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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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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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24th European Conference on Operational Research

Wed, 07/21/2010 - 14:59 — admin

The 24th edition of the European Conference on Operational Research was held this year in Lisbon. I participate with two invited presentations. The first contribution "Optimal day-ahead bidding strategy with futures and bilateral contracts. Scenario generation by means of factor models", co-authored with Cristina Corchero , was presented in the Session Applications of stochastic programming to the energy sector-electricity. The second invited contribution, in collaboration with professor Eugenio Mijangos from the University of the Basque Country, was the work "Perspective cuts for solving the optimal electricity market bid problem with bilateral contracts", presented in the session Large-scale Mixed Optimization Problems. I also was the chairman of this last session.

7th Conference on the European Energy Market

Mon, 06/28/2010 - 16:10 — admin

 

 The International Conference on the European Energy Market (EEM) is a premier forum to discuss the development of the energy sector in a market environment and the creation of the common European Energy Market.

The EEM 10 has been held in Madrid, Spain June 23-25 2010. Cristina Corchero, who is finishing her PhD on energy markets, and myself participated in the event with the presentation of the paper "Optimal Day-Ahead Bidding in the MIBEL's Multimarket Energy Production System", that will be published formerly by the IEEE Power and Energy Society at the IEEEXplore.

KIC InnoEnergy CC Iberia

Mon, 06/28/2010 - 15:29 — admin
Publication TypeConference/School/Seminar attendance
Year of Publication2010
AuthorsF.-Javier Heredia
Conference NameKIC InnoEnergy CC Iberia
Event TypeWorkshop
Conference OrganiserUniversitat Politècnica de Catalunya
Conference Dates07/06/2010
Conference LocationBarcelona, Spain
Key Wordsresearch, power systems; renewables; sustainability
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Optimal Day-Ahead Bidding in the MIBEL's Multimarket Energy Production System

Mon, 06/28/2010 - 15:17 — admin
Publication TypeConference Paper
Year of Publication2010
AuthorsCristina Corchero; F.-Javier Heredia
Conference Name7th Conference on European Energy Market EEM10
Conference Date23-25/06/2010
Conference LocationMadrid, Spain
Type of WorkContributed Presentation
Key Wordsresearch; multimarket; bilateral contracts; futures contracts; optimal bid; stochastic programming; MIBEL
AbstractAbstract—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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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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A decision support procedure for the short-term scheduling problem of a generation company operating on day-ahead and physical derivatives electricity markets

Mon, 02/15/2010 - 15:42 — admin
Publication TypeProceedings Article
Year of Publication2009
AuthorsM.-Teresa Vespucci; Cristina Corchero; Mario Innorta; F.-Javier Heredia
Conference Name11th International Conference on the Modern Information Technology in the Innovation Processes of the Industrial Enterprises (MITIP 2009)
Series TitleProceedings of the 11th International Conference on the Modern Information Technology in the Innovation Processes of the Industrial Enterprises (MITIP 2009)
Conference Start Date15-16/10/2009
Conference LocationBergamo, Italy
ISBN NumberISBN 978-88-89555-09-05
Key Wordsresearch; hydro-thermal; futures; day-ahead; GAMS, CPLEX; paper
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New paper accepted for publication at the IEEE Transactions on Power Systems

Thu, 01/28/2010 - 17:29 — admin

The paper "Optimal Bidding Strategies for Thermal and Generic Programming Units in the Day-ahead Electricity Market" has been recently accepted for publication at the journal  IEEE Transactions on Power Systems. In this work, the authors, prof. F.-Javier Heredia, Dr. Marcos.-J Rider and Ms. Cristina Corchero developed, within the general stochastic programming framework, a new optimal bid model for both thermal and generic programmingn units (also known as Virtual Power Plants) taken into account the most recent regulation rules of the Spanish peninsular system MIBEL. A previous version of the accepted paper can be downloaded from  http://hdl.handle.net/2117/2282.

To access to the full paper through the IEEEXplore digital library, click here.

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