[pt] Este trabalho propõe um modelo de implementação de um leilão bidimensional para concessões de serviços públicos. O desenho do leilão é feito pelo governo através de uma regra de pontuação quase-linear que valora o preço cobrado e o tempo para iniciar a prestação de serviços. Este modelo aplica-se ao conjunto de serviços públicos que geram grandes benefícios quando começam a ser prestado em uma data limite reduzida. Os potenciais compradores possuem informação privada sobre seus custos de produção e redução do tempo. A regra de pontuação reduz a dimensionalidade dos lances tornando-os unidimensionais para os participantes, o maior lance resulta em uma obrigação contratual ao vencedor. O modelo auxilia na elaboração do design do leilão de forma a maximizar as preferências do governo dado o comportamento estratégico dos compradores. / [en] In this thesis we propose a model for a two-dimensional auction of public service concession agreements. The government design of the auction involves an almost linear scoring rule that evaluates the price charged and the time to start providing the services. The model applies to the public services that improve social welfare by reducing the delivery time of services. Suppliers have private information about their costs and time reduction offer. The proposed scoring rule of each supplier reduces the dimensionality of the bids submitted to a single dimension. The winner is committed to his bid and obliges to provide the required services. The model assists in preparing the design of the auction in order to maximize the preferences of the government given to the strategic behavior of buyers.

One of the major planning problems faced by medium and large manufacturing enterprises is the distribution of production over various (production) facilities. The need for cross-facility capacity management is most evident in the high-tech industries having capital-intensive equipment and short technology life cycle. There have been solutions proposed in the literature that are based on the lagragian decomposition method which separate the overall multiple product problem into a number of single product problems. We believe that multi-agent systems, given their distributed problem solving approach can be used to solve this problem, in its entirety, more effectively. According to other researchers who have worked in this field, auction theoretic mechanisms are a good way to solve complex production planning problems. This research study develops a multi-agent system and negotiation protocol based on combinatorial auction framework to solve the given multi-facility planning problem. The output of this research is a software library, which can be used as a multi-agent system model of the multi-product, multi-facility capacity allocation problem. The negotiation protocol for the agents is based on an iterative combinatorial auction framework which can be used for making allocation decisions in this environment in real-time. A simulator based on this library is created to validate the multi-agent model as well as the auction theoretic framework for different scenarios in the problem domain. The planning software library is created using open source standards so that it can be seamlessly integrated with scheduling library being developed as a part of the Advanced Planning and Scheduling (APS) system project or any other software suite which might require this functionality. The research contribution of this study is in terms of a new multi-agent architecture for an Advanced Planning and Control (APS) system as well as a novel iterative combinatorial auction mechanism which can be used as an agent negotiation protocol within this architecture. The theoretical concepts introduced by this research are implemented in the MultiPlanner production planning tool which can be used for generating master production plans for manufacturing enterprises. The validation process carried out on both the iterative combinatorial framework and the agent-based production planning methodology demonstrate that the proposed solution strategies can be used for integrated decision making in the multi-product, multi-facility production planning domain. Also, the software tool developed as part of this research is a robust, platform independent tool which can be used by manufacturing enterprises to make relevant production planning decisions. / Master of Science

Submitted by Luana Rodrigues (luana.rodrigues@fgv.br) on 2014-10-21T18:45:50Z No. of bitstreams: 1 Versão Final - Dominique.pdf: 2899721 bytes, checksum: e06d28c3a380d3af7d793bd8d8660b36 (MD5) / Approved for entry into archive by Luana Rodrigues (luana.rodrigues@fgv.br) on 2014-10-21T18:46:31Z (GMT) No. of bitstreams: 1 Versão Final - Dominique.pdf: 2899721 bytes, checksum: e06d28c3a380d3af7d793bd8d8660b36 (MD5) / Made available in DSpace on 2014-10-22T11:39:07Z (GMT). No. of bitstreams: 1 Versão Final - Dominique.pdf: 2899721 bytes, checksum: e06d28c3a380d3af7d793bd8d8660b36 (MD5) Previous issue date: 2014-08-28 / The thesis analyses the European Unions’ effort to create an integrated pan-European electricity market based on “market coupling” as the proposed allocation mechanism for interconnector transfer capacity. Thus, the thesis’ main focus is if market coupling leads to a price convergence in interlinked markets and how it affects the behavior of electricity price data. The applied research methods are a qualitative, structured literature review and a quantitative analysis of electricity price data. The quantitative analysis relies on descriptive statistics of absolute price differentials and on a Cointegration analysis according to Engle & Granger (1987)’s two step approach. Main findings are that implicit auction mechanisms such as market coupling are more efficient than explicit auctions. Especially the method of price coupling leads to a price convergence in involved markets, to social welfare gains and reduces market power of producers, as shown on the example of the TLC market coupling. The market coupling initiative between Germany and Denmark, on the other hand, is evaluated as less successful and illustrates the complexity and difficulties of implementing market coupling initiatives. The cointegration analysis shows that the time series were already before the coupling date cointegrated, but the statistical significance increased. The thesis suggests that market coupling leads to a price convergence of involved markets and thus functions as method to create a single, integrated European electricity market. / A dissertação analisa o esforço dos sindicatos europeus para criar um mercado pan- europeu de electricidade integrada baseada em 'mercados combinados', como o mecanismo de alocação de capacidade de transferência de energia entre diferentes sistemas. Assim, o foco principal do estudo é se a integração do mercado leva a uma convergência de preços nos mercados interligados, e como isso afeta o comportamento dos preços de energia elétrica. Os métodos de investigação são uma revisão bibliográfica estruturada qualitativa e uma análise quantitativa de dados de preços de energia elétrica. A análise quantitativa se baseia em estatísticas descritivas das diferenças de preços absolutos e em uma análise de cointegração de acordo com a abordagem de Engle e Granger (1987). As principais conclusões são que os mecanismos de leilões implícitos, tais como a integração de mercado são mais eficientes que os leilões explícitos. Especialmente, o método de acoplamento de preços leva a uma convergência de preços nos mercados envolvidos, a ganhos de bem-estar social e reduz a o poder dos produtores no mercado, como mostra o exemplo da integração mercado TLC. A iniciativa mercados combinados entre a Alemanha ea Dinamarca, por outro lado, é avaliada como de menor sucesso e ilustra a complexidade e as dificuldades de implementação de iniciativas de integração de mercado. A análise de cointegração mostra que as séries temporais já estavam cointegradas antes da data de integração, mas a significância estatística aumentou. A tese sugere que a integração do mercado leva a uma convergência dos preços dos mercados envolvidos e, portanto, funciona como método para criar um mercado de eletricidade único e integrado na Europa.

Submitted by Otávio Menezes Damé (omenezes@fgvmail.br) on 2015-03-25T16:46:08Z No. of bitstreams: 1 tese-otavio.pdf: 1370659 bytes, checksum: 924be04b7a6bae788714a583878c9ce3 (MD5) / Approved for entry into archive by BRUNA BARROS (bruna.barros@fgv.br) on 2015-03-31T14:12:14Z (GMT) No. of bitstreams: 1 tese-otavio.pdf: 1370659 bytes, checksum: 924be04b7a6bae788714a583878c9ce3 (MD5) / Approved for entry into archive by Marcia Bacha (marcia.bacha@fgv.br) on 2015-04-14T11:47:19Z (GMT) No. of bitstreams: 1 tese-otavio.pdf: 1370659 bytes, checksum: 924be04b7a6bae788714a583878c9ce3 (MD5) / Made available in DSpace on 2015-04-14T11:47:31Z (GMT). No. of bitstreams: 1 tese-otavio.pdf: 1370659 bytes, checksum: 924be04b7a6bae788714a583878c9ce3 (MD5) Previous issue date: 2014-12-11 / Brazilian government recently passed legislation instituting a new regulatory framework for the pre-salt reserves. These areas should be negotiated through a profit-share bidding auction. Motivated by this new rules, we present a model of share bidding auction under affiliation, demonstrating the existence of a monotone pure-strategy equilibrium in this structure and characterize its equilibrium bidding function. In addition, we prove that it generates an expected revenue at least as large as the usual fee bidding auction. Next, we introduce in the models a function representing a royalty rate that is contingent to the value of the object. This instrument permits an improvement of expected revenue of both models, making the gap between them shrink. Finally, analyzing this new regulatory framework from the viewpoint of the theoretical and numerical results obtained, we conclude that the former oil regime was more appropriate and lucrative to Brazilian government. / O governo brasileiro recentemente aprovou uma legislação instituindo um novo marco regulatório para as reservas petrolíferas do pré-sal. Segundo as novas regras, estas áreas deverão ser licitadas mediante um leilão de partilha de lucro. Motivado por esta mudança, apresentamos um modelo de leilão de partilha sob afiliação, demonstrando a existência de um equilíbrio monótono em estratégias puras e caracterizando a solução. Alem disso, provamos que este mecanismo gera receita esperada maior ou igual a um leilão de primeiro preço usual. Em seguida, introduzimos no modelo uma função representando taxas de royalties que dependem do valor do objeto. Este instrumento permite uma elevação na receita esperada de ambos os modelos, fazendo com que a diferença entre eles encolha. Finalmente, analisando o novo marco regulatório sob o ponto de vista dos resultados obtidos, concluímos que o antigo modelo de concessão utilizado pelo governo brasileiro é mais adequado e lucrativo.

Submitted by Clara Costellini de Souza (costellini@gmail.com) on 2015-11-03T17:33:31Z No. of bitstreams: 1 Tese - Versão Final.pdf: 760259 bytes, checksum: bb2d4e1cccf2563e68c9daf5f0881309 (MD5) / Approved for entry into archive by BRUNA BARROS (bruna.barros@fgv.br) on 2015-11-09T13:33:31Z (GMT) No. of bitstreams: 1 Tese - Versão Final.pdf: 760259 bytes, checksum: bb2d4e1cccf2563e68c9daf5f0881309 (MD5) / Approved for entry into archive by Marcia Bacha (marcia.bacha@fgv.br) on 2015-11-11T18:18:06Z (GMT) No. of bitstreams: 1 Tese - Versão Final.pdf: 760259 bytes, checksum: bb2d4e1cccf2563e68c9daf5f0881309 (MD5) / Made available in DSpace on 2015-11-11T18:18:18Z (GMT). No. of bitstreams: 1 Tese - Versão Final.pdf: 760259 bytes, checksum: bb2d4e1cccf2563e68c9daf5f0881309 (MD5) Previous issue date: 2015-07-02 / In this paper, we study by means of a theoretical approach the Brazilian production sharing regime for oil exploration approved in Law No 12.351. We develop a model for production sharing to capture certain aspects of the Brazilian sharing model as compulsory participation of Petrobras, asymmetric information, and the presence of strategic participants. Using numerical solutions, we discuss the bidders’ strategies and their expected gains. Furthermore, we developed a model with heterogeneous costs to study the local content rules. / Neste trabalho, estudamos o regime de partilha de produção brasileiro, instituí do pela Lei No 12.351, para exploração de petróleo através de uma abordagem te orica. Desenvolvemos um modelo de partilha de produção a fim de capturar algumas características do modelo de partilha brasileiro como, por exemplo, a participação obrigatória da Petrobras, assimetria de informação e a presença de participantes estratégicos. Através de solução numérica, fazemos uma análise das estratégias dos participantes e dos ganhos esperados. Além disso, desenvolvemos um modelo de custos heterogêneos para estudar as regras de conteúdo local.

Submitted by Clara Costellini de Souza (costellini@gmail.com) on 2012-06-27T15:15:54Z No. of bitstreams: 1 Dissertação.pdf: 822818 bytes, checksum: 664b494bc78c1e41c1564b71043274ae (MD5) / Approved for entry into archive by Marcia Bacha (marcia.bacha@fgv.br) on 2012-08-30T12:01:59Z (GMT) No. of bitstreams: 1 Dissertação.pdf: 822818 bytes, checksum: 664b494bc78c1e41c1564b71043274ae (MD5) / Made available in DSpace on 2012-08-30T12:02:21Z (GMT). No. of bitstreams: 1 Dissertação.pdf: 822818 bytes, checksum: 664b494bc78c1e41c1564b71043274ae (MD5) Previous issue date: 2012-06-22 / In this paper, we study by means of a theoretical approach the Brazilian production sharing regime for oil exploration approved in Law No 12.351. Some works in the almost common value auctions literature were also analysed. Furthermore, we develop a model for production sharing with asymmetric information to capture certain aspects of the Brazilian sharing model. Using numerical solutions, we discuss the bidders' strategies and their expected gains. / Neste trabalho, estudamos o regime de partilha de produção brasileiro, instituído pela Lei N$^o$ 12.351, para exploração de petróleo através de uma abordagem teórica. Alguns artigos da literatura de leilões de valor quase comum foram estudados aqui. Além disso, desenvolvemos um modelo de partilha de produção com informação assimétrica a fim de capturar algumas características do modelo de partilha brasileiro. Através de solução numérica, fazemos uma análise das estratégias dos participantes e dos ganhos esperados.

Allocation of objects or resources to competing agents is a ubiquitous problem in the real world. For example, a federal government may wish to allocate different types of spectrum licenses to telecom service providers; a search engine has to assign different sponsored slots to the ads of advertisers; etc. The agents involved in such situations have private preferences over the allocations. The agents, being strategic, may manipulate the allocation procedure to get a favourable allocation. If the objects to be allocated are heterogeneous (rather than homogeneous), the problem becomes quite complex. The allocation problem becomes even more formidable in the presence of a dynamic supply and/or demand. This doctoral work is motivated by such problems involving strategic agents, heterogeneous objects, and dynamic supply and/or demand. In this thesis, we model such problems in a standard game theoretic setting and use mechanism design to propose novel solutions to the problems. We extend the current state-of-the-art in a non-trivial way by solving the following problems: Optimal combinatorial auctions with single minded bidders, generalizing the existing methods to take into account multiple units of heterogeneous objects Multi-armed bandit mechanisms for sponsored search auctions with multiple slots, generalizing the current methods that only consider a single slot. Strategyproof redistribution mechanisms for heterogeneous objects, expanding the scope of the current state of practice beyond homogeneous objects Online allocation mechanisms without money for one-sided and two-sided matching markets, extending the existing methods for static settings.

This thesis outlines the creation of a secure, real time, system independent, Internet based auctioning application. The system has been developed to meet the needs of today's stringent reqUirements on secure Internet based applications. To attain this goal, the latest cryptographic algorithms and development platforms have been used. The result is a JAVA based server and client auctioning application. The client application is designed to run In any common web browser, and the server to execute on any JAVA enabled operating system with a web server and Internet connection. The real time system uses a relatively secure hybrid cryptosystem for communication. This involves the use of RSA for secure key exchange, and RC6 and MARS for secure communication. / Thesis (M.Sc.)-University of Natal,Durban, 2000.

[pt] Com o novo modelo do setor elétrico implantado no início desta década, vários desafios foram impostos aos agentes dessa área. Para os agentes de distribuição, o modelo implica em procurar otimizar processos, sempre mantendo certo nível de qualidade dos serviços, monitorado pelo agente regulador. Uma das obrigações das distribuidoras é a contratação adequada de energia para fornecimento de seus clientes considerando períodos futuros. O presente trabalho tem por objetivo desenvolver uma estratégia de apoio às decisões de uma distribuidora de energia para a contratação em leilões de energia elétrica. O método contempla uma etapa de previsão de consumo de energia num horizonte de cinco anos, e a partir dos valores estimados e de outros componentes formadores dos custos de contratação, como o Valor de Referência Anual e o Preço de Liquidação de Diferenças, realiza simulações de cenários, que visam propiciar uma otimização na formação da carteira de contratos. Ao final são definidos os percentuais ótimos de contratação, que garantam o atendimento completo ao mercado cativo da distribuidora, e que minimizam os riscos de aplicações de penalidades por sub ou sobrecontratação. / [en] The implementation of the new model for the electrical sector in Brazil resulted in big challenges to the agents involves in this market. For the distributing utilities agents, in particular, the model somehow requires an optimization of all their processes but, at the same time, keeping the quality of the services supplied to their clients within the level stated by the regulator. Among these challenges, the distributing utilities, within the new model, have to perform the correct acquisition of energy from the supply utilities for future periods (up to 5 years ahead). This thesis aims to provide tools to help a distributing utility on the decision of energy acquisition on the electrical energy auctions. The approach includes a stage of energy consumption forecasts up to 5 - years - ahead and simulation stage where the demand forecasts and the energy prices series are the random variables implemented in a simulation scheme that generates possible energy acquisition scenarios. At the end, the optimal energy acquisition are obtained in such a way that the captive utility is fully contracted for the next five years where the utility penalties for under or over acquisition are minimized.

Esta tese apresenta os resultados de pesquisa sobre geração de séries sintéticas de radiação solar para estudos energéticos, realizada através do uso de modelos estocásticos e com o propósito de desenvolver método para aplicações práticas no setor elétrico. Para tanto, inicialmente foi levantado o estado da arte do tema, com revisão da literatura de séries temporais e de processos estocásticos, suas particularidades e potencialidades, complementado pela contextualização do uso de cenários no setor elétrico nacional, especialmente na operação e planejamento do sistema hidrotérmico, e por experiências internacionais na modelagem do recurso solar. A modelagem das séries utilizou dados reais de localidades do nordeste brasileiro e foi desenvolvida através do método de Box-Jenkins, realizando-se estudos de alternativas para cada uma de suas etapas. O pré-tratamento dos dados foi avaliado por três estratégias de remoção da tendência das séries e na estimativa dos coeficientes dos modelos foram comparados os métodos de Yule-Walker e dos mínimos quadrados. As análises consideraram quatro opções de modelos autorregressivos e os períodos horário, diário e mensal. O modelo autorregressivo convencional com intervalo mensal, identificado como o mais adequado para aplicação em estudos energéticos, e sua variação periódica foram implementados e avaliados com maior profundidade. Este estudo complementar considerou diferentes ordens de atraso e realizou comparações dos resultados por três métodos de cálculo do erro. O modelo desenvolvido com estrutura autorregressiva periódica de primeira ordem apresentou resultados satisfatórios e significativamente superiores aos dos demais modelos. Por fim, este modelo foi empregado na geração de séries sintéticas, criando 1.000 cenários de radiação solar mensal, posteriormente aplicados em modelo de contrato de venda de energia para avaliação de estratégias de participação em leilões, em análise de riscos de suprimento e em estimativa probabilística da receita esperada por parques geradores. / This thesis presents the results of a research on the generation of solar radiation synthetic sequences for energy studies, carried out through the use of stochastic models and with the purpose of developing a method for practical applications in the electric sector. In order to do so, the state of the art was devised through a review of the literature of time series and stochastic processes, their particularities and potentialities, complemented by the contextualization of the use of scenarios in the national electricity sector, especially in the hydrothermal system operation and planning, and international experiences in modeling the solar resource. The series modeling used real data from localities in the Brazilian Northeast and was developed through the Box-Jenkins method, carrying out alternative studies for each of its stages. The data pretreatment has been evaluated by three strategies for the series trend removal and by the methods of least squares and of Yule-Walker for the estimation of the model coefficients. The analysis considered four options of autoregressive models and hourly, daily and monthly periods. The conventional autoregressive model with monthly interval, identified as the most applications in energy studies, and its periodic variation were implemented and evaluated in greater depth. This complementary study considered different orders of delay and made comparisons of the results for three error calculation methods. The model developed with periodic autoregressive structure of first order presented results that are satisfactory and significantly superior than the other models. Finally, this model was used in the generation of synthetic series, creating 1,000 scenarios of monthly solar radiation, to be later applied in a model of power purchase agreement to evaluate strategies for auctions bidding, analysis of supply risks and probabilistic estimation of the expected revenue of power plants.