This material has been compiled for the EES-UETP Course on "Introduction to Mathematical Optimization Techniques applied to Power Systems' Generation Operation Planning" held at the Universidad Pontificia Comillas de Madrid, February 6-7, 2003. It consists of three parts. In Part 1 we provide a quick introduction into basic settings of integer programming. Part 2 contains the discussion of integer programming models for thermal unit commitment including principal approaches to their algorithmic treatment. Finally, Part 3 is devoted to optimizing simultaneous power production and trading by means of stochastic integer programming