La problématique de cette thèse porte sur les impacts du marché de capacité français sur le déploiement des énergies renouvelables en présence d'incertitude. Ce marché est mis en place en France dans le but de couvrir les fortes pointes de consommation électrique. Il demande aux fournisseurs d’assurer la consommation de leurs clients lors de ces pointes en achetant des garanties auprès des producteurs d’électricité. Ce mécanisme rémunère la capacité disponible durant les périodes de tension entre offre et demande, et sa valorisation dépend de sa contribution à la sécurité d’approvisionnement. Du fait de leur nature intermittente, la rémunération des énergies renouvelables est plus incertaine que pour les autres moyens de production électrique. Cette thèse étudie l'adéquation entre un objectif de sécurité d'approvisionnement et un objectif de déploiement des énergies renouvelables, deux visées du gouvernement français. / The problematic of this thesis focuses on the impacts of the French capacity marketon the deployment of renewable energies in the presence of uncertainty. This marketis set up in France in order to cover high peaks in electricity consumption. It asks suppliers to ensure the consumption of their customers at these peaks by buying guarantees from electricity producers. This mechanism compensates for theavailable capacity during periods of tension between supply and demand, and itsvaluation depends on its contribution to security of supply. Due to their intermittent nature, the remuneration of renewable energies is more uncertain than for other means of electricity production. This thesis studies the adequacy between a goal of security of supply and a goal of deployment of renewable energies, two aims of the French government.

The introduction of a liberalised electricity market has brought a new challenge to generating companies as well as system regulators. Under this more competitive environment, generating companies are exposed to various risks that might compromise their investment return. Moreover, the various risks in the market affect each type of generation technology in a different way; hence influence the technology choice. Furthermore, it is not yet clear whether the investment cycles in a liberalised electricity market will take place in an orderly fashion or whether 'boom and bust' cycles may arise. As a consequence various market designs, investment incentives and policies have been implemented by system regulators to try to ensure the security of supply. Investment decisions under a market with incentive mechanism are even more complicated to model because the generating company needs to forecast the revenue that the new investment will make from both the energy market and the mechanism. This thesis develops some models that could be used by system regulators to study the performance of market designs and by generating companies to assess a new investment under a liberalised electricity market. Three main models have been developed to serve these purposes. A generation expansion model has been developed using Agent-based modelling approach. In this model each generating company makes investment decision taking into account their competitors' investment strategies and the interactions between them. Several incentive mechanisms are also modelled to study their impacts on the generating companies' investment decision and the dynamic of the investments. A more comprehensive investment framework for a generating company to evaluate an investment in a new power plant has also been developed. The framework consists of two stages: 1) it first models the expected future investments and retirements from all the companies in the market and 2) then calculates the market prices and revenues of the new investment against the future system expansion obtained in the first stage. Two investment models have been developed using this framework. The first model is a probabilistic valuation model to assess investment considering risks and uncertainties. The second model is developed to evaluate investment in an oligopoly electricity market taking into account various risk characteristics of different technologies. The investment framework for a generating company to evaluate an investment is also extended so that the generating company can evaluate investments in a market with an incentive mechanism.

Participating in the ancillary services market, alongside the day-ahead market, can be economically beneficial for market actors. However, adopting an optimal bidding strategy is not straight forward. The decision-making process is subject to uncertainty, due to the prices being unknown before gate closure times. Furthermore, at some instances, the day-ahead production schedule might have to change to obtain the ability of reserving capacity. Previous research have studied the gains of adopting a coordinated bidding strategy. However, most of this research focus on the day-ahead market and the intraday market. Less focus it put on the ancillary services market. Additionally, smaller case studies are often carried out in previous research. For producers owning multiple power plants, treating every plant individually turns into a time consuming and complex process. This project constructs a model that instead uses a top-down approach. A system of hydropower plants is aggregated into one curve, representing the water valuation. This, together with a representation of available capacity for the system, gives the cost of delivering capacity. The cost is incurred through not producing optimally on the day-ahead market. Thereafter, modern portfolio theory is applied when determining how to allocate between the different products. Modifications to the traditional theory are made in order to better suit this context. Price forecasts are modelled as expected return, and historical price forecasting errors represents the risk. The model output is bid ladders for all capacity ancillary services. A top-down approach makes it possible for large scale producers to adopt the methodology, and results in a structured way of constructing the bids, while aiming at spreading the risk.

The push for clean energy has caused a rapid growth of renewables in the electricity supply mix of the EU. Although one would assume that the impact of these technologies is entirely positive, recent research and experience indicate that there is reason for concern namely regarding the security of supply. In this context, the concern is how renewable energy sources (RES) affect the business case of conventional power generation. In response to this concern, capacity mechanisms are being considered or have already been implemented by various member states of the EU. However, in a highly interconnected electricity system, such as the one in Europe, there appears to be a risk that the uncoordinated implementation of capacity mechanisms may cause unintended cross-border effects. This research explored the performance of various capacity mechanisms in an electricity system with a strong growth in the portfolio share of variable renewable energy sources (RES). The cross-border effects of implementing various capacity mechanisms in an interconnected power system were also analyzed. In this research, two capacity mechanisms, namely a strategic reserve and a capacity market, were modeled as extensions to the EMLab-Generation agent-based model. Furthermore, two variations of a capacity market were analyzed. The first was a yearly capacity market design and the second was a forward capacity market with long term contracts. A survey of experts on the US capacity markets supplemented the modeling work with practical insights. / <p>QC 20161006</p><p>The Doctoral Degrees issued upon completion of the programme are issued by Comillas Pontifical University, Delft University of Technology and KTH Royal Institute of Technology. The invested degrees are official in Spain, the Netherlands and Sweden, respectively.</p><p>copyright (c) 2016 P. C. Bhagwat</p>

Desde 2012, o sistema elétrico brasileiro tem passado por crise estrutural e regulatória que culminou no substancial aumento da tarifa. Em virtude dos baixos índices de pluviosidade e da adoção de medidas políticas não precedidas de efetivo planejamento, o sistema elétrico brasileiro, de predominância hidrelétrica, atua no seu limite. As usinas térmicas, que produzem energia cara e poluente, têm sido acionadas a fim de possibilitar a retomada das reservas hídricas, sem sucesso. Embora o marco regulatório vigente, baseado nas Leis n. 10.847 e 10.848/2004, tenha instituído mecanismos para a diversificação da matriz elétrica e para a participação da iniciativa privada em ambiente concorrencial, com a fragmentação dos segmentos do setor, a sua observação prática, treze anos depois, revela que os grandes ativos geradores de energia continuam entregues ao controle estatal e, com isso, submetidos a medidas políticas e regulatórias que afastam o investimento privado. Por meio de consulta à bibliografia especializada e às atuações da Agência Nacional de Energia Elétrica (ANEEL), do Ministério de Minas e Energia (MME) e do Tribunal de Contas da União (TCU), este trabalho analisa os efeitos que se sucederam desde a edição da Medida Provisória n. 579/2012, posteriormente convertida na Lei n. 12.783/2013, passando por demais atos normativos no mesmo período até a Consulta Pública n. 33, empreendida pelo MME com vistas ao aprimoramento do marco regulatório do setor, com foco no estudo da geração de energia elétrica, na atração da participação da iniciativa privada, na criação de mecanismos para o financiamento de novos empreendimentos e no desenvolvimento de mercado que possa remunerar a disponibilidade dos geradores e, com isso, garantir o suprimento de forma adequada e promover a diversificação da matriz hidrotérmica com a inclusão de novas fontes renováveis. / The brazilian electricity system has undergone a structural and regulatory crisis started at 2012, which caused a substantial tariff increase. Due to the low rainfall rates and the adoption of political policies that were not preceded by effective planning, the brazilian hydropower system operates currently at its limit. The thermal plants, which generate expensive and polluting energy, have been activated to enable the resumption of water reserves, but had no success until now. Although the current regulatory framework, built on Laws n. 10.847 and n. 10.848/2004, had instituted mechanisms for the diversification of the electricity matrix and to attract private investment in a competitive environment, which became possible by the unbundling of the sector, its practical observation, thirteen years later, reveals that the large power generators remain under state control and, therefore, submitted to political and regulatory policies that deviate private investment Through the study of the specialized bibliography and the actions provided by the National Electricity Agency (Agência Nacional de Energia Elétrica – ANEEL), the Ministry of Mines and Energy (Ministério de Minas e Energia – MME) and the Audit Court of the Union (Tribunal de Contas da União – TCU), this dissertation analyzes the effects that have taken place after the presidential Provisional Measure (Medida Provisória) n. 579/2012, later converted into Law n. 12.783/2013, and other normative acts in the same period until the Public Consultation n. 33 (Consulta Pública n. 33), undertaken by MME in order to improve the sector's regulatory framework, focusing on the study of electric power generation, attracting private initiative, creating mechanisms for financing new ventures and the development of a capacity market that would make possible to guarantee the adequate supply and support the diversification of the hydrothermal matrix with the inclusion of new renewable sources.

Desde 2012, o sistema elétrico brasileiro tem passado por crise estrutural e regulatória que culminou no substancial aumento da tarifa. Em virtude dos baixos índices de pluviosidade e da adoção de medidas políticas não precedidas de efetivo planejamento, o sistema elétrico brasileiro, de predominância hidrelétrica, atua no seu limite. As usinas térmicas, que produzem energia cara e poluente, têm sido acionadas a fim de possibilitar a retomada das reservas hídricas, sem sucesso. Embora o marco regulatório vigente, baseado nas Leis n. 10.847 e 10.848/2004, tenha instituído mecanismos para a diversificação da matriz elétrica e para a participação da iniciativa privada em ambiente concorrencial, com a fragmentação dos segmentos do setor, a sua observação prática, treze anos depois, revela que os grandes ativos geradores de energia continuam entregues ao controle estatal e, com isso, submetidos a medidas políticas e regulatórias que afastam o investimento privado. Por meio de consulta à bibliografia especializada e às atuações da Agência Nacional de Energia Elétrica (ANEEL), do Ministério de Minas e Energia (MME) e do Tribunal de Contas da União (TCU), este trabalho analisa os efeitos que se sucederam desde a edição da Medida Provisória n. 579/2012, posteriormente convertida na Lei n. 12.783/2013, passando por demais atos normativos no mesmo período até a Consulta Pública n. 33, empreendida pelo MME com vistas ao aprimoramento do marco regulatório do setor, com foco no estudo da geração de energia elétrica, na atração da participação da iniciativa privada, na criação de mecanismos para o financiamento de novos empreendimentos e no desenvolvimento de mercado que possa remunerar a disponibilidade dos geradores e, com isso, garantir o suprimento de forma adequada e promover a diversificação da matriz hidrotérmica com a inclusão de novas fontes renováveis. / The brazilian electricity system has undergone a structural and regulatory crisis started at 2012, which caused a substantial tariff increase. Due to the low rainfall rates and the adoption of political policies that were not preceded by effective planning, the brazilian hydropower system operates currently at its limit. The thermal plants, which generate expensive and polluting energy, have been activated to enable the resumption of water reserves, but had no success until now. Although the current regulatory framework, built on Laws n. 10.847 and n. 10.848/2004, had instituted mechanisms for the diversification of the electricity matrix and to attract private investment in a competitive environment, which became possible by the unbundling of the sector, its practical observation, thirteen years later, reveals that the large power generators remain under state control and, therefore, submitted to political and regulatory policies that deviate private investment Through the study of the specialized bibliography and the actions provided by the National Electricity Agency (Agência Nacional de Energia Elétrica – ANEEL), the Ministry of Mines and Energy (Ministério de Minas e Energia – MME) and the Audit Court of the Union (Tribunal de Contas da União – TCU), this dissertation analyzes the effects that have taken place after the presidential Provisional Measure (Medida Provisória) n. 579/2012, later converted into Law n. 12.783/2013, and other normative acts in the same period until the Public Consultation n. 33 (Consulta Pública n. 33), undertaken by MME in order to improve the sector's regulatory framework, focusing on the study of electric power generation, attracting private initiative, creating mechanisms for financing new ventures and the development of a capacity market that would make possible to guarantee the adequate supply and support the diversification of the hydrothermal matrix with the inclusion of new renewable sources.

Desde 2012, o sistema elétrico brasileiro tem passado por crise estrutural e regulatória que culminou no substancial aumento da tarifa. Em virtude dos baixos índices de pluviosidade e da adoção de medidas políticas não precedidas de efetivo planejamento, o sistema elétrico brasileiro, de predominância hidrelétrica, atua no seu limite. As usinas térmicas, que produzem energia cara e poluente, têm sido acionadas a fim de possibilitar a retomada das reservas hídricas, sem sucesso. Embora o marco regulatório vigente, baseado nas Leis n. 10.847 e 10.848/2004, tenha instituído mecanismos para a diversificação da matriz elétrica e para a participação da iniciativa privada em ambiente concorrencial, com a fragmentação dos segmentos do setor, a sua observação prática, treze anos depois, revela que os grandes ativos geradores de energia continuam entregues ao controle estatal e, com isso, submetidos a medidas políticas e regulatórias que afastam o investimento privado. Por meio de consulta à bibliografia especializada e às atuações da Agência Nacional de Energia Elétrica (ANEEL), do Ministério de Minas e Energia (MME) e do Tribunal de Contas da União (TCU), este trabalho analisa os efeitos que se sucederam desde a edição da Medida Provisória n. 579/2012, posteriormente convertida na Lei n. 12.783/2013, passando por demais atos normativos no mesmo período até a Consulta Pública n. 33, empreendida pelo MME com vistas ao aprimoramento do marco regulatório do setor, com foco no estudo da geração de energia elétrica, na atração da participação da iniciativa privada, na criação de mecanismos para o financiamento de novos empreendimentos e no desenvolvimento de mercado que possa remunerar a disponibilidade dos geradores e, com isso, garantir o suprimento de forma adequada e promover a diversificação da matriz hidrotérmica com a inclusão de novas fontes renováveis. / The brazilian electricity system has undergone a structural and regulatory crisis started at 2012, which caused a substantial tariff increase. Due to the low rainfall rates and the adoption of political policies that were not preceded by effective planning, the brazilian hydropower system operates currently at its limit. The thermal plants, which generate expensive and polluting energy, have been activated to enable the resumption of water reserves, but had no success until now. Although the current regulatory framework, built on Laws n. 10.847 and n. 10.848/2004, had instituted mechanisms for the diversification of the electricity matrix and to attract private investment in a competitive environment, which became possible by the unbundling of the sector, its practical observation, thirteen years later, reveals that the large power generators remain under state control and, therefore, submitted to political and regulatory policies that deviate private investment Through the study of the specialized bibliography and the actions provided by the National Electricity Agency (Agência Nacional de Energia Elétrica – ANEEL), the Ministry of Mines and Energy (Ministério de Minas e Energia – MME) and the Audit Court of the Union (Tribunal de Contas da União – TCU), this dissertation analyzes the effects that have taken place after the presidential Provisional Measure (Medida Provisória) n. 579/2012, later converted into Law n. 12.783/2013, and other normative acts in the same period until the Public Consultation n. 33 (Consulta Pública n. 33), undertaken by MME in order to improve the sector's regulatory framework, focusing on the study of electric power generation, attracting private initiative, creating mechanisms for financing new ventures and the development of a capacity market that would make possible to guarantee the adequate supply and support the diversification of the hydrothermal matrix with the inclusion of new renewable sources.

Most modern electricity markets do not guarantee that generation is reliable and sufficient to provide all consumer’s electricity needs at all times. This is due to design-flaws and regulatory intervention. During the coming decades, increased electricity demand and decarbonization trends will affect the electricity market greatly. As the share of wind and solar power increases in the generation mix, the inertia in the power system is expected to decrease. This can potentially increase the systems exposure to blackout risk. Therefore, it is important to ensure that electricity is traded in a way that ensures enough supply even during scarcity events. The study aims to compare six different capacity market designs that are widely discussed in the scientific literature. Furthermore, this study uses MATLAB to simulate how the utility for the strategic reserve in Sweden has changed over the past few years. The study finds no ideal capacity market design but concludes that different solutions come with their own advantages and trade-offs. The simulation results show that the utility of the strategic reserve in Sweden has increased during the last few years. Additionally, the simulation results suggest that demand for the strategic result varies on a daily time frame. / De flesta moderna elmarknader kan inte garantera pålitlig och tillräcklig produktion för att tillgodose konsumenters elbehov under alla tillfällen. Detta har att göra med brister i designen av elnätet och regleringar. Under de kommande decennierna kommer trender inom avkarbonisering att ha stor inverkan på elmarknaden. Med en ökande andel vind och solkraft som kraftproduktionsslag förväntas trögheten i kraftsystemet att minska. Detta kan potentiellt höja systemets utsatthet för strömavbrott. Därför är det viktigt att el handlas på ett sätt som försäkrar tillräcklig elförsörjning även under fall då produktionen är begränsad. Med målet att jämföra sex olika designer av kapacitetsmarknader som är etablerade i tidigare forskningsstudier. Vidare använder denna studie MATLAB för att simulera hur behovet av effektreserven i Sverige har ändrats under de senaste åren. Studien finner ingen ideal design för en kapacitetsmarknad, men fastställer att olika lösningar har sina egna fördelar och avvägningar. Studien finner vidare att behovet av effektreserven har ökat under de senaste åren. Dessutom indikerar simuleringsresultaten att behovet av effektreserven varierar med elbehovet under dag. / Kandidatexjobb i elektroteknik 2022, KTH, Stockholm

The Texas ERCOT market is one of the most open, deregulated electricity markets in the world. This open market brought electricity costs down for Texas residents and businesses, creating a much more competitive economic climate. However, these low prices currently generate insufficient revenue for generators to finance construction of new or replacement generation assets. In the instance of combined cycle advanced natural gas, the Independent Market Monitor 2012 annual report estimated that a plant needed to generate 2.5 times as much as revenue it did in 2012 to incent new generation. This author argues that while the gap is still significant, the continuous changes to the ERCOT market since its inception make an historical examination like that used by the IMM less accurate. New market rules such as price caps or changes in fuel markets through new technologies like hydraulic fracturing create a very different valuation gap than a model based on historical activity alone. This analysis attempts to get a more accurate approximation of the gap through the use of publicly traded futures contracts for natural gas and electricity. Electricity futures reflect market expectations of revenue based on current and future market rules. Gas futures reflect price expectations in light of market changes like fracturing, potential LNG exports, and other changes. Financial positions can be maintained in both markets to give a fixed rate of return. Using this method, one can create a very conservative valuation model that still more accurately reflects market sentiment. This thesis starts with a brief history of ERCOT deregulation from the early 2000s to present in order to clarify for the reader the changes that have taken place in the market. It then demonstrates the futures-valuation model using an advanced combined cycle power plant as an example. / text

O atual desenho de mercado do Setor Elétrico Brasileiro (SEB) está apresentando uma série de problemas em seu funcionamento, destacando: (i) sustentabilidade econômica e financeira; (ii) sinal de preços; e (iii) complexidade técnica e regulatória. Esta combinação de problemas diminui a eficiência econômica e resulta em um ambiente de negócios inadequado e que não permite a correta alocação de custos e riscos. Todavia, apesar dos problemas apontados destaca-se que entre as ferramentas do SEB estão os Leilões de Energia, os quais são internacionalmente reconhecidos como eficazes na atração de investimentos e na segurança do suprimento. Assim, visando solucionar os problemas identificados no SEB, este estudo tem como objetivo propor um novo desenho de mercado de energia elétrica no Brasil com a utilização de leilões como principal elemento alocativo, introduzindo elementos que aprimorem a contratação de energia elétrica e a operação do SIN. Como um segundo objetivo, apresenta-se os fundamentos teóricos de leilões e de desenho de mercados de energia elétrica, visando uma base sólida e consistente nas proposições, a qual faça sentido para aqueles que desejam analisar e avançar sobre o tema. O novo desenho de mercado proposto considera a criação de um Mercado de Capacidade segregado do Mercado de Energia e a separação da parcela fio e comercialização da Distribuidora, sendo que a comercialização seria caracterizada como uma Loading Service Entity (LSE). A criação do Mercado de Capacidade manteria a liberdade da política energética e resolveria a questão da segurança do suprimento do SIN, sendo que isto combinado com a criação das LSEs permitiria a liberalização de 100% dos consumidores no Mercado de Energia. A operação do SIN também sofreria alteração, migrando do atual modelo de tight pool para um modelo de loose pool, no qual se estabelecem leilões competitivos para a operação do SIN. Um ponto crítico para o sucesso do novo desenho de mercado é o período de transição, e considerando a complexidade do SEB recomenda-se que este processo seja organizado e com previsibilidade de ações, para qual estima-se um período de 72 meses. Ao final, o novo desenho de mercado do SEB busca a eficiência econômica e a correta alocação de riscos, com um ambiente de negócios mais organizado e que esteja em condições de igualdade com os mercados de energia elétrica mais desenvolvidos. / The current Brazilian market design of electricity sector (SEB) is showing many problems, and I point out three severe ones: (i) Economic and financial sustainability; (ii) Poor price signal; (iii) Technical and regulatory complexity. These three problems combined diminish the allocative efficiency and create an unfriendly business environment, which distorts the cost and risk allocation. Brazil has a strong tradition in electricity auctions, highlighting those auctions are internationally recognized as an effective tool in attracting new investments and assuring supply adequacy. Therefore, the primary goal of this study is to present a new Brazilian electricity market design that uses auctions as the main allocative mechanism, including the introduction of features that improve the efficiency of the system and grid operations, as well. The second goal is to organize and present the auction and market design theory in Portuguese, providing a reference to others that want to research and study the theme. The proposal of a new market design splits the Capacity from Energy, and Grid Services from Commercialization in Distributors\' market, observing that the Distributors Commercialization part would be allocated in a Loading Service Entity (LSE). The creation of a Capacity Market would keep the energy policy room and address the supply adequacy concern, and this market combined with LSEs would allow the liberalization of all consumers to choose their suppliers. The Grid Operation also would be modified from a tight pool model to a loose pool model, and the new model would include auctions as the main allocation mechanism. One critical point to the success of a new Brazilian market design is the transition process; especially due to the complexity of SEB this study proposes a 72-month transition process. In the end, the new Brazilian market design will seek for more economic efficiency and a correct risk allocation, creating a better-organized business environment on par with conditions in more advanced electricity markets.