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  • Improving electricity market price forecasting with factor models for the optimal generation bid

     Muñoz Gracia, Maria del Pilar; Corchero García, Cristina; Heredia Cervera, Fco. Javier
    International statistical review
    Date of publication: 2013-08
    Journal article

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    In liberalized electricity markets, the electricity generation companies usually manage their production by developing hourly bids that are sent to the day-ahead market. As the prices at which the energy will be purchased are unknown until the end of the bidding process, forecasting of spot prices has become an essential element in electricity management strategies. In this article, we apply forecasting factor models to the market framework in Spain and Portugal and study their performance. Although their goodness of fit is similar to that of autoregressive integrated moving average models, they are easier to implement. The second part of the paper uses the spot-price forecasting model to generate inputs for a stochastic programming model, which is then used to determine the company's optimal generation bid. The resulting optimal bidding curves are presented and analyzed in the context of the Iberian day-ahead electricity market.

  • A new optimal electricity market bid model solved through perspective cuts

     Corchero García, Cristina; Mijangos Fernandez, Eugenio; Heredia Cervera, Fco. Javier
    TOP
    Date of publication: 2013-04-01
    Journal article

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    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.

  • Optimal energy management for a residential microgrid including a vehicle-to-grid system

     Igualada, Lucia; Corchero Garcia, Cristina; Cruz Zambrano, Miguel; Heredia Cervera, Fco. Javier
    Date: 2013-11-18
    Report

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    An optimization model is proposed to manage a residential microgrid including a charging spot with a vehicle-to-grid system and renewable energy sources. In order to achieve a realistic and convenient management, we take into account: (1) the household load split into three different profiles depending on the characteristics of the elements considered; (2) a realistic approach to owner behavior by introducing the novel concept of range anxiety; (3) the vehicle battery management considering the mobility profile of the owner and (4) different domestic renewable energy sources. We consider the microgrid operated in grid-connected mode. The model is executed one-day-ahead and generates a schedule for all components of the microgrid. The results obtained show daily costs in the range of 2.82¿ to 3.33¿; the proximity of these values to the actual energy costs for Spanish households validate the modeling. The experimental results of applying the designed managing strategies show daily costs savings of nearly 10%.

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    Stochastic optimal generation bid to electricity markets with emission risk constraints  Open access

     Heredia Cervera, Fco. Javier; Cifuentes Rubiano, Julián; Corchero Garcia, Cristina
    Date: 2013-09-30
    Report

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    There are many factors that influence the day-ahead market bidding strategies of a generation company (GenCo) in the current energy market framework. Environmental policy issues have become more and more important for fossil-fuelled power plants and they have to be considered in their management, giving rise to emission limitations. This work allows investigating the influence of the emission reduction plan, and the incorporation of the derivatives medium-term commitments in the optimal generation bidding strategy to the day-ahead electricity market. Two different technologies have been considered: the coal thermal units, high-emission technology, and the combined cycle gas turbine units, low-emission technology. The Iberian Electricity Market (MIBEL) and the Spanish National Emission Reduction Plan (NERP) defines the environmental framework to deal with by the day-ahead market bidding strategies. To address emission limitations, some of the standard risk management methodologies developed for financial markets, such as Value-at-Risk (VaR) and Conditional Valueat-Risk (CVaR), have been extended giving rise to the new concept of Conditional Emission at Risk (CEaR). This study offers to electricity generation utilities a mathematical model to determinate the individual optimal generation bid to the wholesale electricity market, for each one of their generation units that maximizes the long-run profits of the utility abiding by the Iberian Electricity Market rules, as well as the environmental restrictions set by the Spanish National Emissions Reduction Plan. The economic implications for a GenCo of including the environmental restrictions of this National Plan are analyzed, and the effect of the NERP in the expected profits and optimal generation bid are analyzed.

    There are many factors that influence the day-ahead market bidding strategies of a generation company (GenCo) in the current energy market framework. Environmental policy issues have become more and more important for fossil-fuelled power plants and they have to be considered in their management, giving rise to emission limitations. This work allows investigating the influence of the emission reduction plan, and the incorporation of the derivatives medium-term commitments in the optimal generation bidding strategy to the day-ahead electricity market. Two different technologies have been considered: the coal thermal units, high-emission technology, and the combined cycle gas turbine units, low-emission technology. The Iberian Electricity Market (MIBEL) and the Spanish National Emission Reduction Plan (NERP) defines the environmental framework to deal with by the day-ahead market bidding strategies. To address emission limitations, some of the standard risk management methodologies developed for financial markets, such as Value-at-Risk (VaR) and Conditional Valueat- Risk (CVaR), have been extended giving rise to the new concept of Conditional Emission at Risk (CEaR). This study offers to electricity generation utilities a mathematical model to determinate the individual optimal generation bid to the wholesale electricity market, for each one of their generation units that maximizes the long-run profits of the utility abiding by the Iberian Electricity Market rules, as well as the environmental restrictions set by the Spanish National Emissions Reduction Plan. The economic implications for a GenCo of including the environmental restrictions of this National Plan are analyzed, and the effect of the NERP in the expected profits and optimal generation bid are analyzed.

    Postprint (author’s final draft)

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    Stochastic optimal sale bid for a wind power producer  Open access

     Sacripante, Simona; Heredia Cervera, Fco. Javier; Corchero Garcia, Cristina
    Date: 2013-11-19
    Report

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    Wind power generation has a key role in Spanish electricity system since it is a native source of energy that could help Spain to reduce its dependency on the exterior for the production of electricity. Apart from the great environmental benefits produced, wind energy reduce considerably spot energy price, reaching to cover 16,6 % of peninsular demand. Although, wind farms show high investment costs and need an efficient incentive scheme to be financed. If on one hand, Spain has been a leading country in Europe in developing a successful incentive scheme, nowadays tariff deficit and negative economic conjunctures asks for consistent reductions in the support mechanism and demand wind producers to be able to compete into the market with more mature technologies. 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 daily and intraday markets, on the other hand, reducing deviation costs due to error in generation predictions. We will previously analyze market features and common practices in use and then develop our own sale strategy solving a two-stage linear stochastic optimization problem. The first stage variable will be the sale bid in the day¿ahead market while second stage variables will be the offers to the six sessions of intraday market. The model is implemented using real data from a wind producer leader in Spain.

    Wind power generation has a key role in Spanish electricity system since it is a native source of energy that could help Spain to reduce its dependency on the exterior for the production of electricity. Apart from the great environmental benefits produced, wind energy reduce considerably spot energy price, reaching to cover 16,6 % of peninsular demand. Although, wind farms show high investment costs and need an efficient incentive scheme to be financed. If on one hand, Spain has been a leading country in Europe in developing a successful incentive scheme, nowadays tariff deficit and negative economic conjunctures asks for consistent reductions in the support mechanism and demand wind producers to be able to compete into the market with more mature technologies. 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 daily and intraday markets, on the other hand, reducing deviation costs due to error in generation predictions. We will previously analyze market features and common practices in use and then develop our own sale strategy solving a two-stage linear stochastic optimization problem. The first stage variable will be the sale bid in the day–ahead market while second stage variables will be the offers to the six sessions of intraday market. The model is implemented using real data from a wind producer leader in Spain.

  • Solving electric market quadratic problems by branch and fix coordination methods

     Heredia Cervera, Fco. Javier; Corchero García, Cristina; Mijangos Fernandez, Eugenio
    Date of publication: 2013
    Book chapter

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  • A stochastic programming model for the optimal electricity market bid problem with bilateral contracts for thermal and combined cycle units

     Heredia Cervera, Fco. Javier; Rider Flores, Marcos Julio; Corchero García, Cristina
    Annals of operations research
    Date of publication: 2012-01
    Journal article

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    Optimal electricity market bidding strategies considering emission allowances  Open access

     Corchero Garcia, Cristina; Heredia Cervera, Fco. Javier; Cifuentes Rubiano, Julián
    International Conference on the European Energy Market
    Presentation's date: 2012-05-11
    Presentation of work at congresses

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    There are many factors that influence the day-ahead market bidding strategies of a GenCo in the current energy market framework. In this work we study the influence of both the allowances and emission reduction plan and the in- corporation of the derivatives medium-term commitments in the optimal generation bidding strategy to the day-ahead electricity market. Two different technologies have been considered: the coal thermal units, high-emission technology, and the combined cycle gas turbine units, low-emission technology. The operational characteristics of both kinds of units are modeled in detail. We deal with this problem in the framework of the Iberian Electricity Market and the Spanish National Emissions and Allocation Plans. The economic implications for a GenCo of including the environmental restrictions of these National Plans are analyzed

  • Optimal sale bid for a wind producer in Spanish electricity market through stochastic programming

     Heredia Cervera, Fco. Javier; Sacripante, Simona; Corchero García, Cristina
    International Conference on Computational Management Science
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  • Optimal sizing of microgrids: a fast charging station case

     Corchero García, Cristina; Cruz Zambrano, Miguel; Heredia Cervera, Fco. Javier; Cairo Molins, Josep Ignasi; Igualada Gonzalez, Lucia; Romero Ortega, Aitor
    International Conference on the European Energy Market
    Presentation's date: 2012
    Presentation of work at congresses

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    In this work we focus on the optimal design of electric vehicle charging stations. We consider investment, operational costs, physical constraints and different electricity pricing strategies. The size of the various components in the microgrid architecture and the suitability of the storage system are analysed. The electric vehicle charging demand is modelled through a queuing system.

  • Short - Term Bidding Strategies for a Generation Company in the Iberian Electricity Market  Open access

     Corchero García, Cristina
    Defense's date: 2011-02-02
    Department of Statistics and Operations Research, Universitat Politècnica de Catalunya
    Theses

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    La posada en marxa del Mercat Ibèric de l'Electricitat va introduir al sector elèctric espanyol un seguit de nous mecanismes de participació que han forçat els agents a renovar les seves polítiques de gestió. D'aquesta nova situació sorgeix l'oportunitat d'estudiar noves estratègies d'oferta a curt termini per a companyies de generació price-taker que participin diàriament al Mercat Ibèric de l'Electricitat. Aquestes estratègies se centraran al mercat diari, ja que és aquí on es negocia un 80% de l'electricitat que es consumeix diàriament a Espanya i on s'integren gran part de la resta de mecanismes de participació. La liberalització dels mercats elèctrics obre a noves tècniques d'optimització els problemes clàssics de gestió de l'energia. En particular, atesa la incertesa que l'existència del mercat ocasiona als preus, les tècniques de programació estocàstiques es converteixen en la forma més natural per abordar aquests problemes. Als mercats elèctrics el preu es fixa horàriament com a resultat d'un procés de casació , és a dir que quan l'agent ha d'efectuar la seva oferta desconeix el preu al qual li vindrà remunerada l'energia. Aquesta incertesa fa imprescindible l'ús de tècniques estadístiques per obtenir informació del mercat i introduir-la als models d'optimització. En aquest aspecte, una de les contribucions d'aquesta tesi és l'estudi dels preus del mercat de l'electricitat a Espanya i el seu modelat mitjançant models factorials. D'altra banda, s'hi es descriuen els nous mecanismes presents al Mercat Ibèric de l'Electricitat que afecten directament la producció física de les unitats. En particular, s'inclou el modelat detallat dels contractes de futurs físics i bilaterals i de la seva inclusió a l'oferta del mercat diari per part de les companyies de generació. Als models presentats, es tenen en compte explícitament les regles del mercat, així com les clàssiques restriccions d'operació de les unitats, tant tèrmiques com de cicle combinat. A més, es deriva i es demostra l'expressió de la funció d'oferta. Per tant, els models construïts són una eina per decidir l'assignació de les unitats, la generació dels contractes de futurs físics i bilaterals a través seu i l'oferta òptima d'una companyia de generació. Un cop s'han cobert aquests objectius, es presenta una millora dels models mitjançant la inclusió de la seqüència de mercats de molt curt termini per tal de modelar la influència que tenen en l'oferta al mercat diari. Aquests mercats es casen just abans i durant el dia en què l'energia ha de ser consumida, i això permetrà veure com la possibilitat d'augmentar els beneficis participant-hi afecta directament les estratègies d'oferta òptima del mercat diari. Els models presentats en aquest treball han estat provats amb dades reals provinents del Mercat Ibèric de l'Electricitat i d'una companyia de generació que hi opera. Els resultats obtinguts són adequats i es discuteixen al llarg del document

    La puesta en marcha del Mercado Ibérico de la Electricidad introdujo en el sector eléctrico español una serie de nuevos mecanismos de participación que han forzado a los agentes a renovar sus políticas de gestión. De esta nueva situación surge la oportunidad de estudiar nuevas estrategias de oferta para las compañías de generación. Esta tesis se enmarca en las estrategias de oferta a corto plazo para compañías de generación price-taker que participen diariamente en el Mercado Ibérico de la Electricidad. Estas estrategias se centraran en el mercado diario ya que es donde se negocia un 80% de la electricidad consumida diariamente en España y es donde se integran gran parte del resto de los mecanismos de participación. La liberalización de los mercados eléctricos permite aplicar nuevas técnicas de optimización a los problemas clásicos de gestión de la energía. En concreto, dada la incertidumbre en el precio existente en el mercado, las técnicas de programación estocástica se convierten en la forma más natural para abordar estos problemas. En los mercados eléctricos el precio se fija horariamente como resultado de un proceso de casación, es decir, cuando el agente debe efectuar sus ofertas desconoce el precio al que la energía le será pagada. Esta incertidumbre hace imprescindible el uso de técnicas estadísticas para obtener información del mercado e introducirla en los modelos de optimización. En este aspecto, una de las contribuciones de esta tesis es el estudio del precio de la electricidad en España y su modelado mediante modelos factoriales. Se describen los nuevos mecanismos presentes en el Mercado Ibérico de la Electricidad que afectan directamente a la producción física de las unidades. En particular, se incluye una modelización detallada de los contratos de futuros físicos y bilaterales y su inclusión en la oferta enviada al mercado diario por las compañías de generación. En los modelos presentados se tiene en cuenta explícitamente las reglas del mercado así como las clásicas restricciones de operación de las unidades, tanto térmicas como de ciclo combinado. La expresión de la función de oferta óptima se deriva y se demuestra. Por lo tanto, los modelos construidos son una herramienta para decidir la asignación de unidades, la generación de los contratos de futuros físicos y bilaterales a través de ellas y la oferta óptima de una compañía de generación. Una vez alcanzados estos objetivos, se presenta una mejora del modelo con la inclusión de la secuencia de mercados de muy corto plazo. El objetivo es modelar la influencia que esta tiene en la oferta al mercado diario. Estos mercados se casan justo antes y durante el día en el que la energía va a ser consumida y se verá cómo la posibilidad de aumentar los beneficios participando en ellos afecta a las estrategias de oferta óptima del mercado diario. Los modelos presentados en este trabajo se han probado con datos reales procedentes del Mercado Ibérico de la Electricidad y de una compañía de generación que opera en él. Los resultados obtenidos son adecuados y se discuten a lo largo del documento.

    The start-up of the Iberian Electricity Market introduced a set of new mechanisms in the Spanish electricity sector that forced the agents participating in the market to change their management policies. This situation created a great opportunity for studying the bidding strategies of the generation companies in this new framework. This thesis focuses on the short-term bidding strategies of a price-taker generation company that bids daily in the Iberian Electricity Market. We will center our bidding strategies on the day-ahead market because 80% of the electricity that is consumed daily in Spain is negotiated there and also because it is the market where the new mechanisms are integrated. The liberalization of the electricity markets opens the classical problems of energy management to new optimization approaches. Specifically, because of the uncertainty that the market produces in the prices, the stochastic programming techniques have become the most natural way to deal with these problems. Notice that, in deregulated electricity markets the price is hourly fixed through a market clearing procedure, so when the agent must bid its energy it is unaware of the price at which it will be paid. This uncertainty makes it essential to use some statistic techniques in order to obtain the information coming from the markets and to introduce it in the optimization models in a suitable way. In this aspect, one of the main contributions of this thesis has been the study the Spanish electricity price time series and its modeling by means of factor models. In this thesis, the new mechanism introduced by the Iberian Market that affects the physical operation of the units is described. In particular, it considers in great detail the inclusion of the physical futures contracts and the bilateral contracts into the day-ahead market bid of the generation companies. The rules of the market operator have been explicitly taken into account within the mathematical models, along with all the classical operational constraints that affect the thermal and combined cycle units. The expression of the optimal bidding functions are derived and proved. Therefore, the models built in this thesis provide the generation company with the economic dispatch of the committed futures and bilateral contracts, the unit commitment of the units and the optimal bidding strategies for the generation company. Once these main objectives were fulfilled, we improved the previous models with an approach to the modeling of the influence that the sequence of very short markets have on optimal day-ahead bidding. These markets are cleared just before and during the day in which the electricity will be consumed and the opportunity to obtain benefits from them changes the optimal day-ahead bidding strategies of the generation company, as it will be shown in this thesis. The entire models presented in this work have been tested using real data from a generation company and Spanish electricity prices. Suitable results have been obtained and discussed.

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    A stochastic programming model for the thermal optimal day-ahead bid problem with physical futures contracts  Open access

     Corchero García, Cristina; Heredia Cervera, Fco. Javier
    Computers & operations research
    Date of publication: 2011-03-21
    Journal article

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    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 physically settle 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.

  • Science of the total environment

     Heredia Cervera, Fco. Javier
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  • Annals of operations research

     Heredia Cervera, Fco. Javier
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  • Energy economics

     Heredia Cervera, Fco. Javier
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  • A multistage stochastic programming model for the optimal multimarket electricity bid problem

     Heredia Cervera, Fco. Javier; Corchero García, Cristina
    International Conference on Optimization, Theory, Algorithms and Applications in Economics
    Presentation's date: 2011-10-25
    Presentation of work at congresses

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    Efficient solution of optimal multimarket electricity bid models  Open access

     Corchero García, Cristina; Heredia Cervera, Fco. Javier; Mijangos Fernandez, Eugenio
    International Conference on the European Energy Market (EEM)
    Presentation's date: 2011-05-25
    Presentation of work at congresses

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    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.

  • Solving electricity market quadratic problems by Branch and Fix Coordination methods

     Heredia Cervera, Fco. Javier; Corchero García, Cristina; Mijangos Fernandez, Eugenio
    IFIP TC7 Conference on System Modeling and Optimization
    Presentation's date: 2011-09-12
    Presentation of work at congresses

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    Solving electric market quadratic problems by branch and fix coordination methods  Open access

     Heredia Cervera, Fco. Javier; Corchero García, Cristina; Mijangos Fernandez, Eugenio
    IFIP TC7 Conference on System Modeling and Optimization
    Presentation's date: 2011-09
    Presentation of work at congresses

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    The electric market regulation in Spain (MIBEL) establishes the rules for bilateral and futures 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 and futures 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. In order to gain computational efficiency, we use scenario clusters and propose to use perspective cuts. Numerical results are reported

    The electric market regulation in Spain (MIBEL) establishes the rules for bilateral and futures 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 and futures 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. In order to gain computational efficiency, we use scenario clusters and propose to use perspective cuts. Numerical results are reported

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    Optimal bidding strategies for thermal and generic programming units in the day-ahead electricity market  Open access

     Heredia Cervera, Fco. Javier; Rider Flores, Marcos Julio; Corchero García, Cristina
    IEEE transactions on power systems
    Date of publication: 2010-02
    Journal article

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    This study has developed a stochastic programming model that integrates the day-ahead optimal bidding problem with the most recent regulation rules of the Iberian Electricity Market(MIBEL) for bilateral contracts (BC), with a special consideration for the new mechanism to balance the competition of the production market, namely virtual power plant (VPP) auctions. The model allows a price-taking generation company (GenCo) to decide on the unit commitment of the thermal units, the economic dispatch of the BCs between the thermal units and the generic programming unit (GPU), and the optimal sale/purchase bids for all units (thermal and generic), by observing the MIBEL regulation. The uncertainty of the spot prices has been represented through scenario sets built from the most recent real data using scenario reduction techniques. The model has been solved using real data from a Spanish generation company and spot prices, and the results have been reported and analyzed.

  • IEEE transactions on power systems

     Heredia Cervera, Fco. Javier
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    La recerca en investigació operativa / optimització a Catalunya  Open access

     Heredia Cervera, Fco. Javier
    Date of publication: 2010-09-08
    Book chapter

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    Optimal day-ahead bidding strategyL's multimarket energy production system  Open access

     Corchero García, Cristina; Heredia Cervera, Fco. Javier
    International Conference on the European Energy Market
    Presentation's date: 2010-06-25
    Presentation of work at congresses

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    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.

  • Optimal day-ahead bidding strategy with futures and bilateral contracts. Scenario generation by means of factor models

     Corchero García, Cristina; Heredia Cervera, Fco. Javier; Muñoz Gracia, Maria del Pilar
    European Conference on Operational Research
    Presentation's date: 2010-07-12
    Presentation of work at congresses

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  • Solving electric market problems by perspective cuts

     Mijangos Fernandez, Eugenio; Heredia Cervera, Fco. Javier; Corchero García, Cristina
    International Conference on Operations Research
    Presentation's date: 2010-09-01
    Presentation of work at congresses

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  • Perspective cuts for solving the optimal electricity market bid problem with bilateral contracts

     Mijangos Fernandez, Eugenio; Heredia Cervera, Fco. Javier
    European Conference on Operational Research
    Presentation's date: 2010-07-13
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    A stochastic programming model for the thermal optimal day-ahead bid problem with physical futures contracts  Open access

     Corchero García, Cristina; Heredia Cervera, Fco. Javier
    Date: 2009-02
    Report

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    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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    Improving electricity market price scenarios by means of forecasting factor models  Open access

     Muñoz Gracia, Maria del Pilar; Corchero García, Cristina; Heredia Cervera, Fco. Javier
    Date: 2009-06
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    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.

  • A short-term scheduling model for a Generation Company operating on Day-Ahead and Physical Derivatives Electricity Markets

     Vespucci, M T; Corchero García, Cristina; Heredia Cervera, Fco. Javier; Innorta, M
    Third FIMA International Conference
    Presentation's date: 2009-01
    Presentation of work at congresses

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  • GNOM: GROUP OF NUMERICAL OPTIMIZATION AND MODELLING

     Ferrer Biosca, Alberto; Corchero García, Cristina; Nabona Francisco, Narcis; Gonzalez Alastrue, Jose Antonio; Heredia Cervera, Fco. Javier; Nasini, Stefano; Mari Tomas, Laura; Castro Perez, Jordi
    Participation in a competitive project

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  • PLANIFICACIÓN ÓPTIMA DE LA GENERACIÓN ELÉCTRICA A CORTO Y MEDIO PLAZO EN ENTORNOS DE MERCADOS MÚLTIPLES CON RESTRICCIONES DE RIESGO

     Nabona Francisco, Narcis; Corchero García, Cristina; Ferrer Biosca, Alberto; Marí, Laura; Heredia Cervera, Fco. Javier
    Participation in a competitive project

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  • Stochastic programming models for optimal bid strategies in the Iberian Electricity Market

     Heredia Cervera, Fco. Javier; Corchero García, Cristina
    The 20th International Symposium of Mathematical Programming (ISMP)
    Presentation's date: 2009-08
    Presentation of work at congresses

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  • European journal of operational research

     Heredia Cervera, Fco. Javier
    Collaboration in journals

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    Optimal bidding strategies for thermal and combined cycle units in the day-ahead electricity market with bilateral contracts  Open access

     Heredia Cervera, Fco. Javier; Rider Flores, Marcos Julio; Corchero García, Cristina
    IEEE Power & Energy Society General Meeting
    Presentation's date: 2009-07-27
    Presentation of work at congresses

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    This paper developed a stochastic programming model that integrated the most recent regulation rules of the Spanish peninsular system for bilateral contracts in the dayahead optimal bid problem. Our model allows a price-taker generation company to decide the unit commitment of the thermal and combined cycle programming units, the economic dispatch of the BC between all the programming units and the optimal sale bid by observing the Spanish peninsular regulation. The model was solved using real data of a typical generation company and a set of scenarios for the Spanish market price. The results are reported and analyzed.

  • A decision support procedure for the short-term scheduling problem of a Generation Company operating on Day-Ahead and Physical Derivatives Electricity Markets

     Vespucci, M.-Teresa; Corchero García, Cristina; Innorta, Mario; Heredia Cervera, Fco. Javier
    International Conference on the Modern Information Technology in the Innovation Processes of the Industrial Enterprises
    Presentation's date: 2009-10-15
    Presentation of work at congresses

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    We consider a generation company operating in the liberalized electricity market, whose production system consists of hydro and thermal plants. Production is sold either directly to customers, by means of bilateral contracts, or on the spot market, where the electricity price is unknow until the market clearing process has taken place. Price risk may be hedged by financial tools provided by the Derivative Electricity Market. In this work futures contracts are considered, i.e. agreements to sell electricity in the future for a specified price. A Mixed Integer Linear Programming model is introduced for determining the unit commitment of thermal units and the dispatchment of available thermal units and hydro plants, aiming at maximizing profits. Numerical results on a case study are reported.

  • Generació de la corba d'oferta a partir de les dades públiques del MIBEL

     Casanellas, Glòria; Corchero García, Cristina; Heredia Cervera, Fco. Javier
    Date: 2008-11
    Report

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  • A decision support for a price-taker producer operating on day-ahead and physical derivatives electricity markets

     Vespucci, M.-Teresa; Corchero García, Cristina; Innorta, Mario; Heredia Cervera, Fco. Javier
    Date: 2008-12
    Report

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    Research Report, Diptartimento di Ingegneria dell'Informazione e Metodi Matematici, Università degli Studi di Bergamo, Italy.

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    Two-stage stochastic programming model for the thermal optimal day-ahead bid problem with physical future contracts  Open access

     Corchero García, Cristina; Heredia Cervera, Fco. Javier
    Date: 2008-06
    Report

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    The reorganization of electricity industry in Spain has finished a new step with the start-up of the Derivatives Market. Nowadays, all electricity transactions in Spain and Portugal are managed jointly through the MIBEL by the Day-Ahead Market Operator and the Derivatives Market Operator. This new framework requires important changes in the short-term optimiza- tion strategies of the Generation Companies. 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. Thus, the participation in the derivatives market changes the incomes function and it could imply changes in the optimal planning, both in the optimal bidding and in the unit commitment. The goal of this work is the optimization of the coordination between the physical futures contracts and the Day-Ahead bidding following 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 scenario set. There has been applied both simulation and reduction techniques for building this scenario set from a time series ARIMA model. The implementation of the model is done with the modeling language AMPL. Implementation details and some first computational experiences for small real cases are presented.

  • Valoració de la càrrega de treball de l'estudiant.

     Heredia Cervera, Fco. Javier
    Jornada de presentació de la publicació institucional ''Plans pilot d'adaptació de titulacions a l'EEES''
    Presentation's date: 2008-05-29
    Presentation of work at congresses

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  • Stochastic programming model for the day-ahead bid and bilateral contracts settlement problem

     Heredia Cervera, Fco. Javier; Marcos-J, Rider; Corchero García, Cristina
    International Workshop on Operational Research (IWOR 2008)
    Presentation's date: 2008-06
    Presentation of work at congresses

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  • Optimal thermal and virtual power plants operation in the day-ahead electricity market

     Heredia Cervera, Fco. Javier; Marcos-J, Rider; Corchero García, Cristina
    APMOD 2008 International Conference on Applied Mathematical Programming and Modelling
    Presentation's date: 2008-05-29
    Presentation of work at congresses

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  • A decision support procedure for the short-term scheduling problem of a Generation Company operating on Day-Ahead and Physical Derivatives Electricity Markets

     Vespucci, M T; Corchero García, Cristina; Innorta, M; Heredia Cervera, Fco. Javier
    43rd Euro Working Group on Financial Modelling Meeting
    Presentation's date: 2008-09
    Presentation of work at congresses

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  • Stochastic optimal day-ahead bid with physical future contracts

     Corchero García, Cristina; Heredia Cervera, Fco. Javier
    International Workshop on Operational Research (IWOR 2008)
    Presentation's date: 2008
    Presentation of work at congresses

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  • Taula rodona Grau d'Estadística

     Heredia Cervera, Fco. Javier
    Conferencia Interuniversitaria sobre el Grado en Estadística
    Presentation's date: 2008-01-25
    Presentation of work at congresses

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  • A decision support procedure for a Price-Taker producer operating on Day-Ahead and Physical Derivatives Electricity Markets

     Heredia Cervera, Fco. Javier
    V International Summer School in Risk Measurement and Control
    Presentation's date: 2008-06-30
    Presentation of work at congresses

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  • TOP: revista de la Sociedad de Estadística e Investigación Operativa

     Heredia Cervera, Fco. Javier
    Collaboration in journals

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  • Generació de figures eps a partir de resultats d'AMPL

     Rider Flores, Marcos Julio; Casanellas, Glòria; Heredia Cervera, Fco. Javier
    Date: 2008-11
    Report

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  • A stochastic approach to the decision support procedure for a Generation Company operating on Day-Ahead and Physical Derivatives Electricity Market

     Corchero García, Cristina; Vespucci, M.-Teresa; Heredia Cervera, Fco. Javier; Innorta, Mario
    European Conference on Operational Research
    Presentation's date: 2008-07-06
    Presentation of work at congresses

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  • A mixed-integer stochastic programming model for the day-ahead and futures energy markets coordination

     Corchero García, Cristina; Heredia Cervera, Fco. Javier
    European Conference on Operational Research
    Presentation's date: 2007-07
    Presentation of work at congresses

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  • Optimal short-term bidding strategies for a Generation Company in the MIBEL

     Corchero García, Cristina; Heredia Cervera, Fco. Javier
    Applied Mathematical Programming and Modelling
    Presentation's date: 2006-06
    Presentation of work at congresses

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