DAM. For the uncertainty characterization, we apply the methodology of factors models to forecast market prices in a short-term horizon. |
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Publication Type | Conference Paper |
Year of Publication | 2010 |
Authors | Cristina Corchero; F.-Javier Heredia |
Conference Name | 7th Conference on European Energy Market EEM10 |
Conference Date | 23-25/06/2010 |
Conference Location | Madrid, Spain |
Type of Work | Contributed Presentation |
Key Words | research; multimarket; bilateral contracts; futures contracts; optimal bid; stochastic programming; MIBEL |
Abstract | Abstract—A 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. |
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