modellization
Optimal sale bid for a wind producer in Spanish electricity market
Wed, 10/26/2011 - 13:56 — admin| Publication Type | Tesis de Grau i Màster // BSc and MSc Thesis |
| Year of Publication | 2011 |
| Authors | Simona Sacripante |
| Director | F.-Javier Heredia |
| Tipus de tesi | MSc Thesis |
| Titulació | Master in Statistics and Operations Research |
| Centre | Faculty of Mathematics and Statistics |
| Data defensa | 10/11/2011 |
| Nota // mark | 9 / 10 |
| Key Words | teaching; renewebable energy; electricity market; optimal bid; wind generators; wind; intraday market; wind producer; MSc Thesis |
| Abstract | The objective of this work is to find an optimal commercial strategy in the production market that would allow wind producer to maximize their daily profit. That can be achieved on one hand, increasing incomes in day-ahead and intraday markets, on the other hand, reducing deviation costs due to error in generation predictions. |
| DOI / handle | http://hdl.handle.net/2099.1/13914 |
| URL | Click Here |
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Solving electricity market quadratic problems by Branch and Fix Coordination methods
Fri, 09/16/2011 - 16:37 — admin| 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. |
| URL | Click Here |
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Management Science Optimization Modeling with SAS/OR
Mon, 06/27/2011 - 20:19 — admin
Els próxims dies 12, 13 i 14 de juliol participaré al V Summer School del Màster Interuniversitari d'Estadística i Investigació Operativa UP/UB impartint el curs Management Science Optimization Modeling with SAS/OR , en col·laboració amb la professora Crisitina Corchero, investigadora de l'IREC i GNOM. Els objectius del curs son:
"This course is focused on the possibilities of the SAS/OR package to implement and solve some optimization models that are in the core of the so called Analytic Consulting which represents the application of the MS methodology to the consulting Activity. Although commonly considered as software for data management, SAS also includes through his SAS/OR package (OR for Operations Research) a broad list of procedures to implement and solve any kind of optimization problems. The course will give basic skills to the participants for the efficiency formulation, implementation, solution and analysis of several management science optimization problems with SAS/OR."
Introducción a SAS System
Mon, 06/27/2011 - 19:47 — admin| Publication Type | Conference/School/Seminar attendance |
| Year of Publication | 2011 |
| Authors | F.-Javier Heredia |
| Event Type | curs / course |
| Conference Organiser | Serveis Tècnics de Recerca de la Universitat de Girona |
| Conference Dates | 2-23/06/2011 |
| Conference Location | Online |
| Key Words | research; teaching; software; SAS |
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Efficient Solution of Optimal Multimarket Electricity Bid Models
Mon, 05/30/2011 - 15:59 — admin| 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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Efficient Solution of Optimal Multimarket Electricity Bid Models
Mon, 05/30/2011 - 15:45 — admin| 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. |
| URL | Click Here |
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Congratulations Dr. Cristina Corchero!
Thu, 02/03/2011 - 16:45 — admin
Yesterday February 2 my doctorate student, and friend, Cristina Corchero presented her Ph. D. dissertation on optimal bids in electricity markets. Dr. Corchero developed stochastic programming optimization models to find the optimal bid curve that integrates bilateral and future contractes in the sequence of short-term MIBEL's electricity markets.
The members of the examination panel were prof. Stein-Erik Fleten , from the Norwegian University of Science and Technology, prof. Andres Ramos from the Universidad Pontificia de Comillas and prof. Jordi Castro, from the Universitat Politècnica de Catalunya. After a very interesting discussion they agreed to give the maximum qualification, Cum Laude, to the research work of Ms. Corchero. I would like to thank the members of the examination committe for their interesting comments and analysis of the thesis contributions. I'm also very grateful with prof. Pilar Muñoz and prof. Marcos J. Rider for their collaboration in the supervision of the thesis.
And, of course, my most sinceres congratulations to Dr. Cristina Corchero.
New paper accepted for publication in Annals of Operations Research
Wed, 01/12/2011 - 16:47 — admin
The work A stochastic programming model for the optimal electricity market bid problem with bilateral contracts for thermal and combined cycle units of F.-Javier Heredia, Marcos J. Rider and C. Corchero has been accepted for publication in the journal Annals of Operations Research. A preliminary version of the manuscript is available at E-Prints UPC http://hdl.handle.net/2117/2282. This study, which was developed as a part of the research project DPI2008-02153, allows a price-taker generation company to decide the unit commitment of the thermal and combined cycle programming units, the economic dispatch of the bilateral contract between all the programming units and the optimal sale bid by observing the Spanish peninsular regulation.
New paper accepted for publication in Computers & Operations Research
Mon, 01/10/2011 - 17:52 — admin
The work A Stochastic Programming Model for the Thermal Optimal Day-Ahead Bid Problem with Physical Futures Contracts of C. Corchero and F.-Javier Heredia, has been accepted for publication in the journal Computers & Operations Research (DOI:10.1016/j.cor.2011.01.008). A preprint version of the manuscript is available at http://hdl.handle.net/2117/2795. The goal of this work, which was developed as a part of the research project DPI2008-02153, is to optimize coordination between physical futures contracts and the day-ahead bidding which follow the MIBEL's regulation. The authors propose a stochastic quadratic mixed-integer programming model which maximizes the expected profits, taking into account futures contracts settlement.Optimal Day-Ahead Bidding in the MIBEL's Multimarket Energy Production System
Wed, 10/27/2010 - 11:07 — admin| Publication Type | Proceedings Article |
| Year of Publication | 2010 |
| Authors | Cristina Corchero; F.-Javier Heredia |
| Conference Name | 7th Conference on European Energy Market EEM10 |
| Series Title | Proceedings of the 7th Conference on European Energy Market EEM10 |
| Volume | 1 |
| Pagination | 1 - 6 |
| Conference Start Date | 23/06/2010 |
| Publisher | IEEE |
| Conference Location | Madrid |
| Editor | IEEE |
| ISBN Number | 978-1-4244-6838-6 |
| Key Words | research; DPI2008-02153; multimarket; MIBEL; stochastic programming; futures contracts; bilateral contracts; optimal bid; paper |
| Abstract | A Generation Company (GenCo) can participate in the Iberian Electricity Market (MIBEL) through different mechanisms and pools: the bilateral contracts, the physical derivatives products at the Derivatives Market, the bids to the Day-Ahead Market, the Intraday Markets or the Ancillary Services Markets. From the short-term generation planning point of view, the most important problem to solve is the bidding strategy for the Day-Ahead Market (DAM) given that the 85% of the physical energy traded in Spain is negotiated in it, but this participation cannot be tackled independently of other subsequent markets. |
| URL | Click Here |
| DOI | 10.1109/EEM.2010.5558714 |
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