Publication Type	Report
Year of Publication	2011
Authors	Cristina Corchero; Eugenio Mijangos; F.-Javier Heredia
Pages	25
Date	11/2011
Reference	Research report DR 2011/04, Dept. of Statistics and Operations Research. E-Prints UPC, http://hdl.handle.net/2117/18368. Universitat Politècnica de Catalunya
Prepared for	Published by TOP
Key Words	research; electricity market;
Abstract	On current electricity markets the electrical utilities are faced with very sophisticated decision making problems under uncertainty. Moreover, when focusing in the shortterm management, generation companies must include some medium-term products that directly influence their short-term strategies. In this work, the bilateral and physical futures contracts are included into the day-ahead market bid following MIBEL rules and a stochastic quadratic mixed-integer programming model is presented. The complexity of this stochastic programming problem makes unpractical the resolution of large-scale instances with general purpose optimization codes. Therefore, in order to gain efficiency, a polyhedral outer approximation of the quadratic objective function obtained by means of perspective cuts (PC) is proposed. A set of instances of the problem has been defined with real data and solved with the PC methodology. The numerical results obtained show the efficiency of this methodology compared with standard mixed quadratic optimization solvers.
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The work "A new optimal electricity market bid model solved through prespective cuts" developed in collaboration with prof. Cristina Corchero (GNOM/IREC) and  Eugenio Mijangos (Basc Country University), has been accepted for publication in the journal TOP. A preliminary version of the manuscript is available at this link . This study presents a new procedure to find the optimal electricity generation bid for a generation company operating in the Iberian Electricity Market (MIBEL), and was a part of the research project DPI2008-02153,.

Publication Type	Journal Article
Year of Publication	2013
Authors	Cristina Corchero; Eugenio Mijangos; F.-Javier Heredia
Journal Title	TOP
Volume	21
Issue	1
Pages	25
Start Page	84
Journal Date	04/2013
Short Title	A new optimal electricity market bid model
Publisher	Springer
ISSN Number	1134-5764
Key Words	research; paper; electricity market; day-ahead; bilateral contracts; future contracts; Optimal bid; Stochastic programming; Perspective cuts; mixed integer nonlinear programming; DPI2008-02153; Q3
Abstract	On current electricity markets the electrical utilities are faced with very sophisticated decision making problems under uncertainty. Moreover, when focusing in the short-term management, generation companies must include some medium-term products that directly influence their short-term strategies. In this work, the bilateral and physical futures contracts are included into the day-ahead market bid following MIBEL rules and a stochastic quadratic mixed-integer programming model is presented. The complexity of this stochastic programming problem makes unpractical the resolution of large-scale instances with general-purpose optimization codes. Therefore, in order to gain efficiency, a polyhedral outer approximation of the quadratic objective function obtained by means of perspective cuts (PC) is proposed. A set of instances of the problem has been defined with real data and solved with the PC methodology. The numerical results obtained show the efficiency of this methodology compared with standard mixed quadratic optimization solvers.
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DOI	10.1007/s11750-011-0240-6
Preprint	http://hdl.handle.net/2117/18368
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Publication Type	Conference Paper
Year of Publication	2011
Authors	F.-Javier Heredia; Cristina Corchero
Conference Name	Optimization, Theory, Algorithms and Applications in Economics (OPT 2011)
Conference Date	24-28/10/2011
Conference Location	Centre de Recerca Matemàtica. Barcelona, Spain.
Type of Work	Invited presentation
Key Words	research; optimal bid; day-ahead electricity market; multimarket; perspective cuts; bilateral contracts; futures contracts; stochastic programming; DPI2008-02153
Abstract	Short-term electricity market is made up of a sequence of markets, that is, it is a multimarket enviroment. In the case of the Iberian Energy Market the sequence of major short-term electricity markets are the day-ahead market, the ancillary service market or secondary reserve market (henceforth reserve market), and a set of six intraday markets. Generation Companies (GenCos) that participate in the electricity market could increase their benefits by jointly optimizing their participation in this sequence of electricity markets. This work proposes a stochastic programming model that gives the GenCo the optimal bidding strategy for the day-ahead market (DAM), which considers the benefits and costs of participating in the subsequent markets and which includes both physical futures contracts and bilateral contracts. Numerical results are reported and discussed.
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The International Federation for Information Processing Technical Committee 7 - System Modeling and Optimization - arranges in a cycle of two years highly regarded conferences to several topics of Applied Optimization such as  Optimal Control of Ordinary and Partial Differential Equations, Modeling and Simulation, Nonlinear, Discrete, and Stochastic Optimization and Industrial Applications. This year the conference was celebrated in the Berlin Institute of Technology, and I participated with a contributed talk entitled "Solving electric market quadratic problems by Branch and Fix Coordination methods "

Publication Type	Conference Paper
Year of Publication	2011
Authors	F.-Javier Heredia; Cristina Corchero; Eugenio Mijangos
Conference Name	25th IFIP TC7 Conference on System Modeling and Optimization
Conference Date	12-16/09/2011
Conference Location	Berlin
Type of Work	contributed presentation
Key Words	research; optimal bid; day-ahead electricity market; branch and fix coordination; perspective cuts; bilateral contracts; futures contracts; stochastic programming
Abstract	The electric market regulation in Spain (MIBEL) establishes the rules 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 units, the economic dispatch of the bilateral contracts between the thermal units and the optimal sale bids for the thermal units observing the MIBEL regulation. The uncertainty of the spot prices is represented through scenario sets. We solve this model on the framework of the Branch and Fix Coordination metodology as a quadratic, two-stage stochastic problem. Numerical results are reported.
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Publication Type	Proceedings Article
Year of Publication	2011
Authors	Cristina Corchero; F.-Javier Heredia; Eugenio Mijangos
Conference Name	8th International Conference on the European Energy Market (EEM11)
Series Title	To be published in the IEEEXplore
Pagination	244-249
Conference Start Date	25/05/2011
Publisher	Institute of Electrical and Electronics Engineers, Inc.
Conference Location	Zagreb, Croatia
Editor	Marko Delimar
ISBN Number	978-1-61284-286-8/11
Key Words	spot electricity markets; financial electricity markets; Iberian Electricity Market; stochastic programming; perspective cuts; research; DPI2008-02153; paper
Abstract	Short-term electricity market is made up of a sequence of markets, that is, it is a multimarket enviroment. In the case of the Iberian Energy Market the sequence of major short-term electricity markets are the day-ahead market, the ancillary service market or secondary reserve market (henceforth reserve market), and a set of six intraday markets. Generation Companies (GenCos) that participate in the electricity market could increase their benefits by jointly optimizing their participation in this sequence of electricity markets. This work proposes a stochastic programming model that gives the GenCo the optimal bidding strategy for the day-ahead market (DAM), which considers the benefits and costs of participating in the subsequent markets and which includes both physical futures contracts and bilateral contracts.
URL	Click Here
DOI	10.1109/EEM.2011.5953017
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Publication Type	Conference Paper
Year of Publication	2011
Authors	Cristina Corchero; F.-Javier Heredia; Eugenio Mijangos
Conference Name	8th International Conference on the European Energy Market (EEM11)
Series Title	International Conference on the European Energy Market
Conference Date	25-27/05/2011
Publisher	Institute of Electrical and Electronics Engineers, Inc.
Conference Location	Zagreb, Croatia
Editor	Marko Delimar
Type of Work	Contributed presentacion
ISBN Number	978-1-61284-284-4
Key Words	spot electricity markets; financial electricity markets; Iberian Electricity Market; stochastic programming; perspective cuts; research; DPI2008-02153
Abstract	Short-term electricity market is made up of a sequence of markets, that is, it is a multimarket enviroment. In the case of the Iberian Energy Market the sequence of major short-term electricity markets are the day-ahead market, the ancillary service market or secondary reserve market (henceforth reserve market), and a set of six intraday markets. Generation Companies (GenCos) that participate in the electricity market could increase their benefits by jointly optimizing their participation in this sequence of electricity markets. This work proposes a stochastic programming model that gives the GenCo the optimal bidding strategy for the day-ahead market (DAM), which considers the benefits and costs of participating in the subsequent markets and which includes both physical futures contracts and bilateral contracts.
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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	Conference Paper
Year of Publication	2010
Authors	Eugenio Mijangos; F-Javier Heredia; Cristina Corchero
Conference Name	International Conference on Operations Research
Conference Date	01-03/09/2010
Conference Location	Zurich, Switzerland
Type of Work	contributed presentation
Key Words	research; perspective cuts; mixed nonlinear optimization; optimization; optimal bid; electricity market
Abstract	The electric market regulation in Spain (MIBEL) establishes the rules 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 units, the economic dispatch of the bilateral contracts between the thermal units and the optimal sale bids for the thermal units observing the MIBEL regulation. The uncertainty of the spot prices is represented through scenario sets. We solve this model as a deterministic MIQP problem by using perspective cuts to improve the performance of Branch and Cut. Numerical results are reported.
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