A Novel Algorithm for Financial Transmission Right Evaluation in Electricity Market

A novel Contingency Analysis algorithm has been proposed for Security Analysis (SA) to incorporate Congestion Revenue Right (CRR) options. By replacing fast forward and full backward operations with basic linear algebra operations - Multiplications and Additions, the performance can be improved. The new algorithm is easy to perform in parallel through compiler support of simultaneous multithreading (SMT) and OpenMP. The new algorithm has been implemented in ISO Day Ahead Market (DAM) and performance is improved by more than three times. The same technique can be applied to CRR auction markets, which typically contain abundant number of CRR options.