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A multistage stochastic programming model for the optimal multimarket electricity bid problem

Wed, 10/26/2011 - 15:01 — admin
Publication TypeConference Paper
Year of Publication2011
AuthorsF.-Javier Heredia; Cristina Corchero
Conference NameOptimization, Theory, Algorithms and Applications in Economics (OPT 2011)
Conference Date24-28/10/2011
Conference LocationCentre de Recerca Matemàtica. Barcelona, Spain.
Type of WorkInvited presentation
Key Wordsresearch; optimal bid; day-ahead electricity market; multimarket; perspective cuts; bilateral contracts; futures contracts; stochastic programming; DPI2008-02153
AbstractShort-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. Numerical results are reported and discussed.
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25th IFIP TC7 Conference on System Modeling and Optimization

Thu, 09/22/2011 - 10:33 — admin
The International Federation for Information Processing Technical Committee 7 - System Modeling and Optimization - arranges in a cycle of two years highly regarded conferences to several topics of Applied Optimization such as  Optimal Control of Ordinary and Partial Differential Equations, Modeling and Simulation, Nonlinear, Discrete, and Stochastic Optimization and Industrial Applications. This year the conference was celebrated in the Berlin Institute of Technology, and I participated with a contributed talk entitled "Solving electric market quadratic problems by Branch and Fix Coordination methods "

Solving electricity market quadratic problems by Branch and Fix Coordination methods

Fri, 09/16/2011 - 16:37 — admin
Publication TypeConference Paper
Year of Publication2011
AuthorsF.-Javier Heredia; Cristina Corchero; Eugenio Mijangos
Conference Name25th IFIP TC7 Conference on System Modeling and Optimization
Conference Date12-16/09/2011
Conference LocationBerlin
Type of Workcontributed presentation
Key Wordsresearch; optimal bid; day-ahead electricity market; branch and fix coordination; perspective cuts; bilateral contracts; futures contracts; stochastic programming
AbstractThe electric market regulation in Spain (MIBEL) establishes the rules for bilateral 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 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. Numerical results are reported.
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Efficient Solution of Optimal Multimarket Electricity Bid Models

Mon, 05/30/2011 - 15:59 — admin
Publication TypeProceedings Article
Year of Publication2011
AuthorsCristina Corchero; F.-Javier Heredia; Eugenio Mijangos
Conference Name8th International Conference on the European Energy Market (EEM11)
Series TitleTo be published in the IEEEXplore
Pagination244-249
Conference Start Date25/05/2011
PublisherInstitute of Electrical and Electronics Engineers, Inc.
Conference LocationZagreb, Croatia
EditorMarko Delimar
ISBN Number978-1-61284-286-8/11
Key Wordsspot electricity markets; financial electricity markets; Iberian Electricity Market; stochastic programming; perspective cuts; research; DPI2008-02153; paper
AbstractShort-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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DOI10.1109/EEM.2011.5953017
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Efficient Solution of Optimal Multimarket Electricity Bid Models

Mon, 05/30/2011 - 15:45 — admin
Publication TypeConference Paper
Year of Publication2011
AuthorsCristina Corchero; F.-Javier Heredia; Eugenio Mijangos
Conference Name8th International Conference on the European Energy Market (EEM11)
Series TitleInternational Conference on the European Energy Market
Conference Date25-27/05/2011
PublisherInstitute of Electrical and Electronics Engineers, Inc.
Conference LocationZagreb, Croatia
EditorMarko Delimar
Type of WorkContributed presentacion
ISBN Number978-1-61284-284-4
Key Wordsspot electricity markets; financial electricity markets; Iberian Electricity Market; stochastic programming; perspective cuts; research; DPI2008-02153
AbstractShort-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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Treball final de màster sobre mètodes duals aplicats a la l'optimització de problemes estocàstics de mercats elèctrics.

Wed, 03/30/2011 - 11:00 — admin

El passat dimecres 16 de març es va presenta a la Facultat de Matemàtiques i estadística el treball de final de màster titulat Optimización de modelos estocásticos de mercado eléctrico múltiple mediante métodos duales realitzat per l'alumne Unai Aldasoro, del Màster d'Estadística i Investigació Operativa UPC-UB, sota la meva direcció. En aquest treball s'estudia l'aplicació del mètode d'optimització dual conegut com a proximal bundle method, descrit a [1] a la resolució del problema estocàstic d'optimització de l'oferta a mercats elèctrics múltiples desenvolupat a [2].

Aquest treball, que forma part del projecte de recerca del MICINN DPI2008-02153 i va ser sel·leccionat en la 4a convocatòria d'ajuts CERMET de la FME a la realització de treballs finals de màster, li ha estat concedida la menció "Matrícula d'Honor" per la Comissió de d'Avaluació  de Treballs Fí de Màster del MEIO, a proposta del tribunal que el va jutjar.

 
[1]  J. B. Hiriart-Urruty, C. Lemaréchal, Convex Analysis and Minimization Algorithms II – Advanced Theory and Bundle Methods. Springer-Verlag, 1993.

[2] Cristina Corchero, F.-Javier Heredia, Optimal Day-Ahead Bidding in the MIBEL's Multimarket Energy Production System, Proceedings of the 7th Conference on European Energy Market EEM10, Madrid, IEEE, pp. 1 - 6 , DOI: 10.1109/EEM.2010.5558714

Optimización de modelos estocásticos de mercado eléctrico múltiple mediante métodos duales

Wed, 03/30/2011 - 09:47 — admin
Publication TypeTesis de Grau i Màster // BSc and MSc Thesis
Year of Publication2011
AuthorsUnai Aldasoro Marcellan
DirectorF. Javier Heredia
Tipus de tesiMSc Thesis
TitulacióMàster in Statistics and Operations Research
CentreFacultat de Matemàtiques i Estadística, departament d'Estadística i Investigació Operativa, UPC
Data defensa16/03/2011
Nota // markMatrícula d'Honor (10/10)
Key Wordsteaching; research; dual methods; electricity markets; DPI2008-02153; mixed integer nonlinear programming; proximal bundle method; optimal day-ahead bid; electricity multimarket; MSc Thesis
AbstractEl 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 / handlehttp://hdl.handle.net/2099.1/13917
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Exploratory Workshop on Mixed Integer Nonlinear Programming

Thu, 12/09/2010 - 15:22 — admin
Publication TypeConference/School/Seminar attendance
Year of Publication2010
AuthorsF.-Javier Heredia
Conference NameExploratory Workshop on Mixed Integer Nonlinear Programming: Theory, algorithms and applications
Event TypeWorkshop
Conference OrganiserMathematical Research Institute of the University of Sevilla (IMUS)
Conference Dates01-03/12/2010
Conference LocationSevilla, Spain
Key Wordsresearch; mixed nonlinear optimization; DPI2008-02153
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Solving electric market problems by perspective cuts

Wed, 10/06/2010 - 14:34 — admin
Publication TypeConference Paper
Year of Publication2010
AuthorsEugenio Mijangos; F-Javier Heredia; Cristina Corchero
Conference NameInternational Conference on Operations Research
Conference Date01-03/09/2010
Conference LocationZurich, Switzerland
Type of Workcontributed presentation
Key Wordsresearch; perspective cuts; mixed nonlinear optimization; optimization; optimal bid; electricity market
AbstractThe electric market regulation in Spain (MIBEL) establishes the rules for bilateral 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 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 as a deterministic MIQP problem by using perspective cuts to improve the performance of Branch and Cut. Numerical results are reported.
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Perspective cuts for solving the optimal electricity market bid problem with bilateral contracts

Wed, 07/21/2010 - 15:27 — admin
Publication TypeConference Paper
Year of Publication2010
AuthorsEugenio Mijangos; F.-Javier Heredia
Conference Name24th European Conference on Operational Research
Conference Date11-14/07/2010
Conference LocationLisboa
Type of WorkInvited Presentation
Key Wordsresearch; mixed nonlinear optimization; perspective cuts
AbstractThe electric market regulation in Spain (MIBEL) establishes the rules for bilateral 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 contracts and the optimal sale bids observing the MIBEL. The uncertainty of the spot prices is represented through scenario sets. We solve this model as a deterministic MIQP problem by using perspective cuts to improve the performance of Branch and Cut approach. Numerical results are reported.
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