Evaluation of target prices for transmission congestion contracts using a Monte Carlo accelerated approach

In this paper we present a Monte Carlo based application to evaluate estimates of nodal marginal prices leading to target prices of transmission congestion contracts. The application integrates an optimization model to evaluate nodal marginal prices for each sampled state including an estimate of transmission losses. This formulation is integrated in a Monte Carlo simulation in order to deal with the probabilistic nature of component outages and to allow the user to represent load behavior using load duration curves. The computational performance of the Monte Carlo simulation is enhanced by adopting a variance reduction acceleration technique based on a regression function. In the final section the paper includes results from a case study to illustrate the application of the model and to evaluate the efficiency of the referred acceleration technique