In a context of growing energy prices and climate change mitigation, the thesis addresses the issues of investments in power generation capacities and in particular nuclear capacities. Given that the Generation IV of nuclear reactors is supposed to be ready in 2040 for industrial deployment, the purpose of the thesis is to study the conditions for electricity investments in France and Europe within this horizon, in order to assess development perspectives for nuclear energy and for potential emergence of Generation IV on the European market. To do so, it is necessary to study the mechanisms at stake in investment choices taking into account all power generating technologies. Economic theory usually bases the choice on long-term economic rationality, which does not allow explain the actual choices observed in European electricity mix. The objective of the research work is thus to identify investment choice drivers and to propose an approach describing the behavior of investors in a more realistic way. A multidisciplinary approach was adopted to explore the question. It combines a historical analysis of drivers evolution according to historical context, a structural analysis of these drivers to identify favorable scenarios for future nuclear reactors, a value creation approach to replicate investors' preferences in those scenarios, and last, a value option approach focusing on nuclear technologies and comparing competitiveness of Generation IV reactors with current reactors. As a result, only strong climate policy combined to government support to nuclear energy could allow industrial development of Generation IV, while high progress of renewables does not lessen the attractiveness of nuclear energy.On a international level, such analysis could be broaden by taking into account the drivers specific to each area of the world, such as highly growing demand in developing countries.

Dans un contexte de hausse de prix des énergies et de protection du climat, la thèse s’intéresse à l’investissement dans des capacités électrique, en particulier dans le nucléaire. Partant de l’hypothèse où la Génération IV de réacteurs nucléaires serait prête autour de 2040 pour un déploiement industriel, l’objet de la thèse est d'analyser les conditions d'investissement et de développement de capacités de production d'électricité en France et en Europe à cet horizon, afin d’évaluer les perspectives de développement du nucléaire sur le marché électrique européen et le potentiel développement de la Génération IV. Pour ce faire, le travail de recherche nécessite de prendre du recul et d’étudier de manière générale, en prenant en compte toutes les technologies de production d’électricité, les mécanismes entrant en jeu dans le choix d’investissement de l’électricien lorsqu’il s’agit de renouveler ou d’étendre son parc de production. L’approche économique classique basant généralement le choix de l’investisseur sur une rationalité économique de long terme, elle ne permet pas d’expliquer les choix effectifs constatés dans les mix électriques d’un pays à l’autre. L’objectif de cette thèse est d’identifier les déterminants des choix d’investissement dans des capacités électriques et de proposer une approche permettant de décrire le comportement du choix de l’investisseur allant au-delà du critère classique de rationalité économique de long terme. Une approche pluridisciplinaire a été adoptée pour répondre à la question posée. Elle combine une analyse historique de l’évolution des déterminants des choix en fonction du contexte, une analyse structurelle permettant d’identifier les scénarios les plus favorables à l’émergence de futurs réacteurs nucléaires, une approche de création de valeur permettant proposant de reproduire les préférences des électriciens en fonction des déterminants, et enfin une approche par la théorie des options réelles pour comparer les compétitivités respectives des futurs réacteurs nucléaires de Génération IV avec celle des réacteurs actuels. Il en résulte que des politiques pro-nucléaires seules ne seraient pas suffisantes, mais que seule une politique climatique forte permettrait réellement l’émergence des réacteurs sur le marché. De fort progrès technologiques dans le domaine des renouvelables ne sont pas antinomiques avec le développement de nouveaux réacteurs. A un niveau international, cette analyse pourrait être élargie en prenant en compte les déterminants spécifiques aux autres régions du monde, comme la forte croissance de la demande en électricité des pays émergents. / In a context of growing energy prices and climate change mitigation, the thesis addresses the issues of investments in power generation capacities and in particular nuclear capacities. Given that the Generation IV of nuclear reactors is supposed to be ready in 2040 for industrial deployment, the purpose of the thesis is to study the conditions for electricity investments in France and Europe within this horizon, in order to assess development perspectives for nuclear energy and for potential emergence of Generation IV on the European market. To do so, it is necessary to study the mechanisms at stake in investment choices taking into account all power generating technologies. Economic theory usually bases the choice on long-term economic rationality, which does not allow explain the actual choices observed in European electricity mix. The objective of the research work is thus to identify investment choice drivers and to propose an approach describing the behavior of investors in a more realistic way. A multidisciplinary approach was adopted to explore the question. It combines a historical analysis of drivers evolution according to historical context, a structural analysis of these drivers to identify favorable scenarios for future nuclear reactors, a value creation approach to replicate investors’ preferences in those scenarios, and last, a value option approach focusing on nuclear technologies and comparing competitiveness of Generation IV reactors with current reactors. As a result, only strong climate policy combined to government support to nuclear energy could allow industrial development of Generation IV, while high progress of renewables does not lessen the attractiveness of nuclear energy.On a international level, such analysis could be broaden by taking into account the drivers specific to each area of the world, such as highly growing demand in developing countries.

Este trabalho analisou os leilões de comercialização de energia elétrica no ambiente de contratação regulada no Brasil, realizados entre 2005 e 2011, com o objetivo de propor aperfeiçoamentos em sua metodologia. Para tanto, foram estudadas três linhas de pesquisa: teoria de leilões, internalização (adicionais) de custos não privados (externalidades) e organização de mercados de capacidade. Após a análise dos 21 leilões de novos empreendimentos realizados no período, conclui-se que o desenho do leilão com fase discriminatória final é adequado aos objetivos de modicidade tarifária, mas que também permite melhoras. As fraquezas da sistemática atual identificadas foram: metodologia de contratação termelétrica por disponibilidade, com viés das fontes de maior custo variável unitário, adoção de preço-teto nem sempre adequado, dificuldade em mitigar o exercício de poder de mercado da Eletrobras nos leilões de energia existente e licitação pelo custo econômico privado. De forma a aprimorar os leilões, as seguintes ações foram sugeridas: realização de uma etapa adicional e prévia ao desenho de leilão híbrido atual visando contornar a problemática de estabelecimento de preço-teto adequado; utilização de adicionais ao lance do leilão para internalizar os custos de transmissão não recolhidos pelo gerador; substituição do mecanismo de contratação termelétrica pelo modelo Colombiano de opções; condução de leilões de energia nova e existente em conjunto, e segmentação de produtos no leilão pela ótica da demanda com possibilidade de lances em pacotes. Com a adoção destas propostas entende-se que o valor negociado nos leilões de comercialização de energia elétrica refletirão melhor o custo social dos projetos, aumentando a eficiência dos certames. / This study analyzes the regulated electricity procurement auctions conducted between 2005 and 2011 in Brazil, in order to propose improvements in its methodology. Thus, it was reviewed three research areas: auctions design, internalization of externalities, and capacity markets. After analyzing the 21 new energy auctions that period, it is concluded the auction design with a second discriminatory bid is appropriate to the aims at achieving as low as possible prices, however there is room for improvement. Identified weaknesses are: (1) thermal availability capacity hiring method biased in favor of energy sources with higher variable costs; (2) inadequate price cap, unable to mitigate Eletrobras market power in existing power auctions, (3) and bidding by private economic cost. So, it is suggested the following actions to improve the efficiency of energy auctions: (a) carrying out an additional step prior to the current hybrid auction design in order to solve the problem of establishing appropriate ceiling price; (b) use of additional to internalize transmission costs not paid by generator; (c) replacement of the bid mechanism used for thermal power plants to Colombian options model; (d) driving new and existing energy auctions together, and (e) segment auctions products by the demand side with the possibility of bidding in packages. In adopting these proposals it is expected the value traded in the electricity procurement auction conducted in Brazil will better reflect the social cost of projects and so improving its efficiency.

Este trabalho analisou os leilões de comercialização de energia elétrica no ambiente de contratação regulada no Brasil, realizados entre 2005 e 2011, com o objetivo de propor aperfeiçoamentos em sua metodologia. Para tanto, foram estudadas três linhas de pesquisa: teoria de leilões, internalização (adicionais) de custos não privados (externalidades) e organização de mercados de capacidade. Após a análise dos 21 leilões de novos empreendimentos realizados no período, conclui-se que o desenho do leilão com fase discriminatória final é adequado aos objetivos de modicidade tarifária, mas que também permite melhoras. As fraquezas da sistemática atual identificadas foram: metodologia de contratação termelétrica por disponibilidade, com viés das fontes de maior custo variável unitário, adoção de preço-teto nem sempre adequado, dificuldade em mitigar o exercício de poder de mercado da Eletrobras nos leilões de energia existente e licitação pelo custo econômico privado. De forma a aprimorar os leilões, as seguintes ações foram sugeridas: realização de uma etapa adicional e prévia ao desenho de leilão híbrido atual visando contornar a problemática de estabelecimento de preço-teto adequado; utilização de adicionais ao lance do leilão para internalizar os custos de transmissão não recolhidos pelo gerador; substituição do mecanismo de contratação termelétrica pelo modelo Colombiano de opções; condução de leilões de energia nova e existente em conjunto, e segmentação de produtos no leilão pela ótica da demanda com possibilidade de lances em pacotes. Com a adoção destas propostas entende-se que o valor negociado nos leilões de comercialização de energia elétrica refletirão melhor o custo social dos projetos, aumentando a eficiência dos certames. / This study analyzes the regulated electricity procurement auctions conducted between 2005 and 2011 in Brazil, in order to propose improvements in its methodology. Thus, it was reviewed three research areas: auctions design, internalization of externalities, and capacity markets. After analyzing the 21 new energy auctions that period, it is concluded the auction design with a second discriminatory bid is appropriate to the aims at achieving as low as possible prices, however there is room for improvement. Identified weaknesses are: (1) thermal availability capacity hiring method biased in favor of energy sources with higher variable costs; (2) inadequate price cap, unable to mitigate Eletrobras market power in existing power auctions, (3) and bidding by private economic cost. So, it is suggested the following actions to improve the efficiency of energy auctions: (a) carrying out an additional step prior to the current hybrid auction design in order to solve the problem of establishing appropriate ceiling price; (b) use of additional to internalize transmission costs not paid by generator; (c) replacement of the bid mechanism used for thermal power plants to Colombian options model; (d) driving new and existing energy auctions together, and (e) segment auctions products by the demand side with the possibility of bidding in packages. In adopting these proposals it is expected the value traded in the electricity procurement auction conducted in Brazil will better reflect the social cost of projects and so improving its efficiency.

Este trabalho tem o objetivo de relatar e analisar a história dos projetos hidrelétricos conhecidos por \"botox\" (expressão cunhada aos projetos mais velhos com roupagem de novos), desde sua origem, ainda na primeira reforma do setor elétrico brasileiro em 1998, até seu desfecho, no leilão de energia nova de 2007, já no âmbito da segunda reforma do setor elétrico iniciada em 2004. Para sua total compreensão, é feita a historiografia do setor elétrico desde o Código de Águas, vis-à-vis da política econômica mundial e de seus reflexos na economia nacional. A dissertação prossegue com a descrição das alterações regulatórias, principalmente no que se refere ao critério de licitação de concessões de aproveitamentos hidrelétricos, caracterizando e identificando como se formou essa categoria de empreendimentos \"botox\". Após a conceituação teórica de leilões, são analisadas as participações desse tipo de projeto nos cinco leilões de energia nova, ocorridos entre 2005 e 2007. Além de uma abordagem sob o ponto de vista do produtor independente de energia elétrica, também é feita análise de que forma a alteração da regulamentação para outorga de concessões de geração e para comercialização de energia modificou a perspectiva de evolução do valor da energia elétrica para os autoprodutores. Por fim, é feita breve discussão sobre o processo de licenciamento ambiental desses projetos, com ênfase em seus aspectos regulatórios. / This thesis aims to discuss and analyze the history of a particularly hydroelectric power plants group, nicknamed as \"botox\". This expression comes from the fact that those projects were old ones, which have been previously conceived, that were treated as brand new by the Brazilian regulatory framework. Its history has began from the Brazilian electricity industry reform in the 1990s. This history reaches its final step in the 2007 auction, already under the revised power sector model launched in 2004, which marked the last opportunity of the so-called \"botox\" projects to participate closing deals to sell long term energy in a specially designed auction. To perform this analysis, it is firstly reported the context were the \"botox\" were conceived in the recent history of Brazilin Electricity Sector, and how power plants group was impacted by the shifts of international economic trends. The next section discusses the last two power sector reforms, particularly addressing the shifts hydro-plants investors faced on having access to concession auctions for new projects. After providing the background of the auction mechanism theory, it is examined the newly designed electricity auction adopted in Brazil as well as the results of the auctions that took place between 2004 up to 2007. Finally, it is discussed implications of the rules regarding the latest industry reform and regulatory issues towards environmental licenses, focusing on their impacts on the willingness to invest of self-generators owners of \"botox\" projects.

Este trabalho tem o objetivo de relatar e analisar a história dos projetos hidrelétricos conhecidos por \"botox\" (expressão cunhada aos projetos mais velhos com roupagem de novos), desde sua origem, ainda na primeira reforma do setor elétrico brasileiro em 1998, até seu desfecho, no leilão de energia nova de 2007, já no âmbito da segunda reforma do setor elétrico iniciada em 2004. Para sua total compreensão, é feita a historiografia do setor elétrico desde o Código de Águas, vis-à-vis da política econômica mundial e de seus reflexos na economia nacional. A dissertação prossegue com a descrição das alterações regulatórias, principalmente no que se refere ao critério de licitação de concessões de aproveitamentos hidrelétricos, caracterizando e identificando como se formou essa categoria de empreendimentos \"botox\". Após a conceituação teórica de leilões, são analisadas as participações desse tipo de projeto nos cinco leilões de energia nova, ocorridos entre 2005 e 2007. Além de uma abordagem sob o ponto de vista do produtor independente de energia elétrica, também é feita análise de que forma a alteração da regulamentação para outorga de concessões de geração e para comercialização de energia modificou a perspectiva de evolução do valor da energia elétrica para os autoprodutores. Por fim, é feita breve discussão sobre o processo de licenciamento ambiental desses projetos, com ênfase em seus aspectos regulatórios. / This thesis aims to discuss and analyze the history of a particularly hydroelectric power plants group, nicknamed as \"botox\". This expression comes from the fact that those projects were old ones, which have been previously conceived, that were treated as brand new by the Brazilian regulatory framework. Its history has began from the Brazilian electricity industry reform in the 1990s. This history reaches its final step in the 2007 auction, already under the revised power sector model launched in 2004, which marked the last opportunity of the so-called \"botox\" projects to participate closing deals to sell long term energy in a specially designed auction. To perform this analysis, it is firstly reported the context were the \"botox\" were conceived in the recent history of Brazilin Electricity Sector, and how power plants group was impacted by the shifts of international economic trends. The next section discusses the last two power sector reforms, particularly addressing the shifts hydro-plants investors faced on having access to concession auctions for new projects. After providing the background of the auction mechanism theory, it is examined the newly designed electricity auction adopted in Brazil as well as the results of the auctions that took place between 2004 up to 2007. Finally, it is discussed implications of the rules regarding the latest industry reform and regulatory issues towards environmental licenses, focusing on their impacts on the willingness to invest of self-generators owners of \"botox\" projects.

[pt] A otimização de binível é uma ferramenta extremamente poderosa para modelar problemas realistas em várias áreas. Por outro lado, sabe-se que a otimização de dois níveis frequentemente leva a problemas complexos ou intratáveis. Nesta tese, apresentamos três trabalhos que expandem o estado da arte da otimização de dois níveis e sua interseção com sistemas de potência. Primeiro, apresentamos BilevelJuMP, um novo pacote de código aberto para otimização de dois níveis na linguagem Julia. O pacote é uma extensão da linguagem de modelagem de programação matemática JuMP, é muito geral, completo e apresenta funcionalidades únicas, como a modelagem de programas cônicos no nível inferior. O software permite aos usuários modelar diversos problemas de dois níveis e resolvê-los com técnicas avançadas. Como consequência, torna a otimização de dois níveis amplamente acessível a um público muito mais amplo. Nos dois trabalhos seguintes, desenvolvemos métodos especializados para lidar com modelos complexos e programas de dois níveis de grande escala decorrentes de aplicações de sistemas de potência. Em segundo lugar, usamos a programação de dois níveis como base para desenvolver o Aprendizado Dirigido pela Aplicação, uma nova estrutura de ciclo fechado na qual os processos de previsão e tomada de decisão são mesclados e co-otimizados. Descrevemos o modelo matematicamente como um programa de dois níveis, provamos resultados de convergência e descrevemos métodos de solução heurísticos e exatos para lidar com sistemas de grande escala. O método é aplicado para previsão de demanda e alocação de reservas na operação de sistemas de potência. Estudos de caso mostram resultados muito promissores com soluções de boa qualidade em sistemas realistas com milhares de barras. Em terceiro lugar, propomos um simulador para modelar mercados de energia hidrotérmica de longo prazo baseados em ofertas. Um problema de otimização estocástica multi-estágio é formulado para acomodar a dinâmica inerente aos sistemas hidrelétricos. No entanto, os subproblemas de cada etapa são programas de dois níveis para modelar agentes estratégicos. O simulador é escalável em termos de dados do sistema, agentes, cenários e estágios considerados. Concluímos o terceiro trabalho com simulações em grande porte com dados realistas do sistema elétrico brasileiro com 3 agentes formadores de preço, 1000 cenários e 60 estágios mensais. Esses três trabalhos mostram que, embora a otimização de dois níveis seja uma classe extremamente desafiadora de problemas NP-difíceis, é possível desenvolver algoritmos eficazes que levam a soluções de boa qualidade. / [en] Bilevel Optimization is an extremely powerful tool for modeling realistic problems in multiple areas. On the other hand, Bilevel Optimization is known to frequently lead to complex or intractable problems. In this thesis, we present three works expanding the state of the art of bilevel optimization and its intersection with power systems. First, we present BilevelJuMP, a novel open-source package for bilevel optimization in the Julia language. The package is an extension of the JuMP mathematical programming modeling language, is very general, feature-complete, and presents unique functionality, such as the modeling of lower-level cone programs. The software enables users to model a variety of bilevel problems and solve them with advanced techniques. As a consequence, it makes bilevel optimization widely accessible to a much broader public. In the following two works, we develop specialized methods to handle much model complex and very large-scale bilevel programs arising from power systems applications. Second, we use bilevel programming as the foundation to develop Application-Driven Learning, a new closed-loop framework in which the processes of forecasting and decision-making are merged and co-optimized. We describe the model mathematically as a bilevel program, prove convergence results and describe exact and tailor-made heuristic solution methods to handle very large-scale systems. The method is applied to demand forecast and reserve allocation in power systems operation. Case studies show very promising results with good quality solutions on realistic systems with thousands of buses. Third, we propose a simulator to model long-term bid-based hydro-thermal power markets. A multi-stage stochastic program is formulated to accommodate the dynamics inherent to hydropower systems. However, the subproblems of each stage are bilevel programs in order to model strategic agents. The simulator is scalable in terms of system data, agents, scenarios, and stages being considered. We conclude the third work with large-scale simulations with realistic data from the Brazilian power system with 3 price maker agents, 1000 scenarios, and 60 monthly stages. These three works show that although bilevel optimization is an extremely challenging class of NP-hard problems, it is possible to develop effective algorithms that lead to good-quality solutions.

Local electricity markets can be defined broadly as 'future electricity market designs involving domestic customers, demand-side response and energy storage'. Like current deregulated electricity markets, these localised derivations present specific stochastic optimisation problems in which the dynamic and random nature of the market is intertwined with the physical needs of its participants. Moreover, the types of contracts and constraints in this setting are such that 'games' naturally emerge between the agents. Advanced modelling techniques beyond classical mathematical finance are therefore key to their analysis. This thesis aims to study contracts in these local electricity markets using the mathematical theories of stochastic optimal control and games. Chapter 1 motivates the research, provides an overview of the electricity market in Great Britain, and summarises the content of this thesis. It introduces three problems which are studied later in the thesis: a simple control problem involving demand-side management for domestic customers, and two examples of games within local electricity markets, one of them involving energy storage. Chapter 2 then reviews the literature most relevant to the topics discussed in this work. Chapter 3 investigates how electric space heating loads can be made responsive to time varying prices in an electricity spot market. The problem is formulated mathematically within the framework of deterministic optimal control, and is analysed using methods such as Pontryagin's Maximum Principle and Dynamic Programming. Numerical simulations are provided to illustrate how the control strategies perform on real market data. The problem of Chapter 3 is reformulated in Chapter 4 as one of optimal switching in discrete-time. A martingale approach is used to establish the existence of an optimal strategy in a very general setup, and also provides an algorithm for computing the value function and the optimal strategy. The theory is exemplified by a numerical example for the motivating problem. Chapter 5 then continues the study of finite horizon optimal switching problems, but in continuous time. It also uses martingale methods to prove the existence of an optimal strategy in a fairly general model. Chapter 6 introduces a mathematical model for a game contingent claim between an electricity supplier and generator described in the introduction. A theory for using optimal switching to solve such games is developed and subsequently evidenced by a numerical example. An optimal switching formulation of the aforementioned game contingent claim is provided for an abstract Markovian model of the electricity market. The final chapter studies a balancing services contract between an electricity transmission system operator (SO) and the owner of an electric energy storage device (battery operator or BO). The objectives of the SO and BO are combined in a non-zero sum stochastic differential game where one player (BO) uses a classic control with continuous effects, whereas the other player (SO) uses an impulse control (discontinuous effects). A verification theorem proving the existence of Nash equilibria in this game is obtained by recursion on the solutions to Hamilton-Jacobi-Bellman variational PDEs associated with non-zero sum controller-stopper games.