F.-Javier Heredia - Academic web site

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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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
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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	Conference/School/Seminar attendance
Year of Publication	2011
Authors	F.-Javier Heredia
Conference Name	VI Barcelona Global Energy Challenges
Event Type	Conference
Conference Organiser	Institut de Recerca en Energia de Catalunya; MIT Industrial Liason Program; b_TEC
Conference Dates	2-3/06/2011
Conference Location	Barcelona, Spain
Key Words	research; energy; efficiency; sustainability
Abstract	In view of the changing energy paradigm in which we find ourselves, where concepts such as the security of supplies, the environment and energy efficiency have drastically changed the political and social model applied to conventional sources of energy, what will be the energy challenges over the next few years? Given the various alternatives currently possible for changing sources of energy supply and the business models in place with regard to consumption, how can we anticipate future developments? Which options will be most successful? What are the technological challenges that the best universities, the best research centres and the best businesses are trying to overcome? To what degree can we anticipate the future focus of energy innovation? It is these and other questions on which we will focus and attempt to answer at the conference: Barcelona Global Energy Challenges, which will be attended by lecturers from MIT, and the most representative businesses and organisations from the energy sector that are spearheading the changes in this technological model. This is the sixth edition of the Barcelona Global Energy Challenges, which, once again, will take place in Barcelona on the 2nd and 3rd of June.
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Last June 2 and 3 I was attending the Barcelona Global Energy Challenges conference that was held in Barcelona. It was the sixth edition of a forum co-organized by the  MIT Industrial Liason Program (MITILP), the Institute for the Energy Research of Catalonia (IREC) and the b_TEC foundation (b_TEC). In view of the current energy paradigm shift, representatives from the key institutions leading changes in technology and energy will answer questions like: What are the technological challenges facing top research centers and universities? How will the energy future unfold? What will the most successful options be? What areas will be the focus of energy innovation?

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.
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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	Proceedings Article
Year of Publication	2009
Authors	M.Pilar Muñoz; Cristina Corchero; F.-Javier Heredia
Conference Name	57^th Session of the International Statistical Institute
Key Words	research; DPI2008-02153; electricity markets; TSFA; spot price scenarios; paper
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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DOI	http://hdl.handle.net/2117/3047
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Dr. Marcos J. Rider and Dr. Marina Lavorato, both professors of the dept. of electrical engineering of the Univ. Estadual Paulista, UNESP, (Brasil), have been visiting the GNOM site in Barcelona during January as a part of their participation on the research project DPI2008-02153. We are collaborating in the development of  new stochastic programming models for the optimal expansion of the transmision network in electricity markets. They already visited our group on 2008, and we expect to continue this collaboration in the future reinforcing the relationship between GNOM and the UNESP, both in research and postgraduate tuition.

 

PD: Dr. Rider won last week a permanent position of associate lecturer in the UNESP. Congratulations Marcos!!