A Stochastic Programming Model for the Thermal Optimal Day-Ahead Bid Problem with Physical Futures Contracts

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Document typeResearch report
Defense date2009-02
Rights accessOpen Access
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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 settle physically 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.
Is part ofDR; 2009/03
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