@techreport { ,
	title = {A Stochastic Programming Model for the Thermal Optimal Day-Ahead Bid Problem with Physical Futures Contracts},
	year = {2009},
	month = {03/2009},
	pages = {19},
	organization = {Research Report  DR 2009/03, Dept. of Statistics and Operations Research, E-Prints UPC http://hdl.handle.net/2117/2795, Universitat Politècnica de Catalunya},
	address = {Barcelona, Spain.},
	abstract = {The 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.},
	keywords = {research; Stochastic programming; OR in energy; electricity day-ahead market; futures contracts; optimal bid},
	URL = {http://hdl.handle.net/2117/2795},
	author = {Cristina Corchero and F. Javier Heredia}
}

