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A new optimal electricity market bid model solved through perspective cuts

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10.1007/s11750-011-0240-6
 
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hdl:2117/18368

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Corchero García, CristinaMés informacióMés informació
Mijangos Fernández, Eugenio
Heredia, F.-Javier (Francisco Javier)Més informacióMés informacióMés informació
Document typeArticle
Defense date2011-11
PublisherSpringer
Rights accessRestricted access - publisher's policy
Attribution-NonCommercial-NoDerivs 3.0 Spain
Except where otherwise noted, content on this work is licensed under a Creative Commons license : Attribution-NonCommercial-NoDerivs 3.0 Spain
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.
CitationCorchero, C.; Mijangos, E.; Heredia, F. A new optimal electricity market bid model solved through perspective cuts. "TOP", Novembre 2011. 
URIhttp://hdl.handle.net/2117/18368
DOI10.1007/s11750-011-0240-6
ISSN1134-5764
Publisher versionhttp://dx.doi.org/10.1007/s11750-011-0240-6
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  • GNOM - Grup d'Optimització Numèrica i Modelització - Articles de revista [97]
  • Departament d'Estadística i Investigació Operativa - Articles de revista [628]
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