A stochastic programming model for the thermal optimal day-ahead bid problem with physical futures contracts

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.