Title:
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A stochastic programming model for the thermal optimal day-ahead bid problem with physical futures contracts
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Author:
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Corchero García, Cristina; Heredia, F.-Javier (Francisco Javier)
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Other authors:
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Facultat d'Informàtica de Barcelona; Universitat Politècnica de Catalunya. Departament d'Estadística i Investigació Operativa; Universitat Politècnica de Catalunya. GNOM - Grup d'Optimització Numèrica i Modelització |
Abstract:
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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. |
Subject(s):
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-Àrees temàtiques de la UPC::Matemàtiques i estadística::Investigació operativa::Programació matemàtica -Stochastic programming -Programació estocàstica -93E Stochastic systems and control |
Rights:
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Attribution-NonCommercial-NoDerivs 3.0 Spain
http://creativecommons.org/licenses/by-nc-nd/3.0/es/ |
Document type:
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Article - Published version Article |
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