@conference { ,
	title = {Optimal Short-Term Strategies for a Generation Company in the MIBEL},
	editor = {Universidad Rey Juan carlos, Universidad Pontificia de Comillas},
	year = {2006},
	month = {19-21/06/06},
	type = {Contributed session},
	address = {Madrid},
	abstract = {MIBEL, the future Spanish and Portuguese electricity market, is expected to start in 2007 and one of the most important changes will be the creation of short-term futures markets, such as daily and weekly futures contracts. This new framework will require important changes in the short term optimization strategies of the generation companies. We propose a methodology to coordinate the day-ahead market and the new daily futures market proposed in the MIBEL. This coordination is particularly important in physical futures contracts; they imply the obligation to supply energy and could change the optimal power planning. The methodology is based on stochastic mixed-integer programming and gives the optimal bid in the futures markets as long as the simultaneous optimization for power planning production and day-ahead market bidding for the thermal units of a price-taker generation company. The approach presented is stochastic because of the uncertainty of the spot and futures market prices. We use time series techniques to model the market prices and we introduce them in the optimization model by an optimally generated scenario tree. The implementation is done with a modelling language. Implementation details and some first computational experiences for small cases are presented.},
	keywords = {stochastic programming; electricity markets; day-ahead market; future contracts; research},
	URL = {http://bayes.escet.urjc.es/~apmod2006/},
	author = {Corchero, C.  and Heredia, F. J.}
}

