statistics
Mon, 11/30/2020 - 19:17 — admin
| Publication Type | Thesis |
| Year of Publication | 2020 |
| Authors | Marlyn Dayana Cuadrado Guevara |
| Academic Department | Dept. of Statistics and Operations Research. Prof. F.-Javier Heredia, advisor. |
| Number of Pages | 194 |
| University | Universitat Politècnica de Catalunya |
| City | Barcelona |
| Degree | PhD Thesis |
| Key Words | research; Battery energy storage systems; Electricity markets; Ancillary services market; Wind power generation; Virtual power plants; Multistage Stochastic programming; phd thesis |
| Abstract | The presence of renewables in energy systems optimization have generated a high level of uncertainty in the data, which has led to a need for applying stochastic optimization to modelling problems with this characteristic. The method followed in this thesis is Multistage Stochastic Programming (MSP). Central to MSP is the idea of representing uncertainty (which, in this case, is modelled with a stochastic process) using scenario trees. In this thesis, we developed a methodology that starts with available historical data; generates a set of scenarios for each random variable of the MSP model; defines individual scenarios that are used to build the initial stochastic process (as a fan or an initial scenario tree); and builds the final scenario trees that are the approximation of the stochastic process. |
| URL | Click Here |
| Export | Tagged XML BibTex |
Fri, 09/06/2013 - 14:58 — admin
| Publication Type | Journal Article |
| Year of Publication | 2013 |
| Authors | M.Pilar Muñoz; Cristina Corchero; F.-Javier Heredia |
| Journal Title | International Statistical Review |
| Volume | 81 |
| Issue | 2 |
| Pages | 18 (289-306) |
| Start Page | 289 |
| Journal Date | August 2013 |
| Publisher | Wiley |
| ISSN Number | 1751-5823 |
| Key Words | research; paper; electricity market prices; short-term forecasting; stochastic programming; factor models; price scenarios; Q2 |
| Abstract | In liberalized electricity markets, the electricity generation companies usually manage their production by developing hourly bids that are sent to the day-ahead market. As the prices at which the energy will be purchased are unknown until the end of the bidding process, forecasting of spot prices has become an essential element in electricity management strategies. In this article, we apply forecasting factor models to the market framework in Spain and Portugal and study their performance. Although their goodness of fit is similar to that of autoregressive integrated moving average models, they are easier to implement. The second part of the paper uses the spot-price forecasting model to generate inputs for a stochastic programming model, which is then used to determine the company's optimal generation bid. The resulting optimal bidding curves are presented and analyzed in the context of the Iberian day-ahead electricity market. |
| URL | Click Here |
| DOI | 10.1111/insr.12014 |
| Preprint | http://hdl.handle.net/2117/3047 |
| Export | Tagged XML BibTex |
Fri, 05/06/2011 - 15:09 — admin
Fri, 10/15/2010 - 17:49 — admin
| 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. |
| Export | Tagged XML BibTex |
Wed, 07/21/2010 - 15:14 — admin
| 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. |
| URL | Click Here |
| Export | Tagged XML BibTex |
Tue, 09/01/2009 - 14:47 — admin
| Publication Type | Conference Paper |
| Year of Publication | 2009 |
| Authors | M.-Pilar Muñoz; Cristina Corchero; F.-Javier Heredia |
| Conference Name | The 57th Session of the International Statistical Institute |
| Conference Date | 16-22/08/2009 |
| Publisher | International Statistical Institute |
| Conference Location | Durban, South Africa |
| Type of Work | Plenary session |
| Key Words | research; spot price forecasting; scenario generation; MIBEL |
| Abstract | In 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. |
| URL | Click Here |
| Export | Tagged XML BibTex |
Tue, 09/01/2009 - 14:19 — admin
| Publication Type | Report |
| Year of Publication | 2009 |
| Authors | M.-Pilar Muñoz; Cristina Corchero; F.-Javier Heredia |
| Pages | 12 |
| Date | 09/2009 |
| Reference | Research Report DR 2009/06, Dept. of Statistics and Operations Research, E-Prints UPC http://hdl.handle.net/2117/3047. Universitat Politècnica de Catalunya. |
| Prepared for | Plenary session on the 57th Session of the International Statistical Institute, Durban, South Africa. Accepted for publication at International Statistical Review. |
| City | Barcelona. |
| Key Words | research; spot price forecasting; scenario generation; MIBEL |
| Abstract | In 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. |
| URL | Click Here |
| Export | Tagged XML BibTex |
|
