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Funded research project of the Ministry of Science and Innovation, Spain.

Short- and Medium-Term Multimarket Optimal Electricity Generation Planning with Risk and Environmental Constraints.


Funding Organization: Spanish Ministry of Science and Innovation. January 2009 - March 2013

Members and partners

Researchers (6EDP)
  • Prof. F. Javier Heredia (IP)
  • Prof. Narcís Nabona
  • Prof. Albert Ferrer
  • Ms. Cristina Corchero
  • Ms. Laura Marí
  • Prof. Eugenio Mijangos
  • Prof. Jacek Gondzio
  • Prof. Stein-erik Fleten
  • Prof. Marcos Julio Rider
  • Universidad Politècnica de Catalunya
  • Universidad del País Vasco
  • Universidade Estadual Paulista
  • University of Edinburgh.
  • Norwegian University of Science and Technolog.
Electrical Utilities (EPO)


Introduction and Objectives

The GNOM research group of the UPC team has continuously participated in research projects funded by the MEC-CICYT since 1999, always in the field of optimal electricity generation planning. In the last two projects,  project DPI2002-03330 and DPI2005-09117-C02-01, we formulated and implemented mathematical models and algorithms for the optimization of the electric power generation planning in the short term (one week) and in the medium term (one year) of a generation company operating in a competitive market. The radical changes occurred in Spanish energy market regulation during the last three years, starting with  the MIBEL (Iberian Electricity Market), forces the existing models to be adapted to known operating rules and opportunities. The project that is proposed here aims at several new features:
  • The joint optimization of the "multimarket" nature of the MIBEL organization, with a portfolio of markets (futures, day-ahead, reserve, intradiary, VPP, etc.) and physical bilateral contracts, both in medium-and short-term planning.
  • The inclusion of "environmental constraints" in the optimization models, through the precise formulation of emissions, in such a way that will permit each emission technology (wind, solar, hydraulics, combined-cycle, thermal) to be used in the optimally.
  • Several stochastic variables, such as energy price, fuel price, natural inflows, etc., must be precisely modelled in order to formulate accurate stochastic programming models.
  • The different market problems were solved separately in previous projects. The multimarket model proposed in this project aims to simultaneously optimize all of  these related markets, posing new optimization challenges that must be undertaken both with commercial optimization software and, when necessary, with specialized interior point and dual decomposition algorithms for mixed nonlinear optimization. Such strategies will also be developed within this project.
Finally, due to the applied orientation of the fundamental research of this project, both the models and the algorithms developed should be validated with the help of real data provided by Unión Fenosa and Gas Natural, which are two of the most prominent electrical utilities in the Spanish electricity market.


Documentation and progress and review reports


    JCR papers
    • [Muñoz13] M. P. Muñoz, C. Corchero, F. J. Heredia, Improving electricity market price scenarios by means of forecasting factor models. International Statistical Review, 81: 289–306. doi: 10.1111/insr.12014. Preprint version available at 2011.
    • [Corchero13] C. Corchero, Eugenio Mijangos, F. J. Heredia, A new optimal electricity market bid model solved though perspective cuts, Top, vol. 21, Issua 1, pp 84-108, 2013. DOI: 10.1007/s11750-011-0240-6. Previously appeared as Research Report DR 2011/04, Dept. of Statistics and Operations Research, Universitat Politècnica de Catalunya. 2011
    • [Heredia12] F. J. Heredia, M. J. Rider, C. Corchero, A stochastic programming model for the optimal electricity market bid problem with bilateral contracts for thermal and combined cycle units, Annals of Operations Research, Vol. 193, Number 1, 107-127, 2012,DOI: 10.1007/s10479-011-0847-x. Pre-print at
    • [Nabona12] N. Nabona, Medium term load matching in power Planning, IEEE Transactions on Power Systems. To appear. DOI: 00.1109/TPWRS.2012.2220788
    • [Mijangos12] E. Mijangos, Lagrangian Relaxations on Networks by ε-Subgradient Methods, Journal of Optimization Theory and Applications, 152:51-74, 2012.
    JCR papers (submitted)
    • [Heredia13] F.-Javier Heredia, Julian Cifuentes, Cristina Corchero, Stochastic optimal generation bid to electricity markets with emission risk constraints, Research Report. E-Prints UPC, Universitat Politècnica de Catalunya, 2013. (submitted)
      Proceedings papers
      Conference presentations
      • [Corchero12a] Cristina Corchero, F.-Javier Heredia, Julián Cifuentes, "Optimal electricity market bidding strategies considering emission allowances", 9th International Conference on the European Energy Market (EEM12), Florence, Italy, May 2012.
      • [Sacripante12] Simona Sacripante, F.-Javier Heredia, Cristina Corchero "Optimal sale bid for a wind producer in Spanish electricity market through stochastic programming", 9th International Conference on Computational Management Science., London, April 2012. Invited presentation.
      • [Mijangos12b] Eugenio Mijangos Solving Nonlinearly-Constrained Nonlinear Stochastic Problems, Applied Mathematical Optimization and Modelling APMOD 2012 - International Conference on Applied Mathematical Optimization and Modelling, 28-30 de Marzo, 2012, Paderborn, Alemania.


      • [Heredia 11a] F.-Javier Heredia, C. Corchero, A multistage stochastic programming model for the optimal multimarket electricity problemOptimization, Theory, Algorithms and Applications in Economics. Workshop in applications of Optimization in Engineering, Centre de Recerca Matemàtica (CRM), Bellaterra (Catalonia), October 2011. Invited presentation.
      • [Heredia 11a] F.-Javier Heredia, Cristina Corchero, Eugenio Mijangos, "Solving electricity market quadratic problems by Branch and Fix Coordination methods", 25th IFIP TC7 Conference on System Modeling and Optimization, Berlin, 12-16/09/2011
      • [Mijangos11] Eugenio Mijangos, "An algorithm for two-stage stochastic quadratic problems", 25th IFIP TC7 Conference on System Modeling and Optimization, Berlin, 12-16/09/2011
      • [Mijangos11a] Eugenio Mijangos, Solving Two-stage Stochastic Quadratic Problems using the TNF Strategy,
        19th Triennial Conference of International Federation for Opertional Research Societies
        19th Triennial Conference of International Federation for Opertional Research Societies (IFORS). Melbourne, Australia. July 2011
      • [Mijangos11b] Eugenio Mijangos, Solving linearly-constrained nonlinear stochastic problems, International Conference on Operations Research (OR 2011), Zurich, Suiza, August 2011
      • [Corchero11d] Cristina Corchero, F.-Javier Heredia, Eugenio Mijangos, "Efficient Solution of Optimal Multimarket Electricity Bid Models", 8th Conference on European Energy Market EEM11, Zagreb, Croatia, 25-27/05/2011

      PhD Thesis
      MSc and BSc Thesis
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