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A new optimal electricity market bid model solved through perspective cuts
dc.contributor.author | Corchero García, Cristina |
dc.contributor.author | Mijangos Fernández, Eugenio |
dc.contributor.author | Heredia, F.-Javier (Francisco Javier) |
dc.contributor.other | Universitat Politècnica de Catalunya. Departament d'Estadística i Investigació Operativa |
dc.date.accessioned | 2013-03-18T12:33:44Z |
dc.date.created | 2011-11 |
dc.date.issued | 2013-04 |
dc.identifier.citation | Corchero, C.; Mijangos, E.; Heredia, F. A new optimal electricity market bid model solved through perspective cuts. "TOP", April 2013, vol. 21, núm. 1, p. 84-108. |
dc.identifier.issn | 1134-5764 |
dc.identifier.uri | http://hdl.handle.net/2117/18368 |
dc.description | The version of record is available online at: http://dx.doi.org/10.1007/s11750-011-0240-6 |
dc.description.abstract | On current electricity markets the electrical utilities are faced with very sophisticated decision making problems under uncertainty. Moreover, when focusing in the short-term management, generation companies must include some medium-term products that directly influence their short-term strategies. In this work, the bilateral and physical futures contracts are included into the day-ahead market bid following MIBEL rules and a stochastic quadratic mixed-integer programming model is presented. The complexity of this stochastic programming problem makes unpractical the resolution of large-scale instances with general-purpose optimization codes. Therefore, in order to gain efficiency, a polyhedral outer approximation of the quadratic objective function obtained by means of perspective cuts (PC) is proposed. A set of instances of the problem has been defined with real data and solved with the PC methodology. The numerical results obtained show the efficiency of this methodology compared with standard mixed quadratic optimization solvers. |
dc.description.sponsorship | This work was supported by the Ministry of Science and Technology of Spain through MICINN Project DPI2008-02153. |
dc.language.iso | eng |
dc.publisher | Springer |
dc.rights | Attribution-NonCommercial-NoDerivs 3.0 Spain |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/es/ |
dc.subject | Àrees temàtiques de la UPC::Matemàtiques i estadística::Investigació operativa::Optimització |
dc.subject.lcsh | Operations research |
dc.subject.lcsh | Management science |
dc.subject.other | Liberalized electricity market |
dc.subject.other | Optimal bid |
dc.subject.other | Stochastic programming |
dc.subject.other | Perspective cuts |
dc.title | A new optimal electricity market bid model solved through perspective cuts |
dc.type | Article |
dc.subject.lemac | Optimització i investigació operativa |
dc.contributor.group | Universitat Politècnica de Catalunya. GNOM - Grup d'Optimització Numèrica i Modelització |
dc.identifier.doi | 10.1007/s11750-011-0240-6 |
dc.description.peerreviewed | Peer Reviewed |
dc.subject.ams | 90B Operations research and management science |
dc.relation.publisherversion | https://link.springer.com/article/10.1007/s11750-011-0240-6 |
dc.rights.access | Open Access |
local.identifier.drac | 8789877 |
dc.description.version | Postprint (published version) |
dc.date.lift | 10000-01-01 |
local.citation.author | Corchero, C.; Mijangos, E.; Heredia, F. |
local.citation.publicationName | TOP |
local.citation.volume | 21 |
local.citation.number | 1 |
local.citation.startingPage | 84 |
local.citation.endingPage | 108 |
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