Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
10346565 | Computers & Operations Research | 2011 | 12 Pages |
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 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.
Related Topics
Physical Sciences and Engineering
Computer Science
Computer Science (General)
Authors
Cristina Corchero, F.-Javier Heredia,