spot price forecasting
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. |
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Sat, 12/16/2017 - 00:00 — admin
| Publication Type | Conference Paper |
| Year of Publication | 2017 |
| Authors | F.-Javier Heredia; Marlyn D. Cuadrado; J.-Anton Sánchez |
| Conference Name | 4th International Conference on Optimization Methods and Software 2017 |
| Conference Date | 16-21/12/2017 |
| Conference Location | La Havana |
| Type of Work | Invited presentation |
| Key Words | multistage; VSS; wind-BESS VPP; wind power; energy storage; battery; research |
| Abstract | One of the objectives of the FOWGEN project (https://fowgem.upc.edu) was to study the economic feasibility and optimal operation of a wind-BESS Virtual Power Plant (VPP): In [1] an ex-post economic analysis shows the economic viability of a wind-BESS VPP thanks to the optimal operation in day-ahead and ancillary electricity markets; In [2] a new multi-stage stochastic programming model (WBVPP)for the optimal bid of a wind producer both in spot and ancillary services electricity markets is developed.
The work presented here extends the study in [2] with a new methodology to treat the uncertainty, based in forecasting models, and the study of the quality of the stochastic solution.
[1] F-Javier Heredia et al. Economic analysis of battery electric storage systems operating in electricity markets 12th International Conference on the European Energy Market (EEM15), 2015 DOI: 10.1109/EEM.2015.7216739.
[2] F-Javier Heredia et al. On optimal participation in the electricity markets of wind power plants with battery energy storage system. Submitted, under second revision. 2017. |
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Sat, 07/19/2014 - 11:53 — admin
| Publication Type | Funded research projects |
| Year of Publication | 2014 |
| Authors | F.- Javier Heredia; Ma. Pilar Muñoz; Josep Anton Sánchez; Maria Dolores Márquez; Eugenio Mijangos; Marlyn Dayana Cuadrado Guevara |
| Type of participation | Principal Investigator (IP) |
| Duration | 01/2014-12/2016 |
| Call | PROGRAMA ESTATAL DE INVESTIGACIÓN, DESARROLLO E INNOVACIÓN ORIENTADA A LOS RETOS DE LA
SOCIEDAD |
| Funding organization | Ministry of Economy and Competitivity, Government of Spain |
| Partners | Universitat Politècnica de Catalunya; Universitat Autònoma de Barcelona (Catalonia)
Euskal Herriko Unibersitatea (Basc Country)
Universidad Pontificia de Comillas (Madrid)
Universidade Paulista Júlia de Mesquita Filho (Brasil)
North Carolina State University (USA)
Electrical Utilities: Iberdrola, Gas Natural - Fenosa.
Research centers: Catalonia Institute for Energy Research.
|
| Full time researchers | 4,5 |
| Budget | 49.000€ |
| Project code | MTM2013-48462-C2-1-R |
| Key Words | research; MTM2013-48462; forecasting, optimization, wind generation, energy markets; mineco; competitive; public; project; energy |
| Abstract |
The coordinated project " Forecasting and Optimization of Wind Generation in Energy Markets" ( FOWGEM) aims at aplying a global approach to the problem of the optimal integration of the wind-enery generation of a generation company in the wholesale electricity market through the combination of statistical forecasting models, mathematical programming models for electricity markets and optimization algorithms. In the framework of the Spanish Strategy for Science and Technology and Innovation 2013-2020 this project contributes fundamentally to challenge 3, " safe, sustainable and clean energy ." Indeed, the forecasting and optimization models and procedures that will be developed in this project, are the necessary mechanisms to allow the competitive and safe integration of wind-energy generation in the multiple-markets based wholesale national energy production system. The FOWGEM project adopts an original and global approach to this problem that combines advanced methodologies in the area of statistics, mathematical modeling of energy markets and theoretical and computatitonal optimization that were developed in several previous projects of the Plan Nacional by the groups of the Universidad Politècnica de Catalunya and the Universidad Pontificia de Comillas . The main objecives of the project are:
- To develop forecasting models for wind-enregy generation and electricity prices for the spot and ancillary electricity markets as a base for the optimal planning of a generation companys production.
- To develop mathematical programming models for the optimal integration of wind-energy production of the generation companies in the wholesale spot and ancillary services electricity market based on the results of the forecasting models for the wind-energy generation and market prices.
- To develop and implement efficient optimization algorithms for the large scale mixed linear and quadratic programming problems arising in real instances of the models for the integration of wind-energy production.
Regarding the social and economic impact of this project, the predictive models for wind-energy generation and market prices, together with the optimization models for the optimal integration of the wind-energy, will indicate power companies how to optimally coordinate their dispatchable generation with the estocastic wind-energy generation. As a result, the expected cost of the total production will be minimized (which means less fossil fuel consumption with the consequent positive impact on the environment ) and also the wind-energy spillage will be minimized. From the point of view of scientific and technical impact , the main feature of this project is its global an multidiciplinar approach through a methodological cycle that combines statistical methods, mathematical modeling of electricity markets and optimization techniques, in order to tackle with an actual problem concerning generation companies with real impacts on the national economy and environment. It is to mention the collaboration as EPO of two of the major Spanish gneration companies, Gas Natural Fenosa and Iberdrola, together with the Institute for Energy Research (IREC ), the major research institution in Catalonia in the field of energy. |
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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. |
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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. |
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Fri, 03/19/2010 - 16:00 — admin
| Publication Type | Journal Article |
| Year of Publication | 2010 |
| Authors | Heredia, F.-J; Rider, M.-Julio; Corchero, C. |
| Journal Title | IEEE Transactions on Power Systems |
| Volume | 25 |
| Issue | 3 |
| Pages | 1504-1518 |
| Start Page | 1504 |
| Journal Date | Aug. 2010 |
| Publisher | IEEE Power & Energy Society |
| ISSN Number | 0885-8950 |
| Key Words | research; paper; bilateral contracts; electricity spot market; optimal bidding strategies; short-term electricity generation planning; stochastic programming; virtual power plant auctions |
| Abstract | This 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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| DOI | 10.1109/TPWRS.2009.2038269 |
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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. |
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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. |
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