Relaxation methods for problems with strictly convex costs and linear constraints
Mathematics of Operations Research
On the convergence of the coordinate descent method for convex differentiable minimization
Journal of Optimization Theory and Applications
Convergence of a block coordinate descent method for nondifferentiable minimization
Journal of Optimization Theory and Applications
New developments on equivalent thermal in hydrothermal optimization: an algorithm of approximation
Journal of Computational and Applied Mathematics - Special issue: Selected papers of the international conference on computational methods in sciences and engineering (ICCMSE-2003)
Nonsmooth optimization of hydrothermal problems
Journal of Computational and Applied Mathematics - Special issue on computational and mathematical methods in science and engineering (CMMSE-2004)
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This paper proposes a new method for addressing the short-term optimal operation of a generation company, fully adapted to represent the characteristics of the new competitive markets. We propose an efficient and highly accurate novel method for next-day price forecasting. We model the functional time series with a linear autoregressive functional model which formulates the relationships between each daily function of prices and the functions of previous days. For the optimization problem (formulated within the framework of nonsmooth analysis using Pontryagin's Maximum Principle), we propose a new method that uses diverse mathematical techniques (the Shooting Method, Euler's Method, the Cyclic Coordinate Descent Method). These techniques are well known for the case of functions, but are adapted here to the case of functionals and are efficiently combined to provide a novel contribution. Finally, the paper presents the results of applying our method to a price-taker company in the Spanish electricity market.