Short-term bidding strategies for a generation company in the iberian electricity market
- Autores: Cristina Corchero
- Directores de la Tesis: Francisco Javier Heredia Cervera (dir. tes.)
- Lectura: En la Universitat Politècnica de Catalunya (UPC) ( España ) en 2011
- Idioma: inglés
- Tribunal Calificador de la Tesis: Andrés Ramos Galán (presid.), Jordi Castro Pérez (secret.), Stein-Erik Fleten (voc.)
- Materias:
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- Resumen
The start-up of the Iberian Electricity Market introduced a set of new mechanisms in the Spanish electricity sector that forced the agents participating in the market to change their management policies. This situation created a great opportunity for studying the bidding strategies of the generation companies in this new framework. This thesis focuses on the short-term bidding strategies of a price-taker generation company that bids daily in the Iberian Electricity Market. We will center our bidding strategies on the day-ahead market because 80% of the electricity that is consumed daily in Spain is negotiated there and also because it is the market where the new mechanisms are integrated.
The liberalization of the electricity markets opens the classical problems of energy management to new optimization approaches. Specifically, because of the uncertainty that the market produces in the prices, the stochastic programming techniques have become the most natural way to deal with these problems. Notice that, in deregulated electricity markets the price is hourly fixed through a market clearing procedure, so when the agent must bid its energy it is unaware of the price at which it will be paid. This uncertainty makes it essential to use some statistic techniques in order to obtain the information coming from the markets and to introduce it in the optimization models in a suitable way. In this aspect, one of the main contributions of this thesis has been the study the Spanish electricity price time series and its modeling by means of factor models.
In this thesis, the new mechanism introduced by the Iberian Market that affects the physical operation of the units is described. In particular, it considers in great detail the inclusion of the physical futures contracts and the bilateral contracts into the day-ahead market bid of the generation companies. The rules of the market operator have been explicitly taken into account within the mathematical models, along with all the classical operational constraints that affect the thermal and combined cycle units. The expression of the optimal bidding functions are derived and proved.
Therefore, the models built in this thesis provide the generation company with the economic dispatch of the committed futures and bilateral contracts, the unit commitment of the units and the optimal bidding strategies for the generation company.
Once these main objectives were fulfilled, we improved the previous models with an approach to the modeling of the influence that the sequence of very short markets have on optimal day-ahead bidding. These markets are cleared just before and during the day in which the electricity will be consumed and the opportunity to obtain benefits from them changes the optimal day-ahead bidding strategies of the generation company, as it will be shown in this thesis.
The entire models presented in this work have been tested using real data from a generation company and Spanish electricity prices. Suitable results have been obtained and discussed.
