In the last years the vertically integrated electrical system (in which a single entity owns the entire chain of electricity supply) has been replaced with a deregulated one, and therefore the electrical system is now managed by different companies. The interaction among these companies is based on a market framework, usually composed of a day-ahead market and an intra-day market. The first market aims to schedule the traditional generators for matching with the forecasted load and intermittent renewable generation. The latter one aims to solve the unbalance derived by the stochastic behavior of both load and renewable generation. The presence of large penetration of renewable sources is one of the key-aspects of the modern electricity system, due to the incentives existing in the past.