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New MSc thesis on proximal bundle methods applied to stochastic optimization of electricity multimarkets

Apr 04, 2011

Last March 16 took place the MSc thesis's dissertation Optimización de modelos estocásticos de mercado eléctrico múltiple mediante métodos duales of Mr. Unai Aldasoro, student of the  Master on Statistics and Operations Research (MEIO), supervised by prof. F.-Javier Heredia, member of GNOM. This work develops a new approach to the efficient solution of the large scale mixed integer nonlinear problems arising in the  multimarket model presented in [1], based on the proximal bundle method [2]. This work has been developed as a part of the MICINN's research project DPI2008-02153 and has received the maximum qualification, excellent with honours, by the MSc award thesis's commission of the MEIO.

 

[1] Cristina Corchero, F.-Javier Heredia, Optimal Day-Ahead Bidding in the MIBEL's Multimarket Energy Production System, Proceedings of the 7th Conference on European Energy Market EEM10, Madrid, IEEE, pp. 1 - 6 , DOI: 10.1109/EEM.2010.5558714
[2]  J. B. Hiriart-Urruty, C. Lemaréchal, Convex Analysis and Minimization Algorithms II – Advanced Theory and Bundle Methods. Springer-Verlag, 1993.