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New paper on energy markets accepted for publication in Computers & Operations Research

Jan 10, 2011

The work:

A Stochastic Programming Model for the Thermal Optimal Day-Ahead Bid Problem with Physical Futures Contracts


of C. Corchero and F.-Javier Heredia, has been accepted for publication in the journal Computers & Operations Research. A preliminary version of the manuscript is available as Research Report DR 2009/03, Dept. of Statistics and Operations Research, E-Prints UPC http://hdl.handle.net/2117/2795. The goal of this work, which was developed as a part of the research project DPI2008-02153,  is to optimize coordination between physical futures contracts and the day-ahead bidding which follow the MIBEL's regulation. The authors propose a stochastic quadratic mixed-integer programming model which maximizes the expected profits, taking into account futures contracts settlement.