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

• Members and partners
• Introduction and objectives
• Development
  
  • Full documentation, progress reports and events
  • Scientific production

Members and partners

Top

Introduction and Objectives

• 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.

Development

Documentation and progress and review reports

• Project's scientific report, application's report and comission's review of the proposal.

• First year's activity report (2009) and comission's review report.
• Second year's activity report (2010).
• Final projects' review conference: report and slides (Madrid, April, 12-13).

2010

• Professor Eugenio Mijango visits GNOM. (April 20, 2010).
• Participation in the KIC Innoenergy workshop (June 07, 2010).
• Participation in the 7th International Conference on European Energy Market EEM10 (June 23-25, 2010)
• Participation in the 24th European Conference on Operational Research, Lisbon (July 11-14, 2010)
• The first year's technical report has been qualified with the grade "higly satisfactory" by the reviewers of the Spanish Ministry of Science and Innovation (see the evaluation report (requires password)) (October 2010).
• Participation in the Conference on Numerical Optimization and Applications in Engineering, Barcelona (October 13-15, 2010).
• New proceeding paper published at IEEEXplore (November 2010).
• 2on year progress meeting at the headquarters of Gas Natural Fenosa, Madrid (December 2010)
• Participation in the Exploratory Workshop on Mixed Integer Nonlinear Programming, University of Sevilla (December 2010)
• Collaboration agreement between GNOM and Fersa Energías Renovables (December 2010)
• GNOM at the Catalonia Institute for Energy Research (December 2010)

2011

• New paper accepted for publication in Computers and Operations Research (January 2011).
• New paper accepted for publication in Annals of Operations Research (January 2011).
• Seminar on electricity markets by professor Javier Contreras from UCLM (January 2011)
• New PhD Thesis on optimal bid in short-term electricity markets (February 2011).
• Prof. Marcos J. Rider and Marina Lavorato visits GNOM (February 2011).
• New MSc thesis on proximal bundle methods applied to stochastic optimization of electricity multimarkets (Mars2011)
• DPI2008 projects' review conference: report, slides (Madrid, April, 12-13) and evaluation (pass. req.) .
• Contribution to the 8th International Conference on the European Energy Market (EEM11) (May 2011).
• VI Barcelona Global Energy Challenges attendance (June 08, 2011).
• New paper accepted for publication in Journal of Optimization Theory and Applications (July 2011).
• One week stay of prof. Javier Heredia at the University of the Basque Country (July 2011)
• Contribution to the 25th IFIP TC7 Conference on System Modeling and Optimization, Berlin (September 2011)
• New paper on electricity markets accepted for publication in TOP (October 2011)
• Contribution to the the International conference Optimization, Theory, Algorithms and Applications in Economics, Barcelona (October 2011)
• New MSc thesis on wind power generation and electricity markets (Dec 12, 2011)

2012

• New paper accepted on medium term planning in power systems (Dec 12, 2012)
• Master thesis on electricity market optimization under environmental regulation. (Dec 01, 2012)
• New paper on energy markets published in Annals of Operations Research (Feb 04, 2012)
• Contribution to the 9th International Conference on Computational Management (Apr 24, 2012)
• Two papers presented at the 9th European conference on Energy Markets (May 2012).

2013

• Two new papers on energy systems optimization published by Springer (Mar 27, 2013)
  
• Two new published papers on electricity markets (Sep 06, 2013)

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 athttp://hdl.handle.net/2117/3047. 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 http://hdl.handle.net/2117/2282.
• [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.

• [Mijangos11] E. Mijangos, Lagrangian Relaxation on Networks by epsilon-Subgradient Methods, Journal of Optimization Theory and Applications, Volume 152, Number 1, 51-74, 2012. DOI: 10.1007/s10957-011-9881-8.
• [Corchero11a] C. Corchero, F. J. Heredia, A Stochastic Programming Model for the Thermal Optimal Day-Ahead Bid Problem with Physical Futures Contracts, Computers and Operations Research, Vol. 38, Issue 11, 1501-1512, pages 1501-1512 . DOI: 10.1016/j.cor.2011.01.008. Pre-print at http://hdl.handle.net/2117/2795. 2011.
• [Heredia10a] F. J. Heredia, M. J. Rider, C. Corchero, "Optimal Bidding Strategies for Thermal and Generic Programming Units in the Day-ahead Electricity Market", IEEE Transactions on Power Systems, Vol. 25, no. 3,  1504-1518, Aug. 2010. DOI:10.1109/TPWRS.2009.2038269.
• [Tesser09] M. Tesser, A. Pagès and N. Nabona 2009. “ An oligopoly model for medium term power planning in a liberalized electricity market”. IEEE Trans. on Power Systems, vol. 24, No. 1, pp 67-77

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, http://hdl.handle.net/2117/20640. Universitat Politècnica de Catalunya, 2013. (submitted)

Proceedings papers

• [Heredia13] F.-J. Heredia, C. Corchero, E. Mijangos, Solving Electric Market Quadratic Problems by Branch and Fix Coordination Methods, System Modeling and Optimization, IFIP Advances in Information and Communication Technology, Springer, Vol. 391, pp 511-520, 2013.
• [Mijangos13] E. Mijangos, An Algorithm for Two-Stage Stochastic Quadratic Problems, System Modeling and Optimization, IFIP Advances in Information and Communication Technology, Springer, Vol. 391, pp 177-187, 2013.
• [Mijangos12a] E. Mijangos, Solving Nonlinearly-Constrained Nonlinear Stochastic Problems, Applied Mathematical Optimization and Modelling – APMOD 2012 Extended Abstracts,  ed.  DS&OR Lab, University of Paderborn, Germany,  pp 129-134, 2012
• [Corchero12] Cristina Corchero, F.-Javier Heredia, Julián Cifuentes, "Optimal electricity market bidding strategies considering emission allowances", Proceedings of the 9th International Conference on the European Energy Market (EEM12), Florence, IEEE, pp. 1.-8 (2012). ISBN: 978-1-4673-0834-2. DOI: 10.1109/EEM.2012.6254676
• [Corchero11b] Cristina Corchero, F.-Javier Heredia, "Efficient solution of multimarket bid models", Proceedings of the 8th Conference on European Energy Market EEM11, Zagreb, IEEEXplore, Vol. 1 pp.: 244-249, ISBN: 978-1-61284-286-8/11 . DOI: 10.1109/EEM.2011.5953017
• [Corchero10d] 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, IEEEXplore, Vol 1. pp. 1 - 6 , ISBN: 978-1-4244-6838-6, DOI: 10.1109/EEM.2010.5558714
• [Heredia09a] F. J. Heredia, M. J. Rider, C. Corchero, Optimal Bidding Strategies for Thermal and Combined Cycle Units in the Day-ahead Electricity Market with Bilateral Contracts, Proceedings of the 2009 Power Engineering Society General Meeting, Calgary, Alberta, Canada. IEEEXplore, Vol. 1, pags.: 1-6, DOI: 10.1109/PES.2009.5275680. 2009.
• [Vespucci09a] M.T. Vespucci, C. Corchero, M. Innorta, F.J. Heredia, A decision support procedure for the short-term scheduling problem of a generation company operating on day-ahead and physical derivatives electricity markets, 11th International Conference on the Modern Information Technology in the Innovation Processes of the Industrial Enterprises, Bergamo, Italy, 15-16/10/2009, ISBN 978-88-89555-09-05

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 problem. Optimization, 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
  (IFORS)
  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

• [Nabona10] Narcís Nabona, Laura Marí, "Medium-term generation planning optimization in liberalized electricity markets", Conference on Numerical Optimization and Applications in Engineering, Centre de Recerca Matemàtica, UAB, Bellaterra (Catalonia), October 2010. Invited presentation.
• [Heredia10b] F.-Javier Heredia, Cristina Corchero, M.-Pilar Muñoz, Eugenio Mijangos, "Electricity Market Optimization: finding the best bid through stochastic programming.", Conference on Numerical Optimization and Applications in Engineering (NUMOPEN-2010), Centre de Recerca Matemàtica. UAB. Barcelona, Spain., 13-15/10/2010. Invited presentation.
• [Mari10a] Laura Marí, Narcís Nabona, "Medium-term Generation Planning in Liberalized Mixed Electricity Markets", International Conference on Operations Research, Munich, Germany, 01-03/09/2010. Contributed presentation.
• [Mari10b] Laura Marí, Narcís Nabona, "Endogenous model for medium-term electricity generation planning in liberalized mixed markets", 24th European Conference on Operational Research, Lisboa, 11-14/07/2010. Invited presentation.
• [Mijangos10a] Eugenio Mijangos, F-Javier Heredia, Cristina Corchero, "Solving electric market problems by perspective cuts", International Conference on Operations Research, Munich, Germany, 01-03/09/2010. Contributed presentation.
• [Mijangos10b] Eugenio Mijangos, F.-Javier heredia, "Perspective cuts for solving the optimal electricity market bid problem with bilateral contracts", 24th European Conference on Operational Research, Lisboa, 11-14/07/2010. Invited presentation.
• [Corchero10b] Cristina Corchero, F.-Javier Heredia, M.-Pilar Muñoz, "Optimal day-ahead bidding strategy with futures and bilateral contracts. Scenario generation through factor models", 24th European Conference on Operational Research, Lisboa, 11-14/07/2010. Invited presentation.
• [Corchero10c] Cristina Corchero, F.-Javier Heredia, "Optimal Day-Ahead Bidding in the MIBEL's Multimarket Energy Production System", 7th Conference on European Energy Market EEM10, Madrid, Spain, 23-25/06/2010.
• [Corchero09] C.Corchero, M.T. Vespucci, F. J. Heredia, M. Innorta, "A stochastic approach to the decision support procedure for a Generation Company operating on Day-Ahead and Physical Derivatives Electricity Market", EURO XXIII: 23rd European Conference on Operational Research, Bonn, Germany, 05-08/07/2009.
• [Heredia09b] F. J. Heredia, M. J. Rider, C. Corchero, "Optimal Bidding Strategies for Thermal and Combined Cycle Units in the Day-ahead Electricity Market with Bilateral Contracts", 2009 Power Engineering Society General Meeting, vol. 1, Calgary, Alberta, Canada, IEEE, pp. 1-6, 26-30/07/2009. Poster
• [Heredia09c] F. J. Heredia, C.Corchero, "Stochastic programming models for optimal bid strategies in the Iberian Electricity Market", The 20th International Symposium of Mathematical Programming (ISMP), Chicago, 23-28/08/2009.
• [Muñoz09] M. P. Muñoz, C.Corchero, F.J. Heredia, Improving electricity market price scenarios by means of forecasting factor models, The 57th Session of the International Statistical Institute, Durban, South Africa, International Statistical Institute, 16-22/08/2009.
• [Vespucci09b] M.T. Vespucci, C. Corchero, F. J. Heredia, M. Innorta, A Short-term Scheduling Model for a Generation Company operating on Day-Ahead and Physical Derivatives Electricity Markets, Third FIMA International Conference, Gressoney Saint Jean, Italy., 19-22/01/2009.
  

PhD Thesis

• [Corchero10TD] Cristina Corchero, Short Term Bidding Strategies for a Generation Company in the Iberian Electricity Market. F.-Javier Heredia, supervisor. Dept. of Statistics and Operations Research, UPC, 02/02/2011.
• [Tesser09TD] M. Tesser “Risk and forward contracting in medium-term electricity generation planning”,. Narcís Nabona, supervisor. Dept Estadística i Investigació Operativa, UPC, December 2009.

MSc and BSc Thesis

• [Cifuentes12] Julián Cifuentes Rubiano. Stochastic optimal bid to electricity markets with environmental risk constraints Stochastic optimal bid to electricity markets with environmental risk constraints. F.-Javier Heredia, advisor. Master of Statistics and Operations Research, UPC. 2012.
• [Scripante11TM] Simona Scripante, Optimal sale bid for a wind producer in Spanish electricity market,  F. Javier Heredia and C. Corcheroi, advisors. Master of Statistics and Operations Research, UPC. 2011.
• [Aldasoro11TM] Unai Aldasoro Marcellán, Optimización de modelos estocásticos de mercado eléctrico múltiple mediante métodos duales. MSc thesis. F. Javier Heredia, supervisor. Master of Statistics and Operations Research, UPC. http://hdl.handle.net/2099.1/13917
• [Nieto09TG] Silvia Nieto, Iván Ruz, Estudi i optimització de l'oferta al Mercat Ibèric d'Electricitat (MIBEL). BsC thesis. F. Javier Heredia supervisor. Degree on Statistics, UPC, 09/07/2009.
• [Romero09TM] Eva Romero i Beneyto, Oferta òptima multi–mercat al Mercat Ibèric d’Electricitat, MSc thesis. F. Javier Heredia. supervisor. MSc thesis. Master of Mathematical Engineering, Facultat de Matemàtiques i Estadística, UPC.
• [Mari09TM] Laura Marí “Planificació òptima estocàstica a mig termini de la producció d’electricitat en un mercat oligopolístic”, MSc thesis. Narcís Nabona, supervisor. Master on Statistics and Operations research, UPC. Febrero de 2009.