Dear Professor Zimmerman The strategy that you suggest, is a very good idea! I didn't imagine something like this, I think it is which I am looking for, thanks.
However, I read and reread the section 5.3.1 and I still have some doubts in how to implement the "user defined cost". I also read the chapter 6 "Extending the OPF" and part of the code for the reserve problem. That is not clear to me, if it is necessary to code a callback functions to implement the "user defined cost" described in the section 5.3.1 and 6.1. Or if I can to define the parameters into the matpower case file Please, could you give me some advice about this issue? Thanks in advance, Álvaro Jaramillo Duque