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Optimal day-ahead bidding strategy with futures and bilateral contracts. Scenario generation through factor models

Wed, 07/21/2010 - 15:14 — admin
Publication TypeConference Paper
Year of Publication2010
AuthorsCristina Corchero; F.-Javier Heredia; M.-Pilar Muñoz
Conference Name24th European Conference on Operational Research
Conference Date11-14/07/2010
Conference LocationLisboa
Type of WorkInvited Presentation
Key Wordsresearch; electrical markets; stochastic programming; forecasting
AbstractWe 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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Optimal Bidding Strategies for Thermal and Combined Cycle Units in the Day-ahead Electricity Market with Bilateral Contracts

Fri, 05/28/2010 - 09:58 — admin
Publication TypeProceedings Article
Year of Publication2009
AuthorsHeredia, F.-Javier; Rider, Marcos.-J.; Corchero, C.
Conference Name2009 Power Engineering Society General Meeting
Pagination1-6
Conference Start Date26/07/2010
PublisherIEEE
Conference LocationCalgary
ISSN Number1944-9925
ISBN Number978-1-4244-4241-6
Key Wordsresearch; Electricity spot-market; bilateral contracts; combined cycle units; optimal bidding strategies; short-term electricity generation planning; stochastic programming; paper
AbstractThis paper developed a stochastic programming model that integrated the most recent regulation rules of the Spanish peninsular system 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 and combined cycle programming units, the economic dispatch of the BC between all the programming units and the optimal sale bid by observing the Spanish peninsular regulation. The model was solved using real data of a typical generation company and a set of scenarios for the Spanish market price. The results are reported and analyzed.
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DOI10.1109/PES.2009.5275680
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Optimal Bidding Strategies for Thermal and Generic Programming Units in the Day-Ahead Electricity Market

Fri, 03/19/2010 - 16:00 — admin
Publication TypeJournal Article
Year of Publication2010
AuthorsHeredia, F.-J; Rider, M.-Julio; Corchero, C.
Journal TitleIEEE Transactions on Power Systems
Volume25
Issue3
Pages1504-1518
Start Page1504
Journal DateAug. 2010
PublisherIEEE Power & Energy Society
ISSN Number0885-8950
Key Wordsresearch; paper; bilateral contracts; electricity spot market; optimal bidding strategies; short-term electricity generation planning; stochastic programming; virtual power plant auctions
AbstractThis study has developed 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 (BC), with a special consideration for the new mechanism to balance the competition of the production market, namely virtual power plant (VPP) auctions. The model allows a price-taking generation company (GenCo) to decide on the unit commitment of the thermal units, the economic dispatch of the BCs between the thermal units and the generic programming unit (GPU), and the optimal sale/purchase bids for all units (thermal and generic), by observing the MIBEL regulation. The uncertainty of the spot prices has been represented through scenario sets built from the most recent real data using scenario reduction techniques. The model has been solved using real data from a Spanish generation company and spot prices, and the results have been reported and analyzed.
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DOI10.1109/TPWRS.2009.2038269
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Improving electricity market price scenarios by means of forecasting factor models

Tue, 09/01/2009 - 14:47 — admin
Publication TypeConference Paper
Year of Publication2009
AuthorsM.-Pilar Muñoz; Cristina Corchero; F.-Javier Heredia
Conference NameThe 57th Session of the International Statistical Institute
Conference Date16-22/08/2009
PublisherInternational Statistical Institute
Conference LocationDurban, South Africa
Type of WorkPlenary session
Key Wordsresearch; spot price forecasting; scenario generation; MIBEL
AbstractIn liberalized electricity markets, Generation Companies must build an hourly bid that is sent to the market operator. The price at which the energy will be paid is unknown during the bidding process and has to be forecast. In this work we apply forecasting factor models to this framework and study its suitability.
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Lectura de dos PFC's a la DE sobre oferta òptima als mercats d'energia elèctrica.

Wed, 07/22/2009 - 16:25 — admin

El passat dijous 9 de juliol de 2009 es va llegir el Projecte Final de Carrera dels alumnes Silvia Nieto i Ivan Ruz, que portava per títol "Estudi i optimització de l’oferta al Mercat Ibèric ’Electricitat (MIBEL)", dirigit pel professor Javier Heredia. Els objectius del treball han estat:


  • Fer una descriptiva de les dades obtingudes de les energies tèrmiques per veure el comportament que hi tenen.
  • Entendre el model d'optimització d'oferta presentat a l'article [1], i compendre la seva implementació.
  • Entendre el model d'optimització d'oferta de l'article [2] i resoldre una nova modelització adaptant aquest model a l'anterior fent els canvis pertinents.
  • Comparar els dos models i treure'n conclusions sobre quin és el més eficient.

Aquí teniu més informació.

[1] Arroyo, José M. ; Carrión, Miguel. A computationally efficient mixed-integer linear formulation for the termal unit commitment problem. Institute of Electrical and Electronics Engineers transactions on power systems, vol. 21, nº3, agost 2006.

[2] Cristina Corchero, F. Javier Heredia, "A Stochastic Programming Model for the Thermal Optimal Day-Ahead Bid Problem with Physical Futures Contracts", Submitted to European Journal of Operations Research, Barcelona, Espanya, Dept. of Statistics and Operations Research, Universitat Politècnica de Catalunya, 03/2009

 

A Stochastic Programming Model for the Thermal Optimal Day-Ahead Bid Problem with Physical Futures Contracts

Wed, 03/18/2009 - 17:25 — admin
Publication TypeReport
Year of Publication2009
AuthorsCristina Corchero; F. Javier Heredia
Pages19
Date03/2009
ReferenceResearch Report DR 2009/03, Dept. of Statistics and Operations Research, E-Prints UPC http://hdl.handle.net/2117/2795, Universitat Politècnica de Catalunya
Prepared forAccepted for publication at Computers and Operations Research
CityBarcelona, Spain.
Key Wordsresearch; Stochastic programming; OR in energy; electricity day-ahead market; futures contracts; optimal bid
AbstractThe reorganization of the electricity industry in Spain completed a new step with the start-up of the Derivatives Market. One main characteristic of MIBEL’s Derivatives Market is the existence of physical futures contracts; they imply the obligation to settle physically the energy. The market regulation establishes the mechanism for including those physical futures in the day-ahead bidding of the Generation Companies. The goal of this work is to optimize coordination between physical futures contracts and the Day-Ahead bidding which follow this regulation. We propose a stochastic quadratic mixed-integer programming model which maximizes the expected profits, taking into account futures contracts settlement. The model gives the simultaneous optimization for the Day-Ahead Market bidding strategy and power planning production (unit commitment) for the thermal units of a price-taker Generation Company. The uncertainty of the day-ahead market price is included in the stochastic model through a set of scenarios. Implementation details and some first computational experiences for small real cases are presented.
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Lectura d'una Tesi Final de Màster a l'FME

Thu, 03/05/2009 - 13:40 — admin

 

Dimecres 4 de març es va llegir a la Facultat de Matemàtiques i Estadística la Tesi Final de Màster d'Enginyeria Matemàtica de l'alumna Eva Romero i Beneyto, que porta per títol "Oferta òptima multi – mercat al Mercat Ibèric d’Electricitat", i que he tingut el plaer de dirigir. En aquest treball es proposa un nou model, basat en els treball de Plazas et al. i Heredia et al. , per a l'oferta òptima al mercat diari tenint en compte els mercats de secundària i intradiari. Clicant aquí obtindreu més informació .

Oferta òptima multi–mercat al Mercat Ibèric d'Electricitat.

Mon, 03/02/2009 - 18:25 — admin
Publication TypeTesis de Grau i Màster // BSc and MSc Thesis
Year of Publication2009
AuthorsEva Romero i Beneyto
DirectorF.-Javier Heredia
Tipus de tesiTesi Final de Màster // MSc Thesis
TitulacióMàster en Enginyeria Matemàtica
CentreFacultat de Matemàtiques i Estadística, UPC
Data defensa04/03/2009
Nota // mark9 (over 10) E
Key Wordsteaching; MEM; electricity market; multimarket; optimal offer; stochastic programming; MSc Thesis
AbstractEl present projecte analitza, estudia i desenvolupa diversos models multi - mercat estocàstics per al Mercat Ibèric d'Electricitat. A partir de l'artcile "Multimarket Optimal Bidding for a Power Producer" de Plazas et al, s'analitzen i es proposen diverses possibles millores: incorporació de costos quadràtics de generació i una nova definició de funció d'oferta. Aquestes millores es desenvolupen donant lloc un nou model competitiu amb l'anterior. Tenint en compte el reglament de MIBEL, i com a millora al primer proposat, finalment es desenvolupa un tercer model multi – oferta que contempla la definició de la funció d'oferta de forma esglaonada. Els resultats obtinguts mostren com la consideració de la determinació dels graons dins la pròpia modelització és rellevant respecte les funcions d'oferta obtingudes.
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Optimal multimarket bid

Thu, 02/12/2009 - 18:13 — admin

 

 

Pla de treball:

  1. Estudiar normativa mercat reserva (P.O. 7.2)
  2. (CC) Modelització mercat de reserva: variables aleatòries rellevants-> arbres.
  3. (JH) Pensar com afecta secundària a l'oferta el mercat diari.
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