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arXiv · 1902.09329

A New Method To Find The Nash Equilibrium Point in Financial Transmission Rights Bidding Problem

Saeed Ahmadian·Ramin Farajifijani
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Abstract

Financial transmission right (FTR) is an important tool and an especially feature for stopping congestion charges in restructured electricity markets. Participants in the transmission market as players are assumed to be a generation company (Gencos) which also take part in an energy market and able to buy their require FTRs. In this regard, there are two types of FTR: obligation or option. There are three main questions which immediately arise for each player who is placed in the market. First, which type of FTR is the best choice second, how much power is needed to generate by each player and third, how bid prices should be offered. Deciding on these trade-offs is difficult and requires definition of special matrices to measure risk in each possible condition in the transmission market. These matrices include: possibility of flow direction alteration, probable forward and reverse power flow on each line, maximum and minimum offering FTRs and the worst condition of load variation which influence on each players decision. Based on these matrices, players try to maximize their expected payoffs by taking into account the associated risks. Supposing these matrices are known to respective players, the FTR bidding problem is modeled as a bi-level optimization based on the Nash equilibrium game theory with the upper sub-problem representing player profit maximization and the lower sub-problem representing the optimal solution to the market clearing. An eight-bus system with six players is simulated to verify the proposed method and the obtained results are illustrated the complex interaction between FTR obligation and FTR option bidding strategies. Furthermore, the results are demonstrated to be consistent between the impacts of FTR type, forecast bid offer of the other players and players preferred risk levels on FTR bidding strategies.

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Saeed Ahmadian, Ramin Farajifijani. 2019-02-21. A New Method To Find The Nash Equilibrium Point in Financial Transmission Rights Bidding Problem. https://arxiv.org/abs/1902.09329

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