Multi-parametric Nonlinear Programming for Lossy LMP Sensitivity Analysis Using Outer Progressive Cuts

Accurate sensitivity analysis of locational marginal price (LMP) is crucial for risk hedging and market management. This paper proposes multiparametric nonlin ear programming for sensitivity analysis of LMP with non-linear network loss, also known as lossy LMP. Global analytical solutions for lossy LMP and the corresponding critical regions (CRs) are derived. An outer progressive cut algorithm is developed to constrain the network loss error within a specific range for the whole parametric domain. Case studies show the improved accuracy over methods with lossless or fixed loss factors, and a two-order-of-magnitude online speedup over Monte Carlo methods while maintaining lower total computational time.