F.-Javier Heredia - Academic web site

The work A stochastic programming model for the optimal electricity market bid problem with bilateral contracts for thermal and combined cycle units of F.-Javier Heredia, Marcos J. Rider and C. Corchero has been accepted for publication in the journal Annals of Operations Research. A preliminary version of the manuscript is available at E-Prints UPC http://hdl.handle.net/2117/2282. This study, which was developed as a part of the research project DPI2008-02153,  allows a price-taker generation company to decide the unit commitment of the thermal and combined cycle programming units, the economic dispatch of the bilateral contract between all the programming units and the optimal sale bid by observing the Spanish peninsular regulation.

The work A Stochastic Programming Model for the Thermal Optimal Day-Ahead Bid Problem with Physical Futures Contracts of C. Corchero and F.-Javier Heredia, has been accepted for publication in the journal Computers & Operations Research (DOI:10.1016/j.cor.2011.01.008). A preprint version of the manuscript is available at http://hdl.handle.net/2117/2795. The goal of this work, which was developed as a part of the research project DPI2008-02153,  is to optimize coordination between physical futures contracts and the day-ahead bidding which follow the MIBEL's regulation. The authors propose a stochastic quadratic mixed-integer programming model which maximizes the expected profits, taking into account futures contracts settlement.

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	Conference Paper
Year of Publication	2010
Authors	F.-Javier Heredia; Cristina Corchero; M.-Pilar Muñoz; Eugenio Mijangos
Conference Name	Conference on Numerical Optimization and Applications in Engineering (NUMOPEN-2010)
Conference Date	13-15/10/2010
Conference Location	Centre de Recerca Matemàtica. UAB. Barcelona, Spain.
Type of Work	Invited presentation
Key Words	research; electricity markets; stochastic programming; perspective cuts; TSFA; DPI2008-02153
Abstract	The participation in national and international electricity markets has became a very complex decision making process. Electrical utilities participating in such liberalized market have to decide daily the operation, generation scheduling and optimal bid of each one of their generation units in several consecutives day-ahead markets. In the talk, we will describe the operation rules of the Iberian Electricity Market (MIBEL), how this operation can be mathematically modelled with the help of stochastic programming into large scale nonlinear integer problems and how these difficult optimization problems can be solved with specialised algorithms. Finally, the results found for several cases with real data of Spanish utilities and MIBEL market prices will be shown.
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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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Publication Type	Proceedings Article
Year of Publication	2009
Authors	Heredia, F.-Javier; Rider, Marcos.-J.; Corchero, C.
Conference Name	2009 Power Engineering Society General Meeting
Pagination	1-6
Conference Start Date	26/07/2010
Publisher	IEEE
Conference Location	Calgary
ISSN Number	1944-9925
ISBN Number	978-1-4244-4241-6
Key Words	research; Electricity spot-market; bilateral contracts; combined cycle units; optimal bidding strategies; short-term electricity generation planning; stochastic programming; paper
Abstract	This 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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DOI	10.1109/PES.2009.5275680
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