F.-Javier Heredia - Academic web site

Publication Type	Report
Year of Publication	2011
Authors	Cristina Corchero; Eugenio Mijangos; F.-Javier Heredia
Pages	25
Date	11/2011
Reference	Research report DR 2011/04, Dept. of Statistics and Operations Research. E-Prints UPC, http://hdl.handle.net/2117/18368. Universitat Politècnica de Catalunya
Prepared for	Published by TOP
Key Words	research; electricity market;
Abstract	On current electricity markets the electrical utilities are faced with very sophisticated decision making problems under uncertainty. Moreover, when focusing in the shortterm management, generation companies must include some medium-term products that directly influence their short-term strategies. In this work, the bilateral and physical futures contracts are included into the day-ahead market bid following MIBEL rules and a stochastic quadratic mixed-integer programming model is presented. The complexity of this stochastic programming problem makes unpractical the resolution of large-scale instances with general purpose optimization codes. Therefore, in order to gain efficiency, a polyhedral outer approximation of the quadratic objective function obtained by means of perspective cuts (PC) is proposed. A set of instances of the problem has been defined with real data and solved with the PC methodology. The numerical results obtained show the efficiency of this methodology compared with standard mixed quadratic optimization solvers.
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Publication Type	Proceedings Article
Year of Publication	2012
Authors	Cristina Corchero; F.-Javier Heredia; Julián Cifuentes
Conference Name	2012 9th International Conference on the European Energy Market (EEM 2012)
Series Title	IEEE Conference Publications
Pagination	1-8
Conference Start Date	10/05/2012
Publisher	IEEE
Conference Location	Florence
Editor	IEEE
ISSN Number	-
ISBN Number	978-1-4673-0834-2
Key Words	research; elecriticy; markets; CO2 allowances; emissions limits; environment; stochastic programming; modeling languages; paper
Abstract	There are many factors that influence the day-ahead market bidding strategies of a GenCo in the current energy market framework. In this work we study the influence of both the allowances and emission reduction plan and the incorporation of the derivatives medium-term commitments in the optimal generation bidding strategy to the day-ahead electricity market. Two different technologies have been considered: the coal thermal units, high-emission technology, and the combined cycle gas turbine units, low-emission technology. The operational characteristics of both kinds of units are modeled in detail. We deal with this problem in the framework of the Iberian Electricity Market and the Spanish National Emissions and Allocation Plans. The economic implications for a GenCo of including the environmental restrictions of these National Plans are analyzed.
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DOI	10.1109/EEM.2012.6254676
Preprint	http://hdl.handle.net/2117/18691
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Publication Type	Conference Paper
Year of Publication	2012
Authors	Simona Sacripante; F.-Javier Heredia; Cristina Corchero
Conference Name	9th International Conference on Computational Management Science.
Conference Date	18-20/04/2012
Conference Location	London
Type of Work	Invited presentation
Key Words	research; stochastic programming; wind producer; renewable energy; multimarket; electricity market; optimal bid; DPI2008-02153
Abstract	Wind power generation has a key role in Spanish electricity system since it is a native source of energy that could help Spain to reduce its dependency on the exterior for the production of electricity. Apart from the great environmental benefits produced, wind energy reduce considerably spot energy price, reaching to cover 16,6 % of peninsular demand. Although, wind farms show high investment costs and need an efficient incentive scheme to be financed. If on one hand, Spain has been a leading country in Europe in developing a successful incentive scheme, nowadays tariff deficit and negative economic conjunctures asks for consistent reductions in the support mechanism and demand wind producers to be able to compete into the market with more mature technologies. The objective of this work is to find an optimal commercial strategy in the production market that would allow wind producer to maximize their daily profit. That can be achieved on one hand, increasing incomes in day-ahead and intraday markets, on the other hand, reducing deviation costs due to error in generation predictions. We will previously analyze market features and common practices in use and then develop our own sale strategy solving a two-stage linear stochastic optimization problem. The first stage variable will be the sale bid in the day–ahead market while second stage variables will be the offers to the six sessions of intraday market. The model is implemented using real data from a wind producer leader in Spain.
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Publication Type	Conference Paper
Year of Publication	2012
Authors	Cristina Corchero; F.-Javier Heredia; Julián Cifuentes
Conference Name	9th International Conference on the European Energy Market (EEM12)
Conference Date	10-12/05/2012
Conference Location	Florence, Italy
Type of Work	Contributed presentation
Key Words	research; elecriticy; markets; CO2 allowances; emissions limits; environment; stochastic programming; modeling languages
Abstract	There are many factors that influence the day-ahead market bidding strategies of a GenCo in the current energy market framework. In this work we study the influence of both the allowances and emission reduction plan and the incorporation of the derivatives medium-term commitments in the optimal generation bidding strategy to the day-ahead electricity market. Two different technologies have been considered: the coal thermal units, high-emission technology, and the combined cycle gas turbine units, low-emission technology. The operational characteristics of both kinds of units are modeled in detail. We deal with this problem in the framework of the Iberian Electricity Market and the Spanish National Emissions and Allocation Plans. The economic implications for a GenCo of including the environmental restrictions of these National Plans are analyzed.
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Publication Type	Journal Article
Year of Publication	2013
Authors	Cristina Corchero; Eugenio Mijangos; F.-Javier Heredia
Journal Title	TOP
Volume	21
Issue	1
Pages	25
Start Page	84
Journal Date	04/2013
Short Title	A new optimal electricity market bid model
Publisher	Springer
ISSN Number	1134-5764
Key Words	research; paper; electricity market; day-ahead; bilateral contracts; future contracts; Optimal bid; Stochastic programming; Perspective cuts; mixed integer nonlinear programming; DPI2008-02153; Q3
Abstract	On current electricity markets the electrical utilities are faced with very sophisticated decision making problems under uncertainty. Moreover, when focusing in the short-term management, generation companies must include some medium-term products that directly influence their short-term strategies. In this work, the bilateral and physical futures contracts are included into the day-ahead market bid following MIBEL rules and a stochastic quadratic mixed-integer programming model is presented. The complexity of this stochastic programming problem makes unpractical the resolution of large-scale instances with general-purpose optimization codes. Therefore, in order to gain efficiency, a polyhedral outer approximation of the quadratic objective function obtained by means of perspective cuts (PC) is proposed. A set of instances of the problem has been defined with real data and solved with the PC methodology. The numerical results obtained show the efficiency of this methodology compared with standard mixed quadratic optimization solvers.
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DOI	10.1007/s11750-011-0240-6
Preprint	http://hdl.handle.net/2117/18368
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Publication Type	Conference Paper
Year of Publication	2011
Authors	F.-Javier Heredia; Cristina Corchero
Conference Name	Optimization, Theory, Algorithms and Applications in Economics (OPT 2011)
Conference Date	24-28/10/2011
Conference Location	Centre de Recerca Matemàtica. Barcelona, Spain.
Type of Work	Invited presentation
Key Words	research; optimal bid; day-ahead electricity market; multimarket; perspective cuts; bilateral contracts; futures contracts; stochastic programming; 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. Numerical results are reported and discussed.
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Publication Type	Tesis de Grau i Màster // BSc and MSc Thesis
Year of Publication	2011
Authors	Simona Sacripante
Director	F.-Javier Heredia
Tipus de tesi	MSc Thesis
Titulació	Master in Statistics and Operations Research
Centre	Faculty of Mathematics and Statistics
Data defensa	10/11/2011
Nota // mark	9 / 10
Key Words	teaching; renewebable energy; electricity market; optimal bid; wind generators; wind; intraday market; wind producer; MSc Thesis
Abstract	The objective of this work is to find an optimal commercial strategy in the production market that would allow wind producer to maximize their daily profit. That can be achieved on one hand, increasing incomes in day-ahead and intraday markets, on the other hand, reducing deviation costs due to error in generation predictions.
DOI / handle	http://hdl.handle.net/2099.1/13914
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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 "

Publication Type	Conference Paper
Year of Publication	2011
Authors	F.-Javier Heredia; Cristina Corchero; Eugenio Mijangos
Conference Name	25th IFIP TC7 Conference on System Modeling and Optimization
Conference Date	12-16/09/2011
Conference Location	Berlin
Type of Work	contributed presentation
Key Words	research; optimal bid; day-ahead electricity market; branch and fix coordination; perspective cuts; bilateral contracts; futures contracts; stochastic programming
Abstract	The 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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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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