A robust mathematical framework for managing simultaneous feasibility condition in financial transmission rights auction

Sarkar, Vaskar; Khaparde, S.A.

doi:10.1109/pes.2006.1709067

Cited by 10 publications

(14 citation statements)

References 4 publications

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“…Other issues like secondary trading of MDFTRs and adjustment of the DV set of an MDFTR have also been elaborately discussed. for to (10) The solution space provided by constraint set (10) is the same as that provided by the following constraint set:…”

Section: Discussionmentioning

confidence: 99%

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Introduction to Multidimensional Financial Transmission Rights

Sarkar

Khaparde

2008

IEEE Trans. Power Syst.

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Abstract-This paper introduces the concept of multidimensional financial transmission right (MDFTR) which is a generalized group financial transmission right (FTR) concept. An MDFTR allows its owner to hold a total FTR amount over a path group along with multiple choices to distribute this grouped amount among the individual grouping paths. This added flexibility provides forward-market participants with a useful support to overcome the congestion price risk that originates from the uncertainty in their transaction paths. All the fundamental issues regarding the implementation of MDFTRs are addressed in detail in this paper. The practical utility of MDFTRs is judged by analyzing their costs. It is shown with illustration that an MDFTR may be more cost-effective than any given portfolio of individual FTRs that has the ability to give the same risk-hedging benefit.Index Terms-Auction, financial transmission right, locational marginal price, multidimensional financial transmission right, obligation, option, secondary trading. NOMENCLATURE:Set of MW-path distribution vectors for the th multidimensional FTR. Price of the th multidimensional FTR.Total number of simultaneous feasibility constraints. Path-branch sensitivity factor (or power transfer distribution factor), relating a certain line to the path of the th requested nongenerated obligation FTR, for a particular network topology. Path-branch sensitivity factor, relating a certain line to the path of the th requested generated obligation FTR, for a particular network topology. Path-branch sensitivity factor, relating a certain line to the path of the th base generated obligation FTR, for a particular network topology. Path-branch sensitivity factor, relating a certain line to the path of the th nongenerated option FTR, for a particular network topology. Path-branch sensitivity factor, relating a certain line to the path of the th generated option FTR, for a particular network topology. Flow caused by the physical equivalents of base nongenerated obligation FTRs on a certain line under a particular network topology.

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Section: Discussionmentioning

confidence: 99%

“…Now, after directional breaking [10] (directional breaking theorem 1 is also described in Appendix I), the constraint set (1) can be reduced to the following two constraints:…”

Section: A Formulation Of Simultaneous Feasibility Constraintsmentioning

confidence: 99%

Introduction to Multidimensional Financial Transmission Rights

Sarkar

Khaparde

2008

IEEE Trans. Power Syst.

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“…The above formulation of simultaneous feasibility constraints is a natural extension of the earlier (i.e., for fully ac systems) formulation [25]- [27] for making utilization of the capacities of HVDC lines. The upper and lower limits of each dc transaction are, in addition, to be respected.…”

Section: B Auction Formulationmentioning

confidence: 99%

“…Again, note that a dc transaction is not charged as it corresponds to the power flow over a regulated line. However, the per MW charge that is otherwise applicable to the th dc transaction can be calculated as (27) As the bid price associated with is zero and as and , the following properties of can be observed: 1) if (i.e., ), then . 2) if (i.e., ), then .…”

Section: Auction Pricingmentioning

confidence: 99%