Optimized FTR portfolio construction for market participants in a multi-period horizon

Financial transmission rights (FTR) are hedging instruments that entitle their holders to receive reimbursements from the independent system operator (ISO) for the congestion rents when congestion happens in the direction specified by the FTR source and sink nodes. In this thesis, we extend the construction of an optimized FTR portfolio for a single period to more general settings. We propose a methodology to construct an optimized FTR portfolio for a market participant in a multi-period problem horizon and we carefully study the impacts of an initial FTR portfolio that is given at the beginning of the problem horizon. Instead of utilizing the LMP-difference-based method for the FTR selection, we focus on the binding constraints to construct the optimized FTR portfolio, which allows the FTR market participant to specify his desired positions on these constraints based on his evaluation of the economic impacts of the binding constraints. In this multi-period decision-making problem, one period is assumed to be the smallest indecomposable unit of time and no phenomenon of shorter duration can be represented. Thus, the network is identical over the entire period and we use the network representation at the end of each period to represent the network for the corresponding period. We can always modify the optimized FTR portfolio at the end of each period when we obtain new information. The information updates may provide insights into the changes of the network topology and serve as the basis for the market participant to change his specifications on the binding constraints. We analyze the structural characteristics of the multi-period problem and recast the problem into a form where the approach of the single-period problem can be employed. We apply the proposed methodology to the PJM ISO network to illustrate the capability of the methodology to construct the optimized FTR portfolio for the market participant for a large-scale system over a multi-period horizon.

Name thesis:degree_name

M.S.

Level thesis:degree_level

Thesis

Discipline thesis:degree_discipline

Electrical & Computer Engr

Grantor

University of Illinois at Urbana-Champaign

Year dc:date

2015

Author dc:creator

• Tian, Xueqi

Contributors dc:contributor

• Sauer, Peter W.

• Congestion management
• Financial transmission rights (FTR)
• Multi-period optimization
• Power transfer distribution factors

Statement dc:rights

• Copyright 2014 Xueqi Tian

Language dc:language

en

Handle dc:identifier

http://hdl.handle.net/2142/72885

OAI identifier oai:identifier

oai:www.ideals.illinois.edu:2142/72885