期刊
IEEE TRANSACTIONS ON POWER SYSTEMS
卷 20, 期 2, 页码 1014-1021出版社
IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC
DOI: 10.1109/TPWRS.2005.846052
关键词
bidding strategy; contingencies; financial and physical risks; FTR obligation and option; incomplete information games; LMP
In electricity markets, financial transmission right is an important instrument for hedging congestion charges. There are two types of financial transmission rights: point-to-point right (FTR) and flow-based right (FGR). This paper proposes a risk-constrained FTR bidding strategy in transmission auction markets. Based on the forecasted LMP differences between sink and source points of certain FTRs, bidders try to maximize their expected payoffs by taking into account the associated risks. Supposing the forecasted distribution of LMP differences and bidders' risk preferences are known to respective bidders, the FTR bidding problem is modeled as a bilevel optimization with the upper subproblem representing bidders and the lower subproblem representing the solution to the ISO's FTR market clearing problem for maximizing the revenues collected from the FTR auction. The bilevel optimization problem is solved by developing the sensitivity of a bidder's expected utility with respect to its bidding strategy. A three-bus system with four bidders is considered for illustrating the proposed method. The numerical results discuss the distinction between FTR obligation and FTR option bidding strategies. The results further demonstrate the impact of contingency constraints, forecasted LMP differences, and bidders' preferred risk levels on FTR bidding strategies.
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