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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Publication Type | Conference Paper |
Year of Publication | 2009 |
Authors | F.-Javier Heredia; Cristina Corchero |
Conference Name | The 20th International Symposium of Mathematical Programming (ISMP) |
Conference Date | 23-28/08/2009 |
Conference Location | Chicago |
Type of Work | Invited oral presentation |
Key Words | research; stochastic programming; electricity markets; day-ahead market; bilateral contracts; futures contracts; optimal bid |
Abstract | The day-ahead market is not only the main physical energy market of Portugal and Spain in terms of the amount of traded energy, but also the mechanism through which other energy products, as bilateral (BC) and physical futures contracts (FC), are integrated into the Iberian Electricity Market (MIBEL) energy production system. We propose stochastic programming models that give the optimal bidding and BC and FC nomination strategy for a price-taker generation company in the MIBEL. Implementation details and some first computational experiences for small real cases are presented. |
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Publication Type | Conference Paper |
Year of Publication | 2009 |
Authors | Cristina Corchero; M-Teresa Vespucci; F-Javier Heredia; Mario Innorta |
Conference Name | EURO XXIII: 23rd European Conference on Operational Research |
Conference Date | 05-08/07/2009 |
Conference Location | Bonn, Germany |
Type of Work | Invited oral presentation |
Key Words | research; electricity markets; day-ahead; futures contracts; hydro-thermal |
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Publication Type | Report |
Year of Publication | 2009 |
Authors | Cristina Corchero; F. Javier Heredia |
Pages | 19 |
Date | 03/2009 |
Reference | Research Report DR 2009/03, Dept. of Statistics and Operations Research, E-Prints UPC http://hdl.handle.net/2117/2795, Universitat Politècnica de Catalunya |
Prepared for | Accepted for publication at Computers and Operations Research |
City | Barcelona, Spain. |
Key Words | research; Stochastic programming; OR in energy; electricity day-ahead market; futures contracts; optimal bid |
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. |
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