Patent ID: 7634442

Claim:
A method for bidding at a Transmission Congestion Contract auction in a market related to a commodity delivered over a network of one or more congestible lines, the market including future shadow prices which depend on congestion in the one or more congestible lines, in which: Ψ represents a set of all flowgates that can congest in a spot market, Ψ c represents a complementary set of flowgates with respect to Ψ, Φ represents those flowgates of Ψ which are forecasted to bind at a Transmission Congestion Contract auction, P is a matrix constructed of canonical Transmission Congestion Contracts offered at a Transmission Congestion Contract auction, A is a matrix representing the physics of power flows in the network, and δ is a vector representing the partial derivative, with respect to the future shadow prices, of the fair market value of an incremental portfolio y of Transmission Congestion Contracts, the method comprising the steps of: (1) a computer system identifying a δ which is within the available capacity of all flowgates and satisfies: a) there are non-negative valued δ elements corresponding to those flowgates in Ψ which do not bind at auction; b) there are non-positive valued δ elements corresponding to those flowgates Ψ c that bind at a Transmission Congestion Contract auction; c) there are zero valued δ elements corresponding to those flowgates in Ψ which bind at a Transmission Congestion Contract auction; d) there are not any negative valued δ elements corresponding to those flowgates in Ψ; and e) no flowgates other than those in Φ bind at a Transmission Congestion Contract auction because of the incremental portfolio y; (2) the computer system solving for the incremental portfolio y according to (A′)(P)(y)=δ, wherein ′(prime) denotes a transpose of a matrix; and (3) The computer system generating an indication of the incremental portfolio y.