A Stochastic Programming Model for the Thermal Optimal Day-Ahead Bid Problem with Physical Futures Contracts
Wed, 03/18/2009 - 17:25 — admin
| 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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