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

DOI10.1016/J.COR.2011.01.008MaRDI QIDQ716340zbMATH OpenOpenAlexFDO

Authors Cristina Corchero, F. J. Heredia

Publication date 28 April 2011

Published in Computers \& Operations Research (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/2117/14109

zbMATH Keywords

stochastic programmingOR in energyfutures contractselectricity day-ahead marketoptimal bid

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26) Stochastic programming (90C15) Microeconomic theory (price theory and economic markets) (91B24)

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Cites work

• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• A multistage formulation for generation companies in a multi-auction electricity market
• A stochastic integer programming model for incorporating day-ahead trading of electricity into hydro-thermal unit commitment
• Necessary and Sufficient Conditions for Optimal Offers in Electricity Markets
• Optimal Offer Construction in Electricity Markets
• Optimal capacity allocation in multi-auction electricity markets under uncertainty
• Pricing a nontradeable asset and its derivatives.
• Scenario reduction in stochastic programming
• Stochastic programming for optimizing bidding strategies of a Nordic hydropower producer

Cited in

(8)

• A new optimal electricity market bid model solved through perspective cuts
• Futures market trading for electricity producers and retailers
• Solving electric market quadratic problems by branch and fix coordination methods
• Optimization of electricity futures and LNG futures trading under practical constraints of power producers in Japan
• Optimal bidding of a virtual power plant on the Spanish day-ahead and intraday market for electricity
• Optimal design of bilateral contracts for energy procurement
• A stochastic programming model for the optimal electricity market bid problem with bilateral contracts for thermal and combined cycle units
• A stochastic programming approach for the optimal management of aggregated distributed energy resources

Describes a project that uses

Uses Software

• CPLEX
• AMPL

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