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

According to the “Draft development plan for meeting the current and future electricity demandfor 2023-2032” developed by the Polish Transmission System Operator PSE, the most appropriate solution is to significantly expand the possibilities of energy storage, due to its role as a factor improving the power balancing with the increase of wind farms and photovoltaic (PV) sources. Poland has changed the rules governing the energy industry to encourage energy storage. Few barriers have already been eliminated like double charging of transmission fees, but there is still a big novelty to come and that is the reform of the balancing market. With the introduction of this change many more revenue streams should be available that are already present in other EU countries. The objective of this thesis is to provide a high-level overview of the Polish electricity market, identification of existing legal barriers, assessing the role of battery energy storage systems (BESSs) participating in distinct applications, and evaluating a possible business case considering a foreseeable market evolution. The scope of the study is limited to only one storage option Li-Ion standalone project of 10MW/40MWh at HV Point of Connection. In literature review, there does not seem to be a study on storage in the context of Poland. Hence, identifying the research gaps, an analysis of standalone storage system for grid applications in Poland is performed. In this study the NPV, IRR and PP for different scenarios of available revenue streams is determined to compare current and future business models for techno-economic feasibility for BESS in the context of Poland. Results of the study are as following. In the future scenario under the assumed dispatch strategy and participation in CM, FCR, aFRR availability markets as well as aFRR energy market and wholesale arbitrage, the overall project IRR is around 18% with a payback time of around 5 years. Provided the number of new accessible revenue streams BESS can present a strong business case in Poland.

Dans cette thèse, je me suis interessé a deux aspects de la gestion de portefeuille : la maximisation de l'utilité e d'un portefeuille financier lorsque on impose une contrainte sur l'exposition au risque, et la couverture quadratique en marché incomplet. Part I. Dans la première partie, j' étudie un problème d'assurance de portefeuille du point de vue du manager d'un fond d'investissement, qui veut structurer un produit financier pour les investisseurs du fond avec une garantie sur la valeur du portefeuille a la maturité . Si, a la maturité, la valeur du portefeuille est au dessous d'un seuil x e, l'investisseur sera remboursé a la hauteur de ce seuil par une troisième partie, qui joue le rôle d'assureur du fond (on peut imaginer que le fond appartient à une banque et que donc c'est la banque elle même qui joue le rôle d'assureur). En échange de cette assurance, la troisième partie impose une contrainte sur l'exposition au risque que le manager du fond peut tolérer, mesurée avec une mesure de risque monétaire convexe. Je donne la solution complet e de ce problème de maximisation non convexe en marché complet et je prouve que le choix de la mesure de risque est un point crucial pour avoir existence d'un portefeuille optimal. J'applique donc mes résultats lorsque on utilise la mesure de risque entropique (pour laquelle le portefeuille optimal existe toujours), les mesures de risque spectrales (pour lesquelles le portefeuille optimal peut ne pas exister dans certains cas) et la G-divergence. Mots-cl es : Assurance de portefeuille ; maximisation d'utilité ; mesure de risque convexe ; VaR, CVaR et mesure de risque spectrale ; entropie et G-divergence. Part II. Dans la deuxième partie, je m'intéresse au problème de couverture quadratique en marché incomplet. J'assume que le marché est d écrit par un processus Markovien tridimensionnel avec sauts. La premi ère variable d' état décrit l'actif - financier, échangeable sur le marché, qui sert comme instrument de couverture ; la deuxième variable d' état modélise un actif financier que intervient dans la dynamique de l'instrument de couverture mais qui n'est pas échangeable sur le march é : il peut donc être vu comme un facteur de volatilité de l'instrument de couverture, ou comme un actif financier que l'on ne peut pas acheter (pour de raisons légales par exemple) ; la troisième et dernière variable d' état représente une source externe de risque qui affecte l'option Européenne qu'on veut couvrir, et qui, elle aussi, n'est pas échangeable sur le marché. Pour résoudre le problème j'utilise l'approche de la programmation dynamique, qui me permet d' écrire l' équation de Hamilton-Jacobi- Bellman associé e au problème de couverture quadratique, qui est non locale en non linéaire. Je prouve que la fonction valeur associée au problème de couverture quadratique peut être caractérisée par un système de trois équations integro- différentielles aux dérivées partielles, dont l'une est semilinéaire et ne dépends pas du choix de l'option a couvrir, et les deux autres sont simplement linéaires , et que ce système a une unique solution r régulière dans un espace de Hölder approprié, qui me permet donc de caractériser la stratégie de couverture optimale . Ce résultat est démontré lorsque le processus est non dégénéré (c'est a dire que la composante Brownienne est strictement elliptique) et lorsque le processus est a sauts purs. Je conclus avec une application de mes résultats dans le cadre du marché de l' électricité. Mots-cl es : Couverture quadratique ; modèle a sauts ; programmation dynamique ; équation de Hamilton-Jacobi-Bellman ; équations aux dérivées partielles integro-différentielles.

Recently, the widespread use of power system controllers, such as PSS and FACTS controllers, has led to the analysis of their effect on the overall stability of power systems. Many studies have been conducted to allocate FACTS controllers so that they achieve optimal power flow conditions in the context of Optimal Power Flow (OPF) analysis. However, these studies usually do not examine the effect of these controllers on the voltage and angle stability of the entire system, considering that the types of these controllers and their control signals, such as reactive power, current, or voltage, have significant effect on the entire system stability. <br /><br /> Due to the recent transition from government controlled to deregulated electricity markets, the relationship between power system controllers and electricity markets has added a new dimension, as the effect of these controllers on the overall power system stability has to be seen from an economic point of view. Studying the effect of adding and tuning these controllers on the pricing of electricity within the context of electricity markets is a significant and novel research area. Specifically, the link among stability, FACTS controllers and electricity pricing should be appropriately studied and modelled. <br /><br /> Consequently, in this thesis, the focus is on proposing and describing of a novel OPF technique which includes a new stability constraint. This technique is compared with respect to existent OPF techniques, demonstrating that it provides an appropriate modelling of system controllers, and thus a better understanding of their effects on system stability and energy pricing. The proposed OPF technique offers a new methodology for pricing the dynamic services provided by the system's controllers. Moreover, the new OPF technique can be used to develop a novel tuning methodology for PSS and FACTS controllers to optimize power dispatch and price levels, as guaranteeing an adequate level of system security. All tests and comparisons are illustrated using 3-bus and 14-bus benchmark systems.

Recently, the widespread use of power system controllers, such as PSS and FACTS controllers, has led to the analysis of their effect on the overall stability of power systems. Many studies have been conducted to allocate FACTS controllers so that they achieve optimal power flow conditions in the context of Optimal Power Flow (OPF) analysis. However, these studies usually do not examine the effect of these controllers on the voltage and angle stability of the entire system, considering that the types of these controllers and their control signals, such as reactive power, current, or voltage, have significant effect on the entire system stability. <br /><br /> Due to the recent transition from government controlled to deregulated electricity markets, the relationship between power system controllers and electricity markets has added a new dimension, as the effect of these controllers on the overall power system stability has to be seen from an economic point of view. Studying the effect of adding and tuning these controllers on the pricing of electricity within the context of electricity markets is a significant and novel research area. Specifically, the link among stability, FACTS controllers and electricity pricing should be appropriately studied and modelled. <br /><br /> Consequently, in this thesis, the focus is on proposing and describing of a novel OPF technique which includes a new stability constraint. This technique is compared with respect to existent OPF techniques, demonstrating that it provides an appropriate modelling of system controllers, and thus a better understanding of their effects on system stability and energy pricing. The proposed OPF technique offers a new methodology for pricing the dynamic services provided by the system's controllers. Moreover, the new OPF technique can be used to develop a novel tuning methodology for PSS and FACTS controllers to optimize power dispatch and price levels, as guaranteeing an adequate level of system security. All tests and comparisons are illustrated using 3-bus and 14-bus benchmark systems.

This thesis proposes equilibrium models to link the wholesale and retail electricity markets which allow for reconciliation of the differing time scales of responses of producers (e.g., hourly) and consumers (e.g., monthly) to changing prices. Electricity market equilibrium models with time of use (TOU) pricing scheme are formulated as large-scale variational inequality (VI) problems, a unified and concise approach for modeling the equilibrium. The demand response is dynamic in these models through a dependence on the lagged demand. Different market structures are examined within this context. With an illustrative example, the welfare gains/losses are analyzed after an implementation of TOU pricing scheme over the single pricing scheme. An approximation of the welfare change for this analysis is also presented. Moreover, break-up of a large supplier into smaller parts is investigated. For the illustrative examples presented in the dissertation, overall welfare gains for consumers and lower prices closer to the levels of perfect competition can be realized when the retail pricing scheme is changed from single pricing to TOU pricing. These models can be useful policy tools for regulatory bodies i) to forecast future retail prices (TOU or single prices), ii) to examine the market power exerted by suppliers and iii) to measure welfare gains/losses with different retail pricing schemes (e.g., single versus TOU pricing). With the inclusion of linearized DC network constraints into these models, the problem size grows considerably. Dantzig-Wolfe (DW) decomposition algorithm for VI problems is used to alleviate the computational burden and it also facilitates model management and maintenance. Modification of the DW decomposition algorithm and approximation of the DW master problem significantly improve the computational effort required to find the equilibrium. These algorithms are applied to a two-region energy model for Canada and a realistic Ontario electricity test system. In addition to empirical analysis, theoretical results for the convergence properties of the master problem approximation are presented for DW decomposition of VI problems.

Strategic behaviors in electricity markets are analyzed. Three related topics are investigated. The first topic is a research about the NE search algorithm for complex non-cooperative games in electricity markets with transmission constraints. Hybrid co-evolutionary programming is suggested and simulated for complex examples. The second topic is an analysis about the competing pricing mechanisms of uniform and pay-as-bid pricing in an electricity market. We prove that for a two-player static game the Nash Equilibrium under pay-as-bid pricing will yield less total revenue in expectation than under uniform pricing when demand is inelastic. The third topic is to address a market power mitigation issue of the current Texas electricity market by limiting Transmission Congestion Right (TCR) ownership. The strategic coordination of inter zonal scheduling and balancing market manipulation is analyzed. A market power measurement algorithm useful to determine the proper level of TCR ownership limitation is suggested. / text

This thesis centres on issues of economic efficiency originating from the large-scale development of intermittent renewable energy sources (RES) in Europe. The flexible resources that are necessary to cope with their specificities (variability, low-predictability, site specificity) are already known, but adequate signals are required to foster efficient operation and investment in these resources. A first question is to what extent intermittent RES can remain out of the market at times when they are the main driver of investment and operation in power systems. A second question is whether the current market design is adapted to their specificities. These two questions are tackled in four distinct contributions.The first chapter is a critical literature review. This analysis introduces and confronts two (often implicit) paradigms for RES integration. It then identifies and discusses a set of evolutions required to develop a market design adapted to the large-scale development of RES, such as new definitions of the products exchanged and reorganisation of the sequence of electricity markets.In the second chapter, an analytical model is used to assess the potential of intraday markets as a flexibility provider to intermittent RES with low production predictability. This study highlights and demonstrates how the potential of intraday markets is heavily dependent on the evolution of the forecast errors.The third chapter focuses on the benefits of curtailing the production by intermittent RES, as a tool to smooth out their variability and reduce overall generation costs. Another analytical model is employed to anatomize the relationship between these benefits and a set of pivotal parameters. Special attention is also paid to the allocation of these benefits between the different stakeholders.In the fourth chapter, a numerical simulation is used to evaluate the ability of the European transmission system operators to tackle the investment wave required in order to manage the production of intermittent RES. Alternative financing strategies are then assessed. The findings reveal that under the current trend of tariffs, the volumes of investment forecasted will be highly challenging for transmission system operators.

Uppsatsens explorativa syfte är att utforska samt beskriva riskpremiens storlek och utveckling för de EPADs som handlas för olika elprisområden på den nordiska elmarknaden. Riskpremien har definierats enligt de prissättningsteorier som ursprungligen formulerats av Fama &amp; French (1987) och beräknats ur ett ex post-perspektiv. Studien omfattar drygt 700 EPAD-kontrakt från perioden 2006 till 2014 Tillämpning av deskriptiv statistik visar existensen av betydande riskpremier vars tecken och storlek varierar mellan områden och tidsperioder. Detta är i linje med tidigare resultat av Kristiansen (2004) samt Marckhoff &amp; Wimschulte (2009). Några långsiktiga trender har inte kunnat säkerställas statistiskt. Grafisk analys av säsongsmönster visar på låga (höga) riskpremier sommartid (vintertid) för samtliga områden utom Oslo där omvänt förhållande råder. Oslo samt de danska områdenas kontrakt handlas i contango, övriga områden i backwardation. Samtliga kontrakts riskpremier minskar dock över time-to-maturity, vilket stämmer överens med de riskpreferenser som beskrivs av Hillier et al., (2010). Resultaten från denna explorativa studie kan användas för att hitta intressanta perspektiv och frågeställningar till vidare forskning. Resultaten kan även vara av intresse dels för aktörer som använder EPADs för prissäkring och dels för de institutioner som verkar för en effektiv nordisk elmarknad, exempelvis NordREG, Energimarknadsinspektionen och Nord Pool. / This exploratory paper aims to describe the magnitude and development of risk premium in EPADs traded for different electricity price areas in the Nordic electricity market. Risk premium is defined according to the pricing theories originally formulated by Fama &amp; French (1987), and calculated through an ex post perspective. The study includes more than 700 EPADs from 2006 to 2014. Application of descriptive statistics indicates existence of significant risk premia whose sign and magnitude varies between regions and time periods. This is in line with previous results by Kristiansen (2004) and Marckhoff &amp; Wimschulte (2009). Any long-term trends have not been validated statistically. Graphical analysis of seasonal patterns revealed low (high) risk premium in summer (winter) for all areas except Oslo, where the seasonal patterns are the opposite. EPADs for Oslo and the Danish regions are traded in contango and all other areas in backwardation. Risk premia for all contracts do however approach zero when approaching maturity, which is consistent with theory of risk preferences described by Hillier et al., (2010). The results of this exploratory paper can be used to find interesting perspectives and research questions for further research. The results may also be of interest both for traders who are using EPADs for hedging purposes and the institutions aiming to achieve an efficient Nordic electricity market, such as NordREG, the Swedish Energy Markets Inspectorate and Nord Pool.

This thesis proposes equilibrium models to link the wholesale and retail electricity markets which allow for reconciliation of the differing time scales of responses of producers (e.g., hourly) and consumers (e.g., monthly) to changing prices. Electricity market equilibrium models with time of use (TOU) pricing scheme are formulated as large-scale variational inequality (VI) problems, a unified and concise approach for modeling the equilibrium. The demand response is dynamic in these models through a dependence on the lagged demand. Different market structures are examined within this context. With an illustrative example, the welfare gains/losses are analyzed after an implementation of TOU pricing scheme over the single pricing scheme. An approximation of the welfare change for this analysis is also presented. Moreover, break-up of a large supplier into smaller parts is investigated. For the illustrative examples presented in the dissertation, overall welfare gains for consumers and lower prices closer to the levels of perfect competition can be realized when the retail pricing scheme is changed from single pricing to TOU pricing. These models can be useful policy tools for regulatory bodies i) to forecast future retail prices (TOU or single prices), ii) to examine the market power exerted by suppliers and iii) to measure welfare gains/losses with different retail pricing schemes (e.g., single versus TOU pricing). With the inclusion of linearized DC network constraints into these models, the problem size grows considerably. Dantzig-Wolfe (DW) decomposition algorithm for VI problems is used to alleviate the computational burden and it also facilitates model management and maintenance. Modification of the DW decomposition algorithm and approximation of the DW master problem significantly improve the computational effort required to find the equilibrium. These algorithms are applied to a two-region energy model for Canada and a realistic Ontario electricity test system. In addition to empirical analysis, theoretical results for the convergence properties of the master problem approximation are presented for DW decomposition of VI problems.