Advanced Computational Methods for Security Constrained Financial Transmission Rights: Structure and Parallelism

Abstract Financial Transmission Rights (FTRs) help power market participants reduce price risks associated with transmission congestion. FTRs are issued based on a process of solving a constrained optimization problem with the objective to maximize the FTR social welfare under power flow security constraints. Security constraints for different FTR categories (monthly, seasonal or annual) are usually coupled and the number of constraints increases exponentially with the number of categories. Commercial software for FTR calculation can only provide limited categories of FTRs due to the inherent computational challenges mentioned above. In this paper, a novel non-linear dynamical system (NDS) approach is proposed to solve the optimization problem. The new formulation and performance of the NDS solver is benchmarked against widely used linear programming (LP) solvers like CPLEX™ and tested on large-scale systems using data from the Western Electricity Coordinating Council (WECC). The NDS based solver can be easily parallelized while exploiting the data structure of the revised formalism to avoid backfill of coupled blocks, maintain numerical stability, and simultaneously reducing computational complexity. The NDS is demonstrated to outperform the widely used CPLEX algorithms by over two orders of magnitude while exhibiting superior scalability.