Publication Type | Funded research projects |
Year of Publication | 2022 |
Authors | F.-Javier Heredia; Albert Solà Vilalta; Marlyn Dayana Cuadrado Guevara |
Type of participation | Leader |
Duration | 01/23-12/24 |
Call | PROYECTOS DE TRANSICIÓN ECOLÓGICA Y TRANSICIÓN DIGITAL 2021 |
Funding organization | MINISTERIO DE CIENCIA E INNOVACIÓN |
Partners | IREC, Universitat de Girona, Universidad Comillas. |
Full time researchers | 2,5 |
Budget | 149.500€ |
Project code | TED2021-131365B-C44 |
Key Words | research; TED2021-131365B-C44; energy communities; electricity markets; bilevel stochastic programming |
Abstract | The general purpose of this subproject is to study the participation of energy communities in the multimarket structure of the wholesale electricity market in order to develop mathematical models and computational tools for the optimal bid to wholesale markets. From the point of view of the wholesale electricity market, all the complexity of the inner structure of energy communities (dispatchable and nondispatchable generation, storage, demand,) can be conceptually understood as a single virtual programming unit ( a Community Virtual Programming Unit, CVPU) that participate in the wholesale electricity multimarket structure (spot and ancillary-services markets). The final goal of this project is to develop a multi-stage stochastic-programming model for the Multimarket Optimal Bid of Energy Communities (MOBEC) problem that will be validated with real data from the Iberian Electricity Market (MIBEL). Conceptually speaking, energy communities are a complex energy system comprising dispatchable and non-dispatchable generation, energy storage systems and an own demand, that participate in the wholesale electricity market. Based on the experience of previous studies the extension of stochastic programming models to energy communities is a fairly natural and a sounded research methodology. First, the participation of energy communities in spot markets will be analysed. Spot markets (day and intraday) are the most important one in terms of the amount of energy traded. A CVPU will be defined allowing the energy community to submit bids to the single day ahead and to the multiple intraday markets, according to the MIBEL rules. Second, the participation of energy communities in ancillary services markets will be studied. Dispatchable generation units (thermal) together with storage devices and demand flexibility provide the energy community with reserve capabilities that can be bid to the secondary reserve market. The reserve of the CVPU will be defined, formulated and integrated in the (MOBEC) optimization model. The resulting model will be implemented and validated with real data from the real energy communities and the MIBEL. Multi-stage stochastic programming optimal bid models have been successfully developed so far for generation+storage units and will be extended in this project and adapted to the specific features of an energy community through a CVPU that participates in the wholesale electricity market as a single programming unit. |
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Publication Type | Conference Paper |
Year of Publication | 2022 |
Authors | F.-Javier Heredia; Ignasi Mañé; Marlyn Dayana Cuadrado Guevara |
Conference Name | EURO 2022 |
Conference Date | 03-06/07/2022 |
Conference Location | Espoo, Finland. |
Type of Work | Invited presentation |
ISBN Number | 978-951-95254-1-9 |
Key Words | research; multistage stochastic programming; virtual power plants; unit commitment |
Abstract | In this study we present a multistage stochastic programming model to find the joint optimal bid to electricity markets of a pool of dispatchable (thermal) and non-dispatchable (wind) production units with battery storage facilities. The assumption is that these programming units are operated by the same utility that, previous to the market clearing, has to dispatch some bilateral contracts with the joint production of the production pool. The multistage model mimics the multimarket bidding process in the Iberian Electricity Market (MIBEL). First, the utility has to decide how to cover the energy of the bilateral contracts with the available units. Second, the production capacity of each unit, not allocated to the bilateral contracts, must be offered to the seven consecutives spot markets (day-ahead and six intraday markets) plus the secondary reserve market (the most relevant ancillary services market). The stochasticity of the electricity clearing prices and the hourly generation of the wind-power units is considered. The stochastic process associated to this multistage decision-making process is modelled through multistage scenario trees with thirty-four stages that are built from forecasting models based on real data of the Iberian Electricity Market. The numerical results show the advantage of the joint operation of the pool of production units with an increase of the overall expected profits, mainly due to a strong reduction of the operational costs. |
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L'encariment dels costos de producció de l'energia elèctrica justifiquen realment el període de preus sense control de l'electricitat que estem observant durant els darrers mesos de 2021? I quin és el paper que juguen les regles de mercat i les centrals hidroelèctriques en aquesta tendència alcista dels preus? Intentem respondre a aquestes preguntes a l'article Costos de producció: causa o excusa de la crisi de preus de l'electricitat? publicat a 5centims.cat, blog de debat econòmic creat el 2021 al si de la Societat Catalana d'Economia (SCE).
Publication Type | Tesis de Grau i Màster // BSc and MSc Thesis |
Year of Publication | 2021 |
Authors | Ignasi Mañé Bosch |
Director | F-Javier Heredia |
Tipus de tesi | MSc Thesis |
Titulació | Master in Statistics and Operations Reseafrch |
Centre | Facultat de matemàtiques i Estadística |
Data defensa | 18/10/2021 |
Nota // mark | 9.5 |
Key Words | teaching; electricity markets; multistage stochastic programming |
Abstract | For many political and economic reasons, over the last decades, electricity markets in developed countries have been liberalised. Markets regulated by governments in which prices were set by the competent authority are now the exception. In this new setting, electricity agents, both consumers and producers, compete to maximise their protability in a series of auctions designed to efficiently match supply and demand. Many energy producers manage together wind and thermal generation units to meet their contractual obligations such as bilateral contracts, as well as bid on the electric market to sell their production capacity. This master thesis explore different multi-stage stochastic programming models for generation companies to nd optimal bid functions in electric spot markets. The explored models not only capture the uncertainty of electric prices of different markets and financial products, but also couples together wind and thermal generation units, offering producers that combine both technologies a more suitable approach to nd their best possible bidding strategy among the space of possible actions. |
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On November 2021 Mr. Ignasi Mañé presented the MsC thesis dissertation Multistage stochastic bid model for a wind-thermal power producer to opt for the master's degree in Statistics and Operations Research (UPC-UB), advised by prof. F.-Javier Heredia. This master thesis explores different multi-stage stochastic programming models for generation companies to find optimal bid functions in electric spot markets capturing the uncertainty of electric prices of different markets and financial products, and coupling together wind and thermal generation unit
Publication Type | Conference Paper |
Year of Publication | 2021 |
Authors | Marlyn Dayana Cuadrado Guevara; F.-Javier Heredia |
Conference Name | 31st European Conference on Operational Research. |
Conference Date | 11-14/07/2021 |
Conference Location | Athens |
Type of Work | Invited presentation |
ISBN Number | ISBN 978-618-85079-1-3 |
Key Words | research; multistage stochastich programming; virtual power plants; electricity markets; scenarios tree generation |
Abstract | The presence of renewables in electricity markets optimization have generated a high level of uncertainty in the data, which has led to a need for applying stochastic optimization to model this kind of problems. In this work, we apply Multistage Stochastic Programming (MSP) using scenario trees to represent energy prices and wind power generation. We developed a methodology of two phases where, in the first phase, a procedure to predict the next day for each random parameter of the MSP models is used, and, in the second phase, a set of scenario trees are built through Forward Tree Construction Algorithm (FTCA) and a modified Dynamic Tree Generation with a Flexible Bushiness Algorithm (DTGFBA). This methodology was used to generate scenario trees for the Multistage Stochastic Wind Battery Virtual Power Plant model (MSWBVPP model), which were based on MIBEL prices and wind power generation of a real wind farm in Spain. In addition, we solved three dierent case studies corresponding to three dierent hypotheses on the virtual power plant’s participation in electricity markets. Finally, we study the relative performance of the FTCA and DTGFBA scenario trees, analysing the value of the stochastic solution through the Forecasted Value of the Stochastic Solution (FVSS) and the classical VSS for the 366 daily instances of the MSWBVPP problem spanning a complete year. |
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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-BarcelonaTech |
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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