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A new optimal electricity market bid model solved through perspective cuts

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  • Cristina Corchero
  • Eugenio Mijangos
  • F.-Javier Heredia

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. Copyright Sociedad de Estadística e Investigación Operativa 2013

Suggested Citation

  • Cristina Corchero & Eugenio Mijangos & F.-Javier Heredia, 2013. "A new optimal electricity market bid model solved through perspective cuts," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 21(1), pages 84-108, April.
    • Handle: RePEc:spr:topjnl:v:21:y:2013:i:1:p:84-108
    DOI: 10.1007/s11750-011-0240-6
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    References listed on IDEAS

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    1. Fleten, Stein-Erik & Kristoffersen, Trine Krogh, 2007. "Stochastic programming for optimizing bidding strategies of a Nordic hydropower producer," European Journal of Operational Research, Elsevier, vol. 181(2), pages 916-928, September.
    2. E. J. Anderson & A. B. Philpott, 2002. "Optimal Offer Construction in Electricity Markets," Mathematics of Operations Research, INFORMS, vol. 27(1), pages 82-100, February.
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    1. Gro Klæboe & Jørgen Braathen & Anders Lund Eriksrud & Stein-Erik Fleten, 2022. "Day-ahead market bidding taking the balancing power market into account," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 30(3), pages 683-703, October.

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