Despite the uncertainty surrounding the design of a mechanism which is ultimately accepted by nations worldwide,the necessity to implement regulations to curb emissions of greenhouse gases on a global scale is consensual. The electricity sector plays a fundamental role in this puzzle and countries may soon have to revise their operating policy directives in order to make them compatible with additional constraints imposed by such regulations. We present a modeling approach for greenhouse gas emissions quotas which can be incorporated into a stochastic dual dynamic programming algorithm, commonly used to solve the hydro-thermal scheduling problem. Our approach is flexible and capable of accommodating a detailed representation of emissions and related constraints. A case study based on the Guatemalan power system exemplifies the potential effects of considering these restrictions.

Virtually every country in the world faces the challenge of designing the regulatory and financial mechanisms that ensure cost-effective procurement of generation to supply electricity demand. Historically, procurement of generation has been particularly difficult in the emerging economies of Asia, Latin America and Africa. High and usually volatile load growth rates, limited access to financing and immature electricity markets have presented obstacles that have introduced challenges to the procurement process. More recently, environmental concerns regarding land use, impact on biodiversity, indigenous populations, and greenhouse gasses emissions have added layers of complexity. Over the last 7 years, auctions for long-term electricity contracts have been getting increased attention within the electricity sector community as thet have emerged as a successful mechanism to procure new generation capacity. Among the reasons for such widespread interest is the large amount of capacity that has been already contracted from diverse technologies (conventional generation, large hydroelectric plants, renewable), under a variety of innovative auction arrangements and mechanisms, sometimes with multiple buyers and sellers taking part in the process. Auctions have been attracting a broad range of investors, from large established companies to new local and foreign independent power producers, and first-time power system investors. This book presents a comprehensive overview of the international experience in electricity auctions, focusing on the procurement of long-term electricity contracts to foster new generation capacity. To this end, several relevant case studies were selected. While focus is given to emerging countries, insightful experiences from developed markets are reported as well. The book reveals the subtlety and complexity of trading and contracting for firm generation in the current power industry and the multiplicity of formats that the corresponding regulatory instruments may adopt. Lessons learned - both positive and negative - regarding policy formulation and implementation which should be of interest to policy makers, government authorities, regulators and power sector stakeholders.

Este documento é o resultado de um estudo conduzido pela PSR para a Confederação Nacional da Industria (CNI). O estudo traça uma visão ampla do setor energético mundial no contexto de mudanças climáticas e delineia a posição brasileira nesse panorama. São analisadas condições e custos de suprimento, participação de fontes renováveis e não renováveis na matriz energética, configuração do mercado do gás natural e efeitos das mudanças climáticas sobre o parque gerador. Com este estudo, a CNI espera contribuir para o debate sobre o futuro da energia no Brasil e para a adoção de medidas visando ao aumento da competitividade do produto nacional. O mesmo encontra-se também disponível no site http://www.cni.org.br/portal/data/pages/FF808081309A85400130AEC4AF620BE7.htm.

Stochastic Dual Dynamic Programming (SDDP) is one of the few solution methods available to solve multipurpose multireservoir operation problems in a stochastic environment. This algorithm requires that the one-stage optimization problem be a convex program so that the efficient Benders decomposition scheme can be implemented to handle the large state-space that characterizes multireservoir operation problems. When dealing with hydropower systems, one usually assumes that the production of hydroelectricity is dominated by the release term and not by the head (storage) term to circumvent the non-linearity of the hydropower production function. Although this approximation is satisfactory for high head power stations where the difference between the maximum and minimum head is small compared to the maximum head, it may no longer be acceptable when a significant portion of the energy originates from low and/or medium head power plants. Recent developments improve the representation of the non-linear hydropower fuction through a convex hull approximation of the true hydropower function. A network of hydropower plants and irrigated areas in the Nile basin is used to illustrate the difference between the two SDDP formulations on the energy generation and the allocation decisions.

Define-se o custo marginal de operação (CMO) como o custo de suprir uma unidade adicional de carga em um determinado instante de tempo. Devido a restrições impostas pela rede de transmissão, pode-se verificar CMOs distintos para cada barra do sistema. Neste trabalho, analisa-se perfis de custos marginais de operação por barra do sistema brasileiro, oriundos de simulações da operação eletroenergética com representação detalhadada da rede elétrica. Discute-se a relação entre a dispersão espacial de CMOs e a determinação de submercados para fins contábeis, investigando-se uma técnica de agrupamento de barras baseada na correlação entre séries de CMOs.

Neste trabalho, investiga-se a utilização de informações oriundas de simulações da operação energética de sistemas hidrotérmicos, com a representação detalhada da rede elétrica, no contexto do planejamento da expansão do sistema de transmissão. Analisa-se o emprego de indicadores da dispersão de custos marginais de operação (CMOs) por barra do sistema elétrico para a construção de índices de desempenho de alternativas de expansão da transmissão, com atenção à adequação dos índices à realidade brasileira. São fornecidos exemplos do emprego de perfis de CMOs por barra no auxílio à criação e avaliação preliminar de circuitos candidatos para planos de expansão da transmissão.

Este artigo tem como objetivo a análise da contratação do uso do sistema de transmissão por distribuidoras de grande porte, sistema malhado e múltiplos pontos de conexão com a Rede Básica. A experiência prática dos autores com um processo real de determinação do Montante de Uso do Sistema de Transmissão é apresentada, discutindo-se os principais aspectos da metodologia empregada e as conclusões obtidas. Aspectos associados à gestão de risco na contratação do MUST são abordados em profundidade, discutindo-se o impacto da consideração de diferentes atributos, critérios e premissas sobre os montantes a serem contratados e sobre os custos da contratação.

Em 2004 o Brasil iniciou a implementação de um novo modelo setorial baseado em leilões de energia para contratação de nova capacidade para o mercado regulado. Estes leilões, realizados desde 2005, possuem características atraentes para investidores e, simultaneamente, devem garantir aos consumidores regulados a segurança de suprimento e eficiência no processo de contratação. Apesar da boa experiência com os “Leilões de Energia Nova” nos últimos seis anos, existem vários aspectos de caráter prático que carecem de aprimoramento. O objetivo deste trabalho é apresentar sugestões e propostas de aperfeiçoamentos, sob a ótica técnica e econômica, para alguns temas essenciais visando garantir a eficiência e eficácia no processo de contratação de novos empreendimentos de geração.

O caráter hidrotérmico da operação do SIN exige o estabelecimento de critérios para garantir o suprimento de energia com elevado grau de confiabilidade. O critério de suprimento define a garantia física de uma usina, indicando o montante de energia que pode ser produzido de maneira sustentável e que pode ser contratada pelos consumidores. Como toda a energia tem que estar 100% contratada, garante-se desta maneira que a demanda será atendida com o grau de confiabilidade estabelecido. Com o objetivo de aumentar a confiabilidade de suprimento, em 2008 foram criados dois mecanismos adicionais: a contratação de energia de reserva e o Procedimento Operativo de Curto Prazo. Naturalmente, estes procedimentos adicionais resultam em custos maiores para o consumidor. O objetivo deste trabalho é determinar o ponto de equilíbrio entre os custos com a contratação de energia de reserva e os custos com o despacho complementar devido aos Procedimentos Operativos de Curto Prazo. De posse deste ponto de equilíbrio, é possível identificar se é mais vantajoso para o consumidor aumentar a contratação da energia de reserva ou o despacho complementar. Como resultado, os impactos das medidas de aumento de segurança de suprimento foram quantifica os e discutidos em detalhes.

The objective of this work is threefold. We firstly present an optimization model for a price-taker hydrothermal generation company (Genco) to devise bidding strategies in multi-item iterative auctions of long-term contracts. The bidding model calculates a bidder’s best-response function, which takes into account the key issues on the auctioned contracts, such as its time horizon, the risk factors that affect the future contract outcomes, interdependence between auctioned products, and the agents’ risk profile. The risk profile of the Gencos are represented as piecewise linear utility functions and a practical specification approach is proposed. We finally present a simulator of a uniform-pricing and iterative multi-item contract auction, where the set of auction rules is implemented and the optimization model developed is used to determine the Gencos’s best responses at each auction round. The simulator enables auctioneers and generators to estimate the auction’s competitive equilibrium price and to study the auction dynamics. A real multi-product descending clock auction is simulated for the Brazilian power system under the proposed bidding scheme.

A key concern for South American countries is how to procure new generation resources to supply demand, optimising reliability levels and cost impacts on consumers. Historically, this procurement activity has been very challenging due to factors such as uncertainty in load growth rates, limited access to financing, lack of enforcement in the case of delays in construction, deficient legal and regulatory institutional arrangements etc. More recently, the problem complexity has been compounded by environmental concerns about land use, impacts on biodiversity, indigenous populations and greenhouse gasses emissions and climate change. Since 2004 some South American countries such as Brazil, Chile, Peru and Colombia have been relying on new auction-based schemes to incentivise the entrance of new generation capacity. This scheme reflects the regulator’s willingness to ensure a certain amount of new generation capacity under competitive conditions and facilitates the introduction of new financialinstruments that can help to complete the electricity market: it auctions long-term supply contracts or call options backed, in some cases, by firm energy resources. The objective of this work is to briefly describe the evolution of market regulation for generation investment and the recent auction-based mechanism experience in South America. Focus will be given to countries where the auctions have been having a more active role, i.e. Brazil, Chile, Peru and Colombia. The ultimate aim is to identify key challenges that will need to be addressed in the near future.

The South American region is among the most promising lands for the development of non-conventional renewable energy sources (RES, i.e. wind, small hydro, solar, tidal, geothermal and in some cases waste) or “green” energy worldwide. This article reviews the current experiences implemented to date in the region to promote RES in South America. We briefly describe first the particular characteristics of the territory which make it so appealing for the RES deployment. Then we scour the continent examining the mechanisms implemented to date. We conclude by just pointing out what should be expected for the years to come.

A plataforma desenvolvida é um sistema flexível e amigável que reúne em um mesmo ambiente várias funcionalidades úteis na comercialização de energia como: verificação automática de lastro do portfólio envolvendo usinas e contratos de compra e venda de energia; sazonalização ótima da Garantia Física das usinas hidráulicas; comparador de contratos com diferentes características envolvendo, por exemplo, cláusulas de take-or-pay, flexibilidades, preços de energia atrelados aos PLDs, etc; sistema de acompanhamento mensal de indicadores de risco x retorno associados ao portfólio; otimização da contratação de acordo com critérios de risco x retorno. O sistema foi desenvolvido dentro de um projeto de pesquisa e desenvolvimento entre a PSR e a Light.

O objetivo desta nota técnica é descrever a metodologia usada na determinação da capacidade estrutural de suprimento de energia, apresentada na seção de suprimento do Market Report de janeiro de 2011. A principal motivação para aplicação desta metodologia no cálculo do balanço estrutural de suprimento se deve as restrições de transmissão do subsistema Nordeste para os subsistemas Sudeste/Centro Oeste e Sul. Dado que a maior parte da nova oferta termelétrica dos últimos leilões foi alocada para o Nordeste, os problemas de transmissão estão levando a distorções excessivamente severas nos balanços calculados através da soma das garantias físicas individuais das usinas.

A histórica falta de planejamento, aliada ao intenso fluxo migratório, induziu a ocupação desordenada de diversas cidades, entre elas o Rio. Sucessivos governos "compensavam"o déficit habitacional e os deficientes serviços, com uma inaceitável tolerância à desordem. Favelas nas encostas, sob viadutos e nas margens de rios passaram a fazer parte da paisagem e todos se acostumaram, mesmo com evidentes riscos.

A forte redução de custos dos equipamentos de geração solar fotovoltaica e a elevada tarifa de energia elétrica no Brasil são os ingredientes para que a energia solar fotovoltaica se torne economicamente competitiva quando comprada à nossa "conta de luz"? A resposta é o tema antecipado no título.

A tecnologia de Energia Solar Fotovoltaica (ESF) está em franca expansão no mundo. Programas de incentivo à energia renovável em diversos países, como Alemanha, Espanha, EUA e China, oferecem “feed-in tariffs”- tarifas diferenciadas (mais elevadas) para projetos de ESF e outras fontes renováveis, como eólica, biomassa, etc. Contratos de até 20 anos são assinados com as empresas distribuidoras, que compulsoriamente compram esta energia, repassam os custos aos consumidores. Como resultado, a capacidade instalada da ESF cresceu fortemente nos últimos anos, reduzindo custos de produção, aumentando a concorrência e trazendo inovações tecnológicas. A crise financeira de 2008 aumentou o inventário de placas no mundo, um fator conjuntural que também contribuiu para a redução de preços das placas fotovoltaicas. Na direção contrária está o alto custo da “conta de luz” no Brasil. Suas causas são bem conhecidas. Kelman, por exemplo, mostra a evolução da tarifa da Light desde sua privatização em 1996 até 2008, apontando tributos (+562%) e encargos setoriais (+1178%) como grandes responsáveis pelo aumento da tarifa no período (+256%). Portanto, boa parte do aumento da conta de luz no país se origina fora do setor elétrico, mais precisamente no Legislativo. Tributos e encargos já respondem por mais de 40% da tarifa de energia. A elevada tarifa de energia do Brasil em termos internacionais traz à tona a questão: a ESF já é uma alternativa viável para consumidores de energia elétrica?

The integration of natural gas and electricity sectors has increased sharply in the last decade as a consequence of combined cycle natural gas thermal power plants. In some countries such as Brazil, gas-fired generation has been a major factor in the overall growth of natural gas consumption. When related to the operations planning, in some hydrothermal systems, a national system operator dispatches these gas-fired plants (along with other thermal sources such as coal, oil, and nuclear) in conjunction with the country’s hydroelectric plants by using a production-costing model based on stochastic programming. The algorithm determines the optimal hydro-to-thermal energy production ratio on the basis of the expected benefit of reducing thermal plant generation over a large number of hydrological scenarios, along a planning horizon of some years. This means that the optimal scheduling decision today depends on the assumptions about future load growth and future entrance of new generation capacity. Stochastic dyn mic programming models are extensively used. However, the hydrothermal scheduling models usually do not take into account the possibility of future fuel supply constraints, either in production or in transportation. The assumption of fuel supply adequacy is felt to be reasonable for the more mature markets such as coal and oil. However, because of the fast growth of the natural gas market, it is possible that demand outpaces supply or transportation investments. Indications that gas-related constraints could be relevant were observed in New England, in the US, and in Brazil in 2004, where several megawatt of combined-cycle generation could not be dispatched when needed due to constraints in pipeline capacity. The objective of this work is to present a methodology for representing the natural gas supply, demand, and transportation network in the stochastic hydrothermal power scheduling model. Application of the integrated electricity–gas scheduling model is illustrated in case studies, with realistic configurations of the 90GW Brazilian system.

Alguns fatores conjunturais, dentre os quais se destacam o envelhecimento de equipamentos e o aumento do rigor nos requisitos de qualidade do serviço, vêm causado uma tendência de aumento dos custos operacionais de distribuidoras de energia elétrica – em particular, dos custos relativos aos processos de inspeção, manutenção, renovação e substituição de equipamentos da rede elétrica, além de disponibilização de peças reservas. A aplicação de técnicas de gestão de ativos aparece como uma alternativa interessante para o planejamento e a coordenação dos processos supracitados, visando à determinação de políticas robustas de manutenção de equipamentos e disponibilização de reservas, que respondam às pressões de aumento de custos. O emprego de técnicas de gestão de ativos permite basear as decisões acerca dos processos de manutenção de equipamentos e disponibilização de peças reservas em informações quantitativas e que capturam a tanto evolução da condição física da rede de distribuição como a interface com a regulação relacionada à qualidade do serviço. Este embasamento quantitativo promove investimentos prudentes e eficiência operacional, estando assim relacionado à modicidade tarifária. O objetivo deste artigo é discutir questões conceituais relativas à aplicação de técnicas de gestão de ativos a processos de manutenção de equipamentos e disponibilização de peças reservas.

Ensuring generation adequacy is a critical problem for emerging countries in Latin America and Asia due to the combination of high load growth rates, constrained access to private equity and low generation security margins. Although market schemes designed solely around spot prices could in principle provide the correct economic signals for the entrance of new generation capacity [1], their actual track record is somewhat mixed. For example, a 2005 World Bank report [2] surveyed the experiences of nineteen countries which implemented market reforms and faced supply difficulties afterwards. These difficulties, backed up by theoretical arguments [3], contributed to a growing consensus that more effective measures to ensure supply adequacy are required. As a consequence, a number of countries early adopted some forms of capacity markets or payments. For instances, Chile, the United Kingdom, Argentina, Spain, Colombia, Peru, Italy, South Korea and US markets such as PJM, NEISO and NYISO have established regulated capacity payments at some stage [4].

The implementation of auctions of long-term electricity contracts is arising as an alternative to ensure generation investment and therefore achieve a reliable electricity supply. The aim is to reconcile generation adequacy with efficient energy purchase, correct risk allocation among investors and consumers, and the politico-economic environment of the country. In this paper, a generic proposal for a long-term electricity contracts approach is made, including practical design concepts for implementation. This proposal is empirically derived from the auctions implemented in Brazil and Chile during the last 6 years. The study is focused on practices and lessons which are especially useful for regulators and policy makers that want to facilitate the financing of new desirable power plants in risky environments and also efficiently allocate supply contracts among investors at competitive prices. Although this mechanism is generally seen as a significant improvement in market regulation, there are questions and concerns on auction performance that require careful design and which are identified in this paper. In addition, the experiences and proposal described can serve to derive further mechanisms in order to promote the entrance of particular generation technologies, e.g. renewables, in the developed world and therefore achieve a clean electricity supply.

The storage capacity (or “regularization capacity”) of a hydro system refers essentially to its capability of transferring excess inflow energy from wet to dry seasons. The Brazilian hydro power system is formed by hundreds of reservoirs capable of multi-year storage capacity. Historically, this has been measured in the Brazilian Power System in terms of the duration of the critical period, which in turn is obtained from optimization models that calculate the firm energy (FE) of hydroelectric systems. These models, however, only represent the hydroelectric system explicitly and do not take into account the synergy between hydro and thermal plants. This synergy can be an important aspect in defining the storage capacity of the hydrothermal system. The objective of this article is: (i) to define a methodology for measuring the regularization capacity of a generation system; (ii) to analyze by this measure the current regularization capacity of the Brazilian system; and (iii) to analyze the impact of the development of large-scale run-of-the-river hydro plants that are in the pipeline to start commissioning in the next years.

Brazil has a large potential for wind: it is estimated that nearly 140,000 MW of wind energy generating capacity could be built in the country. In December 2009 a specific auction to contract wind power was carried out. The motivation of this auction was to take advantage of the 2008-2009 world financial crisis that has lowered equipment cost as well as to foster competition among the interested investors, thus starting the development of this technology in the country in a larger scale. The product offered – a 20 year energy contract – has particular characteristics that try to accommodate wind variability and mechanisms to penalize productions above/below a given annual energy threshold. The objective of this work is to discuss the wind power auction in Brazil. We describe the auction motivation, product, organization, procedure, results and present our critical analysis. The information presented in this work may be useful for other countries willing to adopt the same mechanism.

A América Latina tem se tornado nos últimos anos uma das regiões mais dinâmicas para os mercados de energia elétrica, sendo marcada por elevadas taxas de crescimento da demanda, forte participação hidroelétrica e expressiva necessidade de investimentos privados. O processo de reforma dos setores elétricos até o momento ainda não alcançou todos os países da região e ocorreu em “ondas” nos países que hoje possuem mercados desregulados. O processo de reforma iniciado pelo Chile no inicio da década de 80 foi seguido pela Argentina no início dos anos 90 e, pouco depois, pela Bolívia e pelo Peru. Em meados da década de 90, estendeu-se ao Brasil, à Colômbia e a vários países da América Central. Esta “primeira onda” da reformas continha bastantes elementos comuns entre os países e, particularmente, uma forte inspiração nas reformas do mercado elétrico da Inglaterra, desregulado em 1990. Após um período de sucessos e falhas, de 2004 a 2008 alguns países desta região, sobretudo da América do Sul, realizaram ajustes em seus modelos regulatórios. Estes ajustes tinham por objetivo manter os aspectos positivos da primeira “onda” mas, ao mesmo tempo, corrigir aqueles que não funcionaram conforme esperado, sobretudo os relacionados à necessidade de assegurar uma expansão da geração para atender o forte crescimento da demanda de maneira suficiente. Embora as iniciativas de cada país tenham sido independentes, observou-se uma convergência a um modelo comum de mercado para garantir a suficiência com eficiência na geração. Os ingredientes desta “segunda onda” incluem: (i) incentivos a contratos a termo de forma a induzir a entrada de nova capacidade (a chamada “competição pelo mercado” ao invés de “competição no mercado”) com obrigatoriedade da existência de lastro físico para sua cobertura visando a suficiência de geração e (ii) uso de leilões como mecanismo de incentivo à contratação eficiente e estabelecimento de preços de repasse realistas. Este documento é um capítulo de um livro em organização pelo comité C5 do Cigré Brasil e tem como objetivo apresentar uma visão geral do processo de implementação e características desta segunda geração de modelos regulatórios no setor de geração de países latino-americanos visando identificar os desafios comuns e os esquemas adotados para enfrentá-los, tais como o uso de leilões de contratação, as estratégias para lidar com a incerteza na previsão de demanda, a expansão da capacidade e o grau de intervenção do estado, dentre outros.

Since the liberalization of the power industry, there has been a large amount of literature on the determination of optimal bidding decisions for price maker energy producers. The vast majority of the work developed so far has focused on short-term horizons and may be viewed as successful approaches for systems whose operation is generally deterministic. In the case of price maker hydro plants with significant storage capacity, however, the solution of the strategic bidding problem is more subtle. The reason is that hydro reservoirs allow the bidder to postpone energy production if future prices are expected to be higher than the current price. This demands the management of an energy-constrained resource and determines a time-coupling characteristic to the problem, implying that the bidding strategy should ideally take into account the following stages and consider the stochasticity of inflows. These aspects characterize the strategic bidding for price maker hydro agents as a multi-stage stochastic programming problem, with significant computational challenges. The objective of this work is to present a new methodology for the strategic bidding problem of a price-maker hydropower based company, taking into account several hydro plants, time-coupling and stochastic inflow scenarios. The proposed approach considers a deterministic residual demand curve and is based on stochastic dual dynamic programming (SDDP), which has been successfully applied to the least-cost hydrothermal scheduling problem. Since the technique requires the problem to be concave, a piecewise linear approximation of the expected future benefit function is proposed. The application of the methodology is exemplified with a real case study based on the hydrothermal system of El Salvador.

Energy is recognized as one of the single most important issues in modern society, having high impact in the social and economic development. The quality of human development is dependant, among other factors, on energy supply being available, efficient, reliable and sustainable. Particularly in Latin America, energy plays an essential role in social development and it is perceived as of strategic importance for economic development. The primary challenge faced by the countries in Latin America is to ensure sufficient capacity and investment to serve reliably their growing economies. Social and environmental concerns are an inherent challenge and also must be addressed accordingly. Energy supply can determine competitiveness in a global market, where economic activities must compete not only in a local market, or even regional, but in a global context. Energy policy is certainly conditioned by energy sources available, energy consumption growth, general social and political context, among other factors, but also by history. Due to recent events, Latin America energy policy decisions have been based upon different crisis, where lack of investment drove to lack of supply security and to inefficiency of supply. These remain to be key issues in the region. Nonetheless, climate change has drawn attention away from these key issues, often avoiding policy making to focus on main issues. So then again, one single question remains to be answered in Latin America: What are the economics that balance the equation that considers all the key aspects of an energy policy? This article addresses these issues.

Brazil is one of the world leaders in the use of renewable power. In addition to “mainstream” hydropower, which has historically dominated the country’s electricity production, two renewable sources have become competitive for large scale expansion in the last five years: bioelectricity (BE), cogeneration from sugarcane bagasse; and small hydro (SH), which comprises hydro plants smaller than 30 MW. About 8,000 MW of BE and SH plants are already in operation or under construction. This paper describes the technical and regulatory solutions to the planning, construction and remuneration of the transmission network that integrates them to the main grid. The planning issue is complex because the plants are spread over large areas. As a consequence, the integration network has layers of “collector stations” at different voltages. The optimal design of the network topology plus the siting and sizing of collector stations was solved by a new nonlinear integer programming algorithm. The second hurdle results from the potential conflicts of competing generators trying to jointly procure the construction of a shared network. The solution was to auction the network construction under the supervision of a third party, the national electricity regulator (ANEEL). The final obstacle, allocation of the auctioned network cost among generators, was solved by a MWmile scheme. The above set of methodologies and regulations was first applied to the integration of about 80 BE and SH plants, totaling 4,100 MW, spread over an area equivalent to half of California. The construction of the 2,500km integration network was auctioned in November 2008; operation starts by July 2010. This regulatory solution is also being considered for the integration of wind power, which has emerged the fourth “asset” of the country’s “renewable portfolio”, with 800 MW in operation and under construction, plus a 1,500MW contracting auction scheduled for the third quarter of 2009.

The firm energy of generation plants is a critical component in some electricity markets. It is usually calculated by the regulator and sets a cap to the amount a plant can trade in capacity markets (or auctions), in order to avoid free-riding behaviors. Firm energy is a systemic property and, in case of hydro plants, a synergy is observed whenever a cooperative operation occurs, i.e., the firm energy of a system is greater than the sum of the individual plants. This immediately raises the question of how to divide the system’s firm energy among the individual hydro plants. The objective of this work is to investigate the application of different allocation methods of firm energy rights among hydro plants using a game-theoretic framework. It is shown that there is not an optimal and unique approach to make this allocation. The paper investigates the advantages and disadvantages of different methods, such as marginal allocation, average production during the critical period, incremental allocation, finally recommending the Aumann–Shapley as the allocation method. This method is tested for the Brazilian power system, which has around 100 hydro plants. The results obtained are compared with the current allocation adopted by the electricity regulatory agency of Brazil.

The adequacy problem in electricity market is becoming a very important issue as there is neither theoretical proof nor practical evidence of correct delivering of sufficient and timely generation capacity when it is needed in a real (imperfect) environment. In contrast, classical market design seems to fail when facing high demand growth and/or large hydro share as seen in several Latin American countries such as Chile, Brazil, Colombia and Peru among others. Currently, various mechanisms have arisen across this region with the intention of stimulating energy procurement and new investment. These are mainly based on long-term contract and options obligations, which are allocated through auctions. Auction theory then becomes very important to ensure optimal allocation and efficient prices for both the new generation and the end user. However, difficulties arise when applying pure auction theory because basic hypotheses are not met by most electricity markets. The objective of this paper is to address and discuss the Latin American experience with auction design for long-term contracts focusing on practical design and theory. The different mechanisms and auctions for ensuring supply adequacy are listed along with theoretical justification as part of the potential solution for the adequacy problem that different economies have proposed.

Renewable sources have recently emerged as a generation option for many countries in order to promote clean energy development. In the case of Brazil, small hydro plants and cogeneration from sugarcane waste (bagasse) have been attractive alternatives during the past years, with hundreds of MW installed since 2004. Despite their advantages, both alternatives are hindered by seasonal yet complementary availability. This forces producers to discount (or price) the risks faced when selling firm energy contracts and may ultimately lead to projects being commercially unattractive. We propose a stochastic optimization model that defines the optimal composition of a portfolio based on these two renewable sources in order to maximize the revenue of an energy trading company. At the same time, this model mitigates hydrological and fuel unavailability risks, thus allowing the participation of both sources in the forward market environment in a competitive manner. A case study is presented, based on data from the Brazilian system.

Historicamente o Setor Elétrico Brasileiro tem utilizado a duração do período crítico, como medida para a capacidade de regularização do sistema. O período crítico é obtido de modelos que calculam a energia firme das usinas hidrelétricas. Entretanto, como estes modelos representam a operação das termoelétricas na base, a complementaridade entre estas usinas e as hidrelétricas não é considerada. Este trabalho tem como objetivos principais: (i) definir uma medida para a capacidade de regularização do sistema que leve em consideração a complementaridade termoelétrica; (ii) analisar através desta medida a capacidade de regularização atual do sistema elétrico brasileiro; e (iii) analisar a potencial perda de sua capacidade de regularização no longo prazo devido à entrada em operação cada vez mais freqüente de usinas a fio d’água, dentre outros motivos, por restrições ambientais que dificultam a construção de grandes reservatórios.

Os leilões de contratos por disponibilidade vêm sendo utilizados desde 2005 para a inserção de nova capacidade termelétrica no Brasil. Estes contratos funcionam como uma opção de compra para o consumidor. Como nestes leilões é permitido que os geradores ofereçam o preço de exercício e o prêmio, o principal desafio está na definição de um mecanismo que permita selecionar as melhores ofertas para o consumidor. Este artigo discute a utilização do ICB para a seleção das ofertas nos leilões, apresentando suas propriedades matemáticas e analisando como distorções de sua aplicação podem afetar a modicidade tarifária para o consumidor.

A operação do SEB caracteriza-se pela forte predominância geração hidroelétrica e o despacho das usinas é otimizado através da utilização de ferramentas que não são capazes de sinalizar a necessidade de geração térmica com a antecedência necessária reverter cenários de afluências mais adversos. Por esta razão, o ONS propôs a aplicação de Procedimentos Operativos de Curto Prazo, de forma a complementar o despacho com geração térmica adicional. Propõe-se avaliar a eficiência deste procedimento através do cálculo de um índice custo/benefício que representa o custo adicional pelo aumento da segurança operativa. Resultados são obtidos com base no PMO de Novembro/2008.

Without available summary.

The worldwide development of natural gas industry resulted in an integration process between electrical and gas sectors in several countries. In Brazil, this process has been taking place in a consistent manner, especially on account of the increase in gas consumption for industrial use and of the installation of thermoelectric plants. Due to the predominance of hydro plants in electric power generation, thermoelectric energy production is basically dependent on hydrology and, as a result, presents a wide annual variability. Consequently, the investment applied to gas production and transportation infrastructure may become under-utilized during a large part of the time; thus, it is important to find mechanisms apt to improve its utilization. In this respect, the present work investigates the creation of a flexible market for gas, where contracts for flexible gas supply would be offered to industrial users, who would receive the gas assigned to thermal power plants when the latter are not dispatched, and would resort to an alternate fuel when these plants are dispatched. The attractiveness of such a contract would depend, of course, on its price. The purpose of this work is to develop a stochastic model for pricing flexible gas supply contracts, taking into account the uncertainty associated to the supply – dependent on the dispatch of the thermal power plants, which have the priority of use of the gas – and the risk profile of potential consumers.

Renewable energy has recently emerged as a generation option for many countries in order to provide a clean energy development. In the case of Brazil, small hydros and the cogeneration of sugarcane waste (bagasse) have been the most attractive options during the past years, with hundreds of MW constructed since 2004. In spite of their advantages, both alternatives suffer from the highly, but yet complementary, seasonal availability of their resources. This forces producers to discount (or price) the risks faced when selling energy contracts and may ultimately lead to projects being commercially unattractive. We propose a stochastic optimization model, which aims at defining the optimal composition of a portfolio based on these two renewable sources that maximizes the revenue of an energy trading company. At the same time, such model would mitigate the hydrological and fuel unavailability risks, providing a safe and competitive firm energy delivery over a given time horizon. A practical case study is shown with data from the Brazilian system.

Economic efficiency, energy security, and environmental sustainability are concerns that must be considered in any energy policy in any given country. These key aspects remain challenged currently in South America. High energy consumption growth (near 6%), worldwide rising fossil fuels prices, strong environmentalist pressure toward reducing greenhouse gas effects, and promotion of renewable energy production have been a common challenge in South American energy markets. The development of vast unexploited hydroelectric resources is also at the center of attention, where its renewable character is being confronted with its environmental impact.

The objective of this work is to discuss the generation options and challenges to meet an increasing electricity demand in Brazil. Emphasis will be put on the challenge of conciliating generation system expansion and environmental constraints under a cost-effective framework.

South America has emerged in recent years as one of the most dynamic regions for natural gas and electricity development. The continent boasts natural gas reserves and highgrowth energy markets. The need to diversify away from heavy investments in hydropower and expensive oil is driving many countries to promote the use of natural gas, especially for power generation. On the other hand, challenges are being observed such as competition between hydro- and thermal generation, the breaking of cross-country natural gas agreements, competition between natural gas and other resources for power generation and electric transmission, and others. More recently, LNG started to be considered an option to ensure the adequacy of natural gas supply for power generation. Brazil and Chile are leading the implementation process of regasification facilities. However, the region has also potential to become an exporter of LNG in the medium-term once the potential gas reserves that require deep drilling become commercially available. This paper discusses the introduction of LNG in South America, focusing on the markets, the prices and the security of supply.

The objective of this work is to discuss the modeling of auctions of long-term electricity supply contracts for new capacity in Brazil. The modeling of risks such as price-quantity (hydrological) risk, project completion risk, environmental constraints, climate change and regulatory risks are discussed. An analytical model will be developed to price these risks and case studies will be presented for real projects that have participated in the Brazilian contract auctions for new capacity. We also discuss selection of projects with different risks.

The need to stimulate generation investment is a growing challenge in deregulated electricity markets worldwide. Capacity payments and capacity markets have been investigated for this purpose. Latin American markets are exploring energy supply auctions, an avenue that is assessed in this paper. Auctions mechanisms are studied through auction theory by using Bayesian equilibrium concepts. Two sealed bid auction formats are reviewed: a single object first-price auction and single object secondprice auction. These formats are analyzed under a pseudo common value and symmetric equilibrium framework. In order to solve the first order conditions of the programming models and to compute the price market, numerical and sampling method are used as Monte Carlo heuristic. The developed models are applied to assess future auctions in the Chilean electricity market.

This paper analyzes the impacts of the Southeastern Anatolia Project (Turkey) on the hydrological regime of the Tigris and Euphrates rivers. The Southeastern Anatolia Project, commonly called GAP, is a Turkish multi-dimensional development project involving primarily irrigation and hydropower generation in the Euphrates and Tigris river basins. For the last two decades, the GAP has been a source of tension between Turkey and the two riparian countries, Syria and Iraq, which are concerned by the modification of the hydrological regime of the Euphrates and Tigris rivers. The quantification of the hydrological risk faced by Syria and Iraq can be comprehended by an integrated management model that simultaneously considers the dispatch of the hydropower plants and the irrigation water withdrawals. The model assumes that the GAP hydroelectric reservoirs are dispatched so as to minimize the operating costs of the Turkish hydrothermal electrical system while meeting irrigation water demands. This optimization problem is solved by a stochastic dual dynamic programming (SDDP) formulation which allows a detailed representation of the Turkish hydrothermal electrical system including the GAP. Scenarios of future irrigation water demands in the GAP are constructed based on projected irrigation areas and on the main crops. Simulation results show that if the project is completed as planned, Euphrates and Tigris outflows will be reduced by 32% and 25% respectively, while the average production of hydroelectricity would reach 27 TWh. In addition, Turkey’s commitment to deliver a minimum flow of 500 m3/s in the Euphrates could only be guaranteed 75% of the time. This percentage increases substantially (up to 95%) if only half of the irrigation projects are implemented.

Transmission networks provide the critical physical link between generation and load. Therefore, the adequate resolution of transmission-related issues such as planning of reinforcements and pricing of transmission services is essential for the successful implementation of a competitive electricity market. While there is some industry consensus on the overall organization principles of the generation sector, in the transmission area the situation is far less clear. The institutional challenges, related to the interface between regulated (transmission) and competitive (generation) environments, combined with the technical challenges form the backbone of the new transmission planning activities in restructured electricity markets. Latin American countries provide a good illustration of the complexity and importance of transmission expansion: have a great diversity in size, network characteristics, strong presence of hydro power and heavy investments in both generation and transmission are required to serve their growing economies. This article reviews the planning structure and regulation of transmission expansion-related activities in Brazil, which is a large-scale hydrothermal system that incorporates all previous characteristics, complexities and has a fast-growing economy, demanding intense investments in new generation and transmission

This work presents a new methodology for the allocation of transmission service cost among network users in energy markets. The proposed method is based on an optimization/game-theoretic framework (Aumann-Shapley) that retains the desirable properties of other existing methodologies such as the Average Participations Factors (APF) and Long Run Marginal Costs (LRMC). The approach is shown to be computationally feasible and presents desirable characteristics in terms of economic coherence and isonomy. Computational results are presented for the Brazilian power system and compared with those obtained by three other methodologies: LRMC, APF, and the current method adopted in Brazil.

This report presents data form Bolivian and Brazilian case studies discussed in IEEE Transactions on Power Systems paper entitled - Value Based Transmission Expansion Planning of Hydrothermal Systems under Uncertainty - by G. Oliveira, S. Binato and M. Pereira

The integrated sugar/ethanol/electricity production has launched a new business model – the bioelectricity industry – with a potential to become a “mainstream” energy supply option in the near future in Brazil. Besides being clean, the bioelectricity plants have been winning several hundred MWs in long-term contracts auctioned by distribution companies under the Brazilian power sector framework. These contracts have been awarded on a competitive basis, without any subsidy policy. In addition, bioelectricity plants comply with the requirements of the CDM for selling emission reduction credits and an agreement with the World Bank to create an “umbrella” qualifying procedure for carbon credits – with a later auction of them – is already in place. The objective of this work is to discuss the bioelectricity achievements in Brazil.

Without available summary.

The implementation of auctions of long-term firm energy call options and forward contracts as part of the instruments adopted in emerging countries to ensure resource adequacy is discussed. These mechanisms are being implemented in Latin American nations (Brazil, Chile, Peru, El Salvador & Panama) and fast-growing economies in Europe such as Turkey. Brazil has led this process and in overall has auctioned about 25,000 average MW of contracts, involving about 65 billion USD in financial transactions, while Chile has carried out its first auction in 2006, involving about 1,300 average MW (30% of energy sales of the main interconnected Chilean system expected for 2010). Overall, this mechanism is proving to be adequate to attract investments and ensure resource adequacy.

Water resources development projects often involve multiple and conflicting objectives as well as stochastic hydrologic inputs. Multiobjective optimization techniques can be used to identify non-inferior solutions and to construct a trade-off relationship between conflicting objectives. This paper presents a methodology for analyzing trade-offs and risks associated with large-scale water resource projects under hydrologic uncertainty. The proposed methodology relies on the stochastic dual dynamic programming (SDDP) model to derive monthly or weekly operating rules for multipurpose multireservoir systems taking into account the stochasticity of the inflows, irrigation water withdrawals, minimum/maximum flow requirements for navigation, fishing and/or for ecological purposes. In SDDP, release decisions are chosen so as to minimize the operating costs of a hydrothermal electrical system. Irrigation water demands and other operating constraints are imposed on the system through the SDDP model. The proposed methodology is illustrated with the Southeastern Anatolia Development project, commonly called GAP, in Turkey. The GAP is a multidimensional development project involving primarily the production of hydroelectricity and irrigation. Simulation results using 50 hydrologic scenarios show that the complete development of the irrigation projects would reduce the total energy output by 6.5%, and will incease the risk of not meeting minimum outflow at the Syrian border from 5% to 25%.

This paper analyzes the impacts of the Southeastern Anatolia Project (Turkey) on the hydrological regime of the Tigris and Euphrates rivers. The Southeastern Anatolia Project, commonly called GAP, is a Turkish multi-dimensional development project involving primarily irrigation and hydropower generation in the Euphrates and Tigris river basins. For the last two decades, the GAP has been a source of tension between Turkey and the two riparian countries, Syria and Iraq, which are concerned by the modification of the hydrological regime of the Euphrates and Tigris rivers. The quantification of the hydrological risk faced by Syria and Iraq can be comprehended by an integrated management model that simultaneously considers the dispatch of the hydropower plants and the irrigation water withdrawals. The model assumes that the GAP hydroelectric reservoirs are dispatched so as to minimize the operating costs of the Turkish hydrothermal electrical system while meeting irrigation water demands. This optimization problem is solved by a stochastic dual dynamic programming (SDDP) formulation which allows a detailed representation of the Turkish hydrothermal electrical system including the GAP. Scenarios of future irrigation water demands in the GAP are constructed based on projected irrigation areas and on the main crops. Simulation results show that if the project is completed as planned, Euphrates and Tigris outflows will be reduced by 32% and 25% respectively, while the average production of hydroelectricity would reach 27 TWh. In addition, Turkey's commitment to deliver a minimum flow of 500 m3/s in the Euphrates could only be guaranteed 75% of the time. This percentage increases substantially (up to 95%) if only half of the irrigation projects are implemented.

Demanda e oferta flexíveis são opções naturais para a melhor utilização da infra-estrutura de eletricidade e gás e da redução do custo da energia térmica. Trata-se desde permitir-se às termoelétricas e distribuidoras a venda de contratos flexíveisde gás para as indústrias, ao armazenamento de GNL em períodos de excesso de produção, bem como a gestão cuidadosa dos estoques através de reservatórios virtuais

Declarações assertivas, tais como: “vai faltar energia”, ou “não há a menor chance de faltar energia” são comuns em debates públicos sobre a situação do Setor Elétrico Brasileiro. Elas tendem a simplificar excessivamente um tema complexo: o cálculo da probabilidade de ocorrência de um racionamento no futuro. O risco de déficit de energia, resultado produzido por modelo de operação energética, vem sendo extensivamente utilizado como medida desta confiabilidade. No entanto, existe uma questão sutil, discutida no artigo, que faz dele um indicador controverso, mesmo no meio técnico. Este artigo propõe um indicador alternativo: o cálculo da probabilidade de se decretar um racionamento. Desenvolve-se uma metodologia para reproduzir o critério que foi adotado no último racionamento, em 2001. Naquela ocasião, o racionamento foi decretado como uma medida preventiva, decidida antes dos reservatórios se esvaziarem por completo. O modelo reproduz este raciocínio, estabelecendo o montante a racionar a partir de uma hipótese conservadora para as afluências futuras. Admite-se também um valor mínimo para a energia armazenada nos reservatórios a ser atingido ao final do período de estiagem, de maneira a garantir condições mínimas de operação do SIN. A metodologia é ilustrada com um caso baseado no Plano Mensal de Operação (PMO) do Operador Nacional do Sistema Elétrico (ONS) de Janeiro de 2007.

O desenvolvimento da indústria de gás natural pelo mundo resultou em um natural processo de integração entre os setores de eletricidade e gás em diversos países. No Brasil este processo vem acontecendo de forma consistente, em especial, devido ao aumento do consumo de gás para uso industrial e instalação de usinas termoelétricas. Devido à predominância hidroelétrica no parque gerador, a produção da energia termoelétrica é basicamente função da hidrologia e, como resultado, apresenta grande variabilidade anual. Como conseqüência, o investimento realizado em infra-estrutura de produção e transporte de gás pode ficar “sub-utilizado” grande parte do tempo e é importante encontrar mecanismos que aprimorem sua utilização. Neste sentido, este trabalho explora a criação de um mercado flexível de gás, onde seriam oferecidos contratos de fornecimento flexível de gás para o usuário industrial, que receberia o gás destinado às térmicas quando estas não forem despachadas e recorreria a um combustível alternativo caso contrário. A atratividade deste contrato dependeria, naturalmente, de seu preço. O objetivo deste trabalho é, portanto, desenvolver uma metodologia para a precificação de contratos de fornecimento flexível de gás, levando em consideração a incerteza associada ao suprimento – que depende do despacho das térmicas, as quais têm prioridade de uso do gás – e o perfil de risco destes consumidores.

O custo do GNL é normalmente superior ao de outras opções energéticas. Entretanto, sua inclusão no Brasil pode ser justificada pelo baixo fator de capacidade das usinas térmicas flexíveis, da ordem de 30%. Como o GNL pode ser comprado quando necessário (ex: desequilíbrio conjuntural entre oferta e demanda ou ano seco), ainda que seu custo “unitário” seja mais elevado, pode ser uma opção mais econômica que a alternativa de investir pesadamente numa infra-estrutura que estará ociosa na maior parte do tempo. Um desafio para o setor elétrico é coordenar o despacho das térmicas feito pelo ONS com a encomenda dos navios metaneiros que transportam o GNL. Neste contexto, o uso de reservatórios virtuais pode ser excelente instrumento para equacionar esta questão. A idéia é simples: as usinas térmicas podem gerar energia na chegada de um carregamento de GNL, mesmo que o ONS não solicite seu despacho. A energia (pré-gerada) desloca geração hidrelétrica e é armazenada nos reservatórios do sistema. Posteriormente, o proprietário da usina pode optar por debitar de sua “conta”, uma energia despachada pelo ONS, ao invés de gerá-la. Neste contexto, a encomenda dos navios metaneiros é tema estratégico para as usinas térmicas que utilizarão GNL importado. O preço do contrato e a garantia de entrega do GNL dependem da antecedência com que o pedido é feito. Quanto maior a antecedência, menor o preço. O problema consiste em definir a encomenda de navios metaneiros tomando-se em consideração a utilização do reservatório virtual, o preço do gás no mercado internacional e a previsão de despacho térmico do ONS. Este será o tema central deste artigo. Apresenta-se um modelo de programação mista linear-inteira para otimizar as encomendas dos metaneiros. Um estudo de caso é apresentado a partir de simulação energética feita com o PMO de março de 2007 para ilustrar a programação de compras de GNL para um conjunto de usinas térmicas a gás natural no Sudeste.

Este artigo possui dois objetivos: inicialmente é proposto um modelo de avaliação de novos investimentos em geração de energia sob incerteza, onde os distintos riscos associados à implementação de um projeto (hidrológico, construção, atraso, etc.) podem ser quantificados e precificados. Em seguida, é proposta uma metodologia de comparação de alternativas de investimento que permita comparar diferentes tecnologias em uma mesma base. Isto é feito através da identificação e precificação dos diferentes riscos intrínsecos a cada uma dessas tecnologias de acordo com o perfil de aversão ao risco do empreendedor. O objetivo final é determinar o conjunto eficiente, o preço da energia e o prêmio de risco das diferentes alternativas de investimento.

O desenvolvimento da indústria de gás natural pelo mundo resultou em um natural processo de integração entre os setores de eletricidade e gás em diversos países. No Brasil este processo vem acontecendo de forma consistente, em especial, devido ao aumento do consumo de gás para uso industrial e instalação de usinas termoelétricas. Devido à predominância hidroelétrica no parque gerador, a produção da energia termoelétrica é basicamente função da hidrologia e, como resultado, apresenta grande variabilidade anual. Como conseqüência, o investimento realizado em infra-estrutura de produção e transporte de gás pode ficar “sub-utilizado” grande parte do tempo e é importante encontrar mecanismos que aprimorem sua utilização. Neste sentido, este trabalho explora a criação de um mercado flexível de gás, onde seriam oferecidos contratos de fornecimento flexível de gás para o usuário industrial, que receberia o gás destinado às térmicas quando estas não forem despachadas e recorreria a um combustível alternativo caso contrário. A atratividade deste contrato dependeria, naturalmente, de seu preço. O objetivo deste trabalho é, portanto, desenvolver uma metodologia para a precificação de contratos de fornecimento flexível de gás, levando em consideração a incerteza associada ao suprimento – que depende do despacho das térmicas, as quais têm prioridade de uso do gás – e o perfil de risco destes consumidores.

Water resources development projects often involve multiple and conflicting objectives as well as stochastic hydrologic inputs. Multiobjective optimization techniques can be used to identify noninferior solutions and to construct a trade-off relationship between conflicting objectives. This paper presents a methodology for analyzing trade-offs and risks associated with large-scale water resource projects under hydrologic uncertainty. The proposed methodology relies on the stochastic dual dynamic programming (SDDP) model to derive monthly or weekly operating rules for multipurpose multireservoir systems taking into account the stochasticity of the inflows, irrigation water withdrawals, minimum/maximum flow requirements for navigation, fishing, and/or for ecological purposes. In SDDP, release decisions are chosen so as to minimize the operating costs of a hydrothermal electrical system. Irrigation water demands and other operating constraints are imposed on the system through the SDDP model. The proposed methology is illustrated with the Southeastern Anatolia Development project, commonly called GAP, in Turkey. The GAP is a multidimensional development project involving primarily the production of hydroelectricity and irrigation. Simulation results using 50 hydrologic scenarios show that the complete development of the irrigation projects would reduce the total energy output by 6.5% and will increase the risk of not meeting minimum outflow at the Syrian border from 5% to 25%.

South America is looking for ways to harmonize power supply expansion with growing environmental concerns as electricity demand increases at a fast pace. While South America contributed little to the world’s total pollutant emissions,societies are increasingly becoming aware of the impact that new hydropower plants or fossil-burning thermal generators have. And the “not in my backyard” syndrome, typical of developed countries, is also gaining strength in the region. Private investors leading key investment decisions in the reformed South American power sectors are facing organized opposition to the building of new plants. Brazil and Chile provide two examples of how countries are trying to reconcile the need for abundant energy supply with environmental constraints

This paper presents a mixed integer linear programming solution approach for the equilibrium problem with equilibrium constraints (EPEC) problem of finding the Nashequilibrium (NE) in strategic bidding in short-term electricity markets. A binary expansion (BE) scheme is used to transform the nonlinear, nonconvex, NE problem into a mixed integer linear problem (MILP), which can be solved by commercially available computational systems. The BE scheme can be applicable to Cournot, Bertrand, or joint price/quantity bidding models. The approach is illustrated in case studies with configurations derived from the 95-GW Brazilian system, including unit-commitment decisions to the price-maker agents.

The objective of this work is to investigate the application of different methodologies of allocation of firm energy rights among hydro plants using a cooperative game-theoretic framework. It is shown that there is not an optimal and unique approach to make this allocation, but there are criteria to verify if a given approach presents any drawbacks. One of these criteria is the “justice”, or “fairness”. It is shown that this criterion is equivalent to the condition of the core of a cooperative game. The calculation of the total firm energy will be based on the solution of a linear programming problem. The paper investigates the advantages and disadvantages of different methods to allocate the firm energy, such as marginal allocation, average production on the critical period, incremental allocation rights, “nucleolus” and Auman-Shapley (AS). It is shown that, besides being robust and computationally efficient, the AS allocation lies in the core of the game and, thus, meets the condition of “justice”. Some methods will be applied to the Brazilian system (composed of about 100 hydro plants) and the results will be compared with the allocation method currently adopted in the regulations of the country.

The integration of natural gas and electricity sectors has increased sharply in the last decade as a consequence of combined cycle natural gas thermal power plants. In some countries such as Brazil, gas-fired generation has been a major factor in the overall growth of natural gas consumption. Brazil’s National System Operator dispatches these gas-fired plants (along with other thermal sources such as coal, oil and nuclear) in conjunction with the country’s hydroelectric plants using a stochastic dual dynamic programming (SDDP) scheme. The SDDP algorithm determines the optimal hydro-to-thermal energy production ratio based on the expected benefit of reducing thermal plant generation over a large number of hydrological scenarios, along a planning horizon of five years. This means that the optimal scheduling decision today depends on assumptions about future load growth and future entrance of new generation capacity. However, the hydrothermal scheduling model does not take into account the possibility of future fuel supply constraints, either in production or in transportation. The assumption of fuel supply adequacy is felt to be reasonable for the more mature markets such as coal and oil. However, due to the fast growth of the natural gas market, it is possible that demand outpaces supply and/or transportation investments. A first indication that gas-related constraints could be relevant took place in January 2004, when 800 MW of combined-cycle generation (out of a total capacity of 1200 MW) could not be dispatched due to constraints in pipeline capacity. The objective of this work is present a methodology for representing the natural gas supply, demand and transportation network in the stochastic hydrothermal power scheduling model. Gas demand in each node is given by the sum of non-power gas consumption forecasts plus gas consumption factors for the gas-fired power plants; gas production in each node is represented as minimum and maximum production levels, depending for example if the gas field is associated with oil production. Finally, fuel transportation is modeled both through pipelines and through LNG. The application of the integrated electricity-gas scheduling model is illustrated in case studies with realistic configurations of the 90 GW Brazilian system.

The reform process in the electricity sector of any country has as main objective the design of a power market capable to induce a reliable and efficient energy supply, translated into adequate tariffs. Brazil started its reform process in 1996, inspired by similar schemes in the electricity sector of more developed countries. However, the existence of particularities in the country’s hydroelectric energy market, such as weak spot price signals for system expansion and difficulties to determine benchmark prices, avoided a smooth transition to a fully deregulated market. In 2004, a revisited power sector model was launched, aiming at alleviating the difficulties of the first model. The core of the new proposals lies on the use of contract obligation and energy supply auctions as the backbone for the efficient contracting and supply adequacy. Supply auctions were held in 2004-2005, with a volume of about 20,000 average MW contracted involving about 60 billion USD in financial transactions. This work discusses the implementation of auctions of energy contracts and call options in Brazil as part of the mechanisms to ensure supply adequacy adopted in the second stage of its power sector reform.

The optimal scheduling of hydrothermal systems requires the representation of future inflows uncertainties for basically two reasons. Firstly, to define the present day commitment of thermal plants in order to hedge against adverse low inflows, and, secondly, to specify the volume of water storage in reservoirs to avoid spillage if high inflows occur. An inflow scenario tree must be correctly dimensioned so as to provide a parsimonious — but still representative — sample of the multivariate process underlying possible future inflows. In this article we propose a methodology to generate such a tree. The idea is to use principal component analysis to reduce the effective dimensionality of the scenario specification problem so that a discretization technique can be used in a smaller dimensional space. A stochastic hydrothermal scheduling optimization model was applied to the Brazilian interconnected power system to illustrate the proposed methodology. The quality of the reduced sample was evaluated by considering not only hydrological aspects, but also the solution stability of the stochastic problem.

The objective of this article is to present a benchmarking of financial indicators implemented in hydroelectric stochastic risk management models. We present three model formulations using a tree approach for hydroelectric optimisation using three procedures for financial risk control: Minimum Revenues (Rmin), Value-at-Risk (VaR) and Conditional VaR (CVaR). According to their properties and their formulation in each model we compare them theoretically based on two criteria: their adequacy for electricity portfolio optimisation subject to risk constraints and the feasibility of their implementation inside the state of the art (SDDP) algorithm appropriate for large scale energy systems. Using numerical examples we verify the statements derived from the theoretical comparison.

The objective of this paper is to present the operating and hedging analysis of a hydroelectric system in a non-hydro dominated market using a specifically-developed tool for operating and contracting decisions. Hydropower companies are likely to face stochastic inflows, spot prices, and forward prices, during their operation. The objective of the tool is to maximize expected revenues from spot and forward market trading, considering suitable indicators of the company risk aversion. We benchmark the implemented risk indicator of required Minimum Revenues in the optimization tool using financial risk indicators, such as Value at Risk, Conditional Value at Risk, and the Risk Premium of a Utility function. This portfolio management problem, which includes physical and financial assets, is formulated as a stochastic revenue maximization problem under a specified risk aversion constraint. The company risk aversion is apprehended by penalizing reservoir operation and derivative instruments contracting decisions policies that lead to financial performances that are violating the required Minimum Revenues at the end of a predefined profit period. A hybrid Stochastic Dynamic Programming (SDP) / Stochastic Dual Dynamic Programming (SDDP) formulation is adopted to solve this large-scale optimization problem.

The network loading of a hydrothermal system is highly variable due to several factors. Hydro plants are usually located in different river basins, usually far from load centers. Diversity of streamflows along these basins lead to distinct generation dispatches, sometimes inverting energy interchanges between hydro based exporting regions, and also redistributing the power supplied to load centers. Transmission expansion planning criteria must reflect the trade-off between investments in transmission, inducing more competition in generation, at the expense of increasing customer costs and a higher reliability level due to these investments. Measuring these trade-offs for hydrothermal systems requires taking into account multiple dispatch scenarios, and assessing network reliability for each scenario by a contingency analysis for each circuit outage. The network design problem that aims at choosing the best reinforcements among many candidate routes and voltage levels must therefore represent the transmission constraints for relevant dispatch scenarios and circuit contingencies. In this work a mixed integer disjunctive model is extended so as to deal with this problem minimizing the sum of investment costs and network reliability worth, measured by average interruption costs due to contingencies. Real world case system applications show that by means of a judicious choice of scenarios and contingencies, despite the increase of problem size the model is applicable, achieving a balanced choice between network reliability and investment requirements.

With over 200 rivers around the world crossing international boundaries, internationally accepted treaties and agreements form the main framework for cross-border river development and operations. The Columbia River basin, in western North America, provides a significant example of effective cross-border river regulation. The river system is the fourth largest in North America but is called the "most powerful" river system on the continent, with an installed hydroelectric generating capacity of about 35,000 MW. The river originates in Canada and flows about 2,000 km to the Pacific Ocean in the United States. The river is operated under a treaty signed by the two countries in 1961, 13 years after a severe flood on the river that caused much damage in both countries. It was recognized that additional upstream storage regulation was needed to prevent similar flooding and that it would also help to improve power production at hydro plants in both countries. The Columbia River Treaty (CRT) is then an important planning and operations agreement to maximize benefits (multiple water uses) from the river for both countries. Under the CRT, Canada and US built storage regulation dams and agreed to operate the storage behind these dams in a coordinated manner to optimize for flood control and power needs. The objective of this work is to describe and analyze the CRT and to discuss the increasing public awareness of social and environmental issues in both countries, which has resulted in increasing pressures to modify river operations to optimize for other values in addition to power and flood control. While it is often difficult to find compatibility between the different goals of multiple water use, the CRT partners have maintained a cooperative attitude to find many "win-win" supplemental agreements, which have improved non-power operations on both sides of the border while maintaining the integrity of the CRT. Water resource conflict has long been discussed as one of the greatest threats to peace during the 21st century but early dialogue and earnest attempts to promote cooperation could, just as easily, turn such difficulties into a source of harmony rather than dispute. As will be seen, the CRT is a good example of such cooperation.

This work presents a methodology for energy transmission costs allocation, based on the Theory of Cooperative Games. The proposed method is based on the Aumann-Shapley scheme, which proposes a cost allocation in proportion to the average use of the transmission grid by each agent. The approach is shown to be robust, computationally efficient and presents many desirable characteristics in terms of economic coherence and isonomy. Computational results are presented for the Brazilian power system and compared with those obtained for three others methodologies: Long Run Marginal Cost (LRMC), the current method adopted in Brazil (a variant of the LRMC method) and Marginal Participation Factors.

This work presents a binary expansion (BE) solution approach to the problem of strategic bidding under uncertainty in short-term electricity markets. The BE scheme is used to transform the products of variables in the nonlinear bidding problem in to amixed integer linear programming formulation, which can be solved by commercially available computational systems. The BE scheme is applicable to pure price, pure quantity, or joint price/quantity bidding models. It is also possible to represent transmission networks, uncertainties (scenarios for price, quantity, plant availability, and load), financial instruments, capacity reinforcement decisions, and unit commitment. The application of the methodology is illustrated in case studies, with configurations derived from the 80-GW Brazilian system.

South America is facing important challenges in electricity supply to allow for future economic development. Current electricity market designs are being reviewed to avoid supply difficulties and couple the existing outlook of primary energy resources and the investment interest by the private sector. Examples of these developments are the giant Brazil,the economically troubled Argentina,and the pioneer of electricity reform,Chile. While Brazil and Chile progress into a second stage of reforms with public power purchase agreement (PPA) auctions in a private environment,Argentina makes a backward movement to significant state intervention,as in the times previous to reform. With these diverging approaches,their primary challenge is to ensure sufficient capacity and investment to reliably serve their growing economies.

The objective of this work is to present a decision support system to determine the optimal dispatch strategy of thermal power plants taking into account the particular specifications of fuel supply agreements, such as take-or-pay and make-up clauses. Opportunities for energy purchase and selling at the spot market as well as a detailed modeling of the power plant (maintenance cycles, influence of temperature, etc) are also considered in the optimization. In an integrated way, the model also determines the plants’ optimal schedule for maintenance. Since decisions in one stage impact the future stages, the problem is time-coupled in a multi-stage framework. Moreover, the main driver for the decision-making is the energy spot price, which is unknown in the future and is modeled here through scenarios. Therefore, the optimal dispatch strategy is a decision under uncertainty problem, where at each stage the objective is to determine the optimal operation strategy that maximizes the total revenues taking into account constraints and characteristics of the fuel supply contract. The methodology applied is the Stochastic Dual Dynamic Programming (SDDP). Examples and case studies will be shown with the Brazilian system.

The objective of this paper is to present an optimization model for hydro scheduling and risk management in deregulated electricity markets where hydropower companies are likely to face stochastic inflows, spot prices and forward prices. This portfolio management problem, which includes physical and financial assets, is formulated as a stochastic revenue maximization problem for a given risk profile. The model seeks to maximize company’s revenues by simultaneously determining generation, selling and purchasing decisions on both the spot and the forward markets. The company’s risk aversion is apprehended by penalizing release and contracting policies that lead to unacceptable financial performances. A hybrid stochastic dynamic programming (SDP)/stochastic dual dynamic programming (SDDP) formulation is adopted to solve this large-scale optimization problem. The state variables of the SDP/SDDP model are the volume in storage at the beginning of each time period, the previous inflows, the accumulated balance of forward contracts, the accumulated revenues and the accumulated profit for each profit period. Spot price and hydrologic uncertainties are captured through scenarios. The model also used a Markov chain description for forward prices. Market liquidity must be defined for each financial product. A hydropower company in the French market is used to illustrate this integrated physical and financial planning model.

The objective of this work is to present a decision support system to determine the optimal dispatch strategy of thermal power plants taking into account the particular specifications of fuel supply agreements, such as take-or-pay and make-up clauses. Opportunities for energy purchase and selling at the spot market as well as a detailed modeling of the power plant (maintenance cycles, influence of temperature, etc) are also considered in the optimization. In an integrated way, the model also determines the plants’ optimal schedule for maintenance. Since decisions in one stage impact the future stages, the problem is time-coupled in a multi-stage framework. Moreover, the main driver for the decision-making is the energy spot price, which is unknown in the future and is modeled here through scenarios. Therefore, the optimal dispatch strategy is a decision under uncertainty problem, where at each stage the objective is to determine the optimal operation strategy that maximizes the total revenues taking into account constraints and characteristics of the fuel supply contract. The methodology applied is the Stochastic Dual Dynamic Programming (SDDP). Examples and case studies will be shown with the Brazilian system.

The objective of this paper is to provide a methodology for pricing, under a generation company (Genco) point of view, long-term energy contracts signed across different price zones in a zonal pricing hydro-based power system where classical Financial Transmission Rights (FTRs) are not available. The main result is the establishment of the overprice that a Genco must include in the contract signed in a neighbor zone (where the Genco faces the congestion risk) when compared to the same contract offered in its own zone (with no congestion risk). All relevant risks (hydrological risk, congestion risk, etc) are captured for the long-term through the use of scenarios. Based on these scenarios and on the risk profile of the agent modeled by Utility Functions (UFs), the pricing of crosszones contracts are determined. The approach will be illustrated with practical examples deriving from the Brazilian electricity market, which is hydro-based, has a zonal-pricing scheme and does not offer instruments to hedge against congestion risks, such as FTRs.

Latin America has emerged in the recent years as one of the most dynamic regions for natural gas and electricity developments. The continent boasts abundant natural gas reserves and high-growth energy markets. The need to diversify away from heavy investments on hydropower and expensive oil is driving many countries to promote natural gas use, especially for power generation. On the other hand, several challenges are being observed, such as the competition between hydro and thermal generation, the breaking of cross-countries natural gas agreements, competition between natural gas for power generation and electric transmission, among others. This paper addresses natural gas-electricity resource adequacy planning for four countries in Latin America (Brazil, Chile, Mexico, Colombia) as well as the perspectives for creation of an integrated market in the Southern cone of Latin America.

This paper describes the main findings of the work carried out on behalf of Cigré Task Force C5-2-1 "Classification of Electricity Markets" within Study Committee C5 of Cigré. The work is based on a questionnaire that was answered by 23 countries covering all continents. This paper provides an overview of various international operating electricity markets. It describes and classifies the organization and functioning of electricity markets independent of industry structures, management of congestion, ancillary services management and regulatory aspects.

O objetivo deste trabalho é apresentar uma ferramenta computacional que determine a estratégia ótima de despacho de usinas térmicas considerando as especificações do contrato de combustível e suas cláusulas de take-or-pay, as oportunidades de compra e venda de energia no mercado spot, as características detalhadas da usina, tais como ciclos de manutenção, potência e taxa de conversão como função da temperatura ambiente etc. De forma integrada, o modelo determina ainda o cronograma ótimo de manutenção das unidades geradoras. Como as decisões de uma etapa têm impacto nas etapas seguintes, há um acoplamento temporal entre as decisões tomadas e o problema tem um caráter de decisão multi-estágio. Além disso, o principal driver para a tomada de decisão é o preço de curto prazo, que é desconhecido no futuro e modelado através de cenários. Desta forma, a estratégia ótima de despacho torna-se um problema de decisão sob incerteza, onde a cada etapa o objetivo é determinar a operação que maximize a rentabilidade total (ao longo de vários períodos) da central térmica. A metodologia empregada é a Programação Dinâmica Dual Estocástica (PDDE). Exemplos serão ilustrados com o sistema brasileiro.

O objetivo deste trabalho é apresentar uma ferramenta computacional para servir como base na elaboração de estratégias de atuação de distribuidores nos leilões de energia instituídos pelo novo Modelo Institucional do Setor Elétrico Brasileiro. O problema consiste em determinar a declaração anual de compra de energia das distribuidoras em cada leilão, dado um conjunto de instrumentos de gerência de risco. A metodologia de solução é a otimização estocástica multi-estágio, levando em consideração, principalmente, a incerteza no crescimento da demanda, os diversos horizontes de contratação e preços da energia. Exemplo e estudo de caso serão apresentados com dados do Sistema Elétrico Brasileiro.

O objetivo deste trabalho é desenvolver uma metodologia e apresentar uma ferramenta para estratégia de oferta de agentes geradores em leilões de contratos de energia existente. Assim, para um dado gerador, deve-se determinar a quantidade ótima de energia a ser ofertada em cada contrato, para cada nível de preço corrente do leilão, de maneira a maximizar a utilidade esperada do agente. A metodologia apresentada, leva em consideração o perfil de risco de cada agente frente aos riscos relevantes associados à contratação, como por exemplo: risco de preço e quantidade (devido à correlação negativa entre geração e PLD) e o risco de redução de montante contratado (devido à opção que as distribuidoras têm de reduzir os montantes contratados em até 4% ao ano – o que é equivalente a precificar uma put). Com a estratégia de atuação individual de um agente gerador já desenvolvida, é então apresentada e exemplificada uma metodologia de simulação de leilões, que modela a atuação de todas as empresas participantes em um esquema competitivo, por um processo iterativo.

Este artigo apresenta um método para seleção de cenários multivariados de afluência para ser aplicado ao problema de planejamento da operação de curto prazo (horizonte de até seis meses e estágios semanais e mensais). Os cenários propostos constituem uma árvore reduzida porém representativa das alternativas de afluências aos diversos reservatórios do sistema gerador de energia elétrica. Um estudo de caso com o sistema interligado brasileiro ilustra a aplicação da técnica proposta, examinando resultados tanto do ponto de vista hidrológico quanto da sua aplicação ao modelo DECOMP de otimização da operação hidrotérmica de curto prazo.

Without available summary.

The objective of this work is to present a binary expansion (BE) approach to the calculation of Nash equilibrium in electricity markets. The BE scheme is used to transform the products of variables in the nonlinear bidding problem into a mixed integer linear (MILP) formulation, which can be solved by commercially available computational systems. The BE scheme is flexible, and applicable to applicable to Cournot, Bertrand or joint price/quantity bidding models. It is also possible to represent transmission networks (zonal and DC power flow), uncertainties (scenarios for plant availability and load) and unit commitment. We start from the basic equilibrium formulation: no agent can improve its revenues by changing its bid, given the equilibrium bids of the remaining agents. Next, we show that, for a discrete set of bidding decisions (which is the case of the BE formulation) the no-improvement condition for each agent can be handled by enumeration. In this case, the Nash equilibrium conditions become a set of simultaneous MILP constraints, which can be solved by commercially available software. It is also possible to systematically generate the multiple Nash equilibria. The application of the methodology is illustrated in case studies with configurations derived from the 80 thousand-MW Brazilian system.

This work presents a comparison between the binary expansion approach and non linear optimization methods for the strategic bidding under uncertainty problem.

This paper discusses how the issue of supply adequacy is treated in the Brazilian power market, analyzing lessons learned from past experiences and describing the solutions that are being implemented to reconcile competition in generation with an adequate supply.

We extend a static mixed integer disjunctive (MID) transmission expansion planning model so as to deal with circuit contingency criterion. The model simultaneously represents the network constraints for base case and each selected circuit contingency. The MID approach allows a commercial optimization solver to achieve and prove solution optimality. The proposed approach is applied to a regional Venezuelan network, and results are discussed.

Within the Western Interconnection there is a growing realization that the traditional long-term planning processes and analytical methods used to evaluate wires and non-wires alternatives fail to address many of the questions arising from deregulation and the perceived need for new infrastructure to facilitate markets and to assure reliability. In addition, homeland security issues may influence transmission infrastructure expansion. This paper describes the region’s evolving transmission expansion planning process and the role OPF modeling plays in aiding decision-making and consensus building. It identifies some opportunities for improvement in modeling, highlights two state-of-the-art models with capabilities that go beyond those of other models currently used for long-term transmission planning and makes a case for why we need to invest in better modeling and databases.

This paper describes the structure and regulation of transmission-related activities in Brazil, and assesses their effectiveness/limitations when addressing issues such as network expansion, locational pricing, transmission financial rights, and others. The paper also discusses the cross-border energy trading between Brazil and neighbor countries, and the perspectives of an integrated regional electricity market.

The objective of this paper is to present an optimization model for hydro scheduling and risk management in deregulated electricity markets where hydropower companies are likely to face stochastic inflows, spot prices and forward prices. This portfolio management problem, which includes physical and financial assets, is formulated as a stochastic revenue maximization problem for a given risk profile. The model seeks to maximize company’s revenues by simultaneously determining generation, selling and purchasing decisions on both the spot and the forward markets. The company’s risk aversion is apprehended by penalizing release and contracting policies that lead to unacceptable financial performances. A hybrid stochastic dynamic programming (SDP)/stochastic dual dynamic programming (SDDP) formulation is adopted to solve this large-scale optimization problem. The state variables of the SDP/SDDP model are the volume in storage at the beginning of each time period, the previous inflows, the accumulated balance of forward contracts, the accumulated revenues and the accumulated profit for each profit period. Spot price and hydrologic uncertainties are captured through scenarios. The model also used a Markov chain description for forward prices. Market liquidity must be defined for each financial product. A hydropower company in the French market is used to illustrate this integrated physical and financial planning model.

This paper presents an optimization procedure for transmission expansion planning that takes into account multiple dispatch scenarios, contingency constraints and multiple stages. The resulting model is a very large nonlinear integer programming problem, which is solved by the combination of the following techniques: (i) a disjunctive formulation transforms the non linearities into linear integer constraints; (ii) an heuristic ranking procedure is used to select the most critical combinations of dispatch and contingency scenarios, to be incorporated into the "global" optimization model; afterwards, a "greedy" optimization scheme produces the required reinforcements for the remaining scenarios; (iii) a “horizon year”/backward optimization approach is used to decompose the multi-stage problem into a sequence of one-stage problems. The application of these techniques is illustrated for two "real life" planning studies for the systems of El Salvador and Venezuela.

The optimal hourly scheduling of generation and transmission resources over the next day or week is a key function of both liberalized and centrally planned power sectors. The main difficulty in solving this short-term scheduling (STS) problem lies in the joint modeling of nonlinearities (for example, head variation in hydro plants and quadratic circuit losses); integer decisions/nonconvexities (e.g unit commitment); and time- and space-coupling constraints (such as the water balance in reservoirs and transmission network equations). Although several techniques, in particular Lagrangian Relaxation (LR), have been successfully applied to the solution of STS problems, some limitations appear when a large number of constraints has to be relaxed; also, the LR multiplier updating scheme often has to be “tuned” for each particular power system, thus reducing its flexibility. The approach presented in this paper is based on the transformation of STS nonlinearities and nonconvexities into piecewise mixed linear integer (MILP) constraints. This approach was found to be flexible, allowing the modeling of complex features of both hydrothermal generation and the transmission network. Also, by taking advantage of recent advances in commercial solver capabilities, the MILP scheme was found to be computationally efficient, as illustrated in case studies with seven countries in Latin America and Europe.

Without available summary.

The objective of this work is to analyze the hydrological risk faced by hydro plants (or hydro based portfolios) in hydropower based markets and possible mitigation measures. This risk, which arises in low inflow seasons, can lead to high financial exposures of these agents in the spot market. The analysis will be carried out with the aid of optimization models. In particular the insertion of a thermal plant into the hydro portfolio will be analyzed. This asset can work as an insurance (or back-up) to the portfolio and provide significant risk reductions with the synergy among the energy sources in the new mix. Case studies will be presented with the Brazilian system, which is hydro based.

This paper presents the methodology and results of an integrated generation and transmission expansion planning study for the ten-country Balkans region. The methodology, which is based on large scale decomposition techniques, allows a detailed representation of the multi-regional hydrothermal system operation, such as chronological simulation, modeling of water coupling for reservoirs in cascade, pumped storage, stochastic optimization of reservoir operation, multivariate probabilistic inflow modeling, transmission network constraints, spot purchases and emission limits. On the investment side, one can represent capacity reserve constraints, mutually exclusive and interdependent projects, and both integer and continuous investment decisions

The electric utility deregulation process and the introduction of competition among its participants introduced the notion of equilibria models adapted to the energy market. Among them, the Stackelberg equilibrium represents a monopolist approach, defined by a hierarchical structure, with a dominant firm acting in a privileged position and a group of subordinated ones acting as followers. Its application to ac power systems can be modeled as a bilevel mathematical problem, and represented by its Karush Kuhn Tucker (K.K.T.) formulation. This paper presents a noninterior point algorithm to solve this Stackelberg equilibrium, considering the electrical power system as an interconnected network through its transmission system. Numerical examples with a 24 bus and the IEEE-118 bus systems illustrated the leader participant behavior and showed the market power exercised by them, which is increased in the presence of tighter transmission capacity constraints. The numerical examples also showed the robustness and efficiency of the proposed algorithm.

Optimal operation of hydrothermal systems is very complex because it corresponds to a multiperiod, stochastic, large scale and characterized by a nonseparable objective function optimization problem. As a result it is traditionally carried out without taking into account transmission constraints or considering them in a very simplified way. This approach is not adequate to address certain kind of problems such as cost-benefit studies of transmission interconnections in hydro systems or the study of spatial distributions of spot prices (“zones” identification) through the electric network, due to hydro and power flow constraints. In this paper we address the problem of stochastic optimization of large scale transmission constrained hydrothermal systems with applications to the Brazilian case.

Este trabalho apresenta um sistema de apoio às decisões de investimento e comercialização de energia elétrica no Brasil. O objetivo do sistema é otimizar a gerência de um portfólio de energia composto de ativos físicos e financeiros. As decisões - que incluem a construção, participação ou venda de ativos e o compra ou venda de instrumentos financeiros - são feitas de maneira a maximizar a rentabilidade, sujeito a restrições de risco consideráveis aceitáveis pelo agente. Exemplos de aplicação do sistema a empresas do setor elétrico Brasileiro são apresentados e discutidos.

O objetivo deste trabalho é analisar o risco hidrológico para usinas/portfólios hidroelétricos no sistema elétrico Brasileiro e propor sugestões para sua mitigação. Esta análise será feita através do uso de ferramentas de otimização, onde em particular será analisado o impacto da inserção de uma central térmica em um portfólio hidroelétrico como medida de redução de risco hidrológico através do ganho sinérgico no mix do novo portfólio. Os resultados da otimização podem então se comparados com o desempenho do portfólio sem a inserção da UTE. Análises de sensibilidade serão efetuadas, avaliando o beneficio da flexibilidade da UTE na mitigação do risco hidrológico.

O objetivo deste trabalho é analisar o processo de formação do preço spot em um despacho baseado em ofertas de preços. Em particular será analisado o exercício de poder de mercado neste esquema de despacho e alternativas de mitigação, onde o uso de contratos será analisado em detalhes. São discutidas características individuais de aversão ao risco dos agentes como motivação da contratação e o efeito real dos contratos na redução do poder de mercado. São apresentados resultados para o sistema Brasileiro.

Este trabalho apresenta um modelo de otimização para o cálculo da energia firme de um conjunto de usinas, representando de maneira detalhada os aspectos da operação hidrelétrica (balanço hídrico, coeficiente de produção variável com o armazenamento, variação do canal de fuga com a vazão defluente, variação da evaporação com a área do reservatório etc.), além de restrições de transmissão. A aplicação do modelo para o conjunto de usinas hidrelétricas existentes revela que a energia firme dos subsistemas Sudeste e Nordeste é inferior ao respectivo somatório dos certificados de energias asseguradas destas regiões. Isto significa que ocorrerá novo racionamento de energia elétrica caso se repita no futuro a pior situação hidrológica observada no passado. Sugere-se uma revisão metodológica que considere simultaneamente a hipótese de repetição da pior seca do passado e a gradativa diminuição da disponibilidade hídrica para produção de energia elétrica, por conta do uso múltiplo dos recursos hídricos.

Apresenta-se um modelo de otimização inteira mista para expansão da rede de transmissão de um sistema hidrotérmico, no qual se representam as metas de geração hidro no ano de estudo para diversas condições hidrológicas, e também as condições de atendimento das demandas, representadas de forma discretizada em patamares. A formulação disjuntiva do problema aqui adotada evita a não linearidade usual na segunda lei de Kirchoff envolvendo produtos entre variáveis de investimento e de ângulos nodais. A representação detalhada das condições operativas ao longo do ano garante um correto dimensionamento dos reforços de transmissão de sistemas hidrotérmicos. As condições operativas e o despacho são afetadas pelos intercâmbios entre regiões, que podem variar sazonalmente com a condição hidrológica e também com a condição de carga. Um exemplo real ilustra a aplicação do modelo.

Este relatório consolida o esquema de oferta de preços no mercado de curto prazo proposto pela PSR para o sistema brasileiro. Este trabalho foi desenvolvido no contexto do Comitê de Revitalização do Setor Elétrico Brasileiro, durante o anod e 2002.

In competitive hydro-based systems there is a strong incentive for local distribution companies (LDCs) to contract 100% of their load to hedge against the well-known price volatility of the spot markets. Bilateral contracts are usually financial instruments, meaning that the LDCs automatically sell to the spot market any difference between the energy bought through the bilateral contracts and the actual consumption. This means that, if spot prices are high, there will be an incentive for load reduction. This mechanism will allow the potential for load elasticity to be realized. The objective of this work is to analyze this issue, by comparing the tradeoff between giving incentives to customers to reduce their consumption when spot prices are high and the actual benefit of this reduction to the distribution company in terms of revenues. Case studies with data taken from the Brazilian system are presented and discussed.

Most energy sectors are looking carefully at California. An unprecedented electric power deficit has affected one of the main economies of the world, threatening to bankrupt two utilities and having a devastating impact on other economic activities. In Brazil, the government hurries to point out the differences between its situation and that of California. It seems that Brazil has done the opposite of California in many respects and, as a result, faced energy rationing of 20% of the country's load for 7 months in 2001. This article briefly diagnoses what went wrong with the Brazilian reform, contrasts its approach with that of California, and discusses alternatives to improve the situation. In particular, some of the criticisms that have been levied to Brazilian sector reform will be addressed: half of the critics say the solution is more market, the other half that one should go back to state-owned enterprises. In addressing the more-market- side approach, some problems such as bid-based dispatch in cascade hydro plants and the concept of a wholesale water market as well as market power issues are discussed.

For the past two decades, deregulation and restructuring of the electricity sector and creation of competitive electricity markets has been under way in Latin America, where electricity generation is dominated by hydroelectric systems. This article describes how electric sector reform has evolved, what it looks like today, and how hydro is affected.

The objective of this work is to investigate market power issues in bid-based hydrothermal scheduling. Market power is simulated with a Nash-Cournot equilibrium model. In the static model the equilibrium is calculated analytically. It is shown that the total production of N strategic agents is smaller than the least-cost solution by a factor of (N/(N+1)). In the dynamic model (multi-stage, stochastic) the problem was handled through an extended stochastic dynamic programming scheme, where the decision in each stage and state is the Nash equilibrium of a multi-agent game. Case studies with the Brazilian system are presented and discussed.

Hydrothermal systems optimal scheduling requires the representation of uncertainties in future inflows in order to hedge against adverse future low inflows by committing thermal plants, and also to store water in reservoirs while avoiding spillage when high future inflows occur. An inflow scenario tree must be correctly dimensioned so as to provide a parsimonious yet representative sample of possible future inflows to reservoirs. We use a multivariate stochastic inflow model to generate an i.i.d sample of future inflows at each stage, followed by a clustering of similar inflow scenarios to reduce the dimension of the scenario tree. A stochastic scheduling optimization model is applied to different scenario tree sizes and the stability of results is analyzed.

For the past two decades, deregulation and restructuring of the electricity sector and creation of competitive electricity markets has been under way in Latin America, where electricity generation is dominated by hydroelectric systems. This article describes how electric sector reform has evolved, what it looks like today, and how hydro is affected.

In competitive hydro-based systems there is a strong incentive for Distribution Companies to contract 100% of their needs to avoid the well known price volatility of the spot market. Because the bilateral contracts are financial instruments, the load may automatically sells to the spot market any difference between contract and actual consumption. This means that, if spot prices are high, there will be an incentive for load reduction. This mechanism will allow the potential for load elasticity to be realized. The objective of this work is to analyze this issue, by comparing the tradeoff between giving incentives to customers to reduce their consumption when the spot prices are high and the actual benefit of this reduction to the Distribution Company in terms of revenues. Case studies with data taken from the Brazilian system are presented and discussed.

As water demand surpasses water availability, the problem of who will have access to water and who will be rationed is inevitable. This is already the case in arid regions or where the economic uses of water exceed water capability. This work contributes to the understanding and resolution of this decision-marking process. Several cost of water for different users is presented. This model leads to both a water pricing scheme and a method for compensating rationed parties.

Apresenta-se um modelo de otimização inteira mista para expansão da rede de transmissão de um sistema hidrotérmico, no qual se representam as metas de geração hidro no ano de estudo para diversas condições hidrológicas, e também as condições de atendimento das demandas, representadas de forma discretizada em patamares. A formulação disjuntiva do problema aqui adotada evita a não linearidade usual na segunda lei de Kirchoff envolvendo produtos entre variáveis de investimento e de ângulos nodais. A representação detalhada das condições operativas ao longo do ano garante um correto dimensionamento dos reforços de transmissão de sistemas hidrotérmicos. As condições operativas e o despacho são afetadas pelos intercâmbios entre regiões, que podem variar sazonalmente com a condição hidrológica e também com a condição de carga. Um exemplo real ilustra a aplicação do modelo.

Este trabalho apresenta um modelo de otimização para o cálculo da energia firme de um conjunto de usinas, representando de maneira detalhada os aspectos da operação hidrelétrica (balanço hídrico, coeficiente de produção variável com o armazenamento, variação do canal de fuga com a vazão defluente, variação da evaporação com a área do reservatório etc.), além de restrições de transmissão. A aplicação do modelo para o conjunto de usinas hidrelétricas existentes revela que a energia firme dos subsistemas Sudeste e Nordeste é inferior ao respectivo somatório dos certificados de energias asseguradas destas regiões. Isto significa que ocorrerá novo racionamento de energia elétrica caso se repita no futuro a pior situação hidrológica observada no passado. Sugere-se uma revisão metodológica que considere simultaneamente a hipótese de repetição da pior seca do passado e a gradativa diminuição da disponibilidade hídrica para produção de energia elétrica, por conta do uso múltiplo dos recursos hídricos.

Without available summary.

The objective of this work is to investigate market power issues in bid-based hydrothermal scheduling. Initially, market power is simulated with a single stage Nash-Cournot equilibrium model. Market power assessment for multiple stages is then carried through a stochastic dynamic programming scheme. The decision in each stage and state is the equilibrium of a multi-agent game. Thereafter, mitigation measures, specially bilateral contracts, are investigated. Case studies with data taken from the Brazilian system are presented and discussed.

A Greedy Randomized Adaptive Search Procedure (GRASP) is a heuristic method that has shown to be very powerful in solving combinatorial problems. In this paper we apply GRASP to solve the transmission network expansion problem. This procedure is an expert iterative sampling technique that has two phases for each iteration. The first, construction phase, finds a feasible solution for the problem. The second phase, a local search, seeks for improvements on construction phase solution by a local search. The best solution over all GRASP iterations is chosen as the result.

Abstract—The classical nonlinear mixed integer formulation of the transmission network expansion problem cannot guarantee finding the optimal solution due to its nonconvex nature. We propose an alternative mixed integer linear disjunctive formulation, which has better conditioning properties than the standard disjunctive model. The mixed integer program is solved by a commercial Branch and Bound code, where an upper bound provided by a heuristic solution is used to reduce the tree search. The heuristic solution is obtained using a GRASP metaheuristic, capable of finding sub-optimal solutions with an affordable computing effort. Combining the upper bound given by the heuristic and the mixed integer disjunctive model, optimality can be proven for several hard problem instances.

Abstract—This paper describes an implementation of Tabu Search to cope with long-term transmission network expansion planning problems. Tabu Search is a metaheuristic proposed in 1989 to be applied to combinatorial problems. To assess the potential of our approach we will test it with two cases of transmission network expansion planning. The results obtained by our approach let us to conclude that TS is a robust and promising technique to be applied in this problem.

O objetivo deste trabalho é investigar possíveis ineficiências numa operação descentralizada de sistemas hidrotérmicos. Mostra-se que a operação descentralizada de usinas hidroelétricas isoladas num mercado perfeito converge para a operação de mínimo custo. Além disso, o problema de despacho de usinas hidroelétricas em cascata pertencentes à diferentes agentes será formulado. Mostra-se que o esquema de pagamento spot não provê os incentivos corretos para os reservatórios à montante regularizarem a produção à jusante. A solução proposta é a criação de um "Mercado Atacadista de Água", análogo ao Mercado Atacadista de Energia, que comercialize a água regularizada. Estudos de caso serão analisados.

Without available summary.

This paper describes some methodologies and tools being developed to address the new challenges - and opportunities - posed by power sector restructuring in hydrothermal systems:

(a) optimal stochastic dispatch of multiple reservoir systems;
(b) joint representation of equipment outage and inflow uncertainty;
(c) distortion of short-run marginal costs signals when applied to cascaded plants with different owners;
(d) economic efficiency and market power issues in bid-based hydrothermal dispatch. The issues are illustrated with case studies taken from the Colombian system.

This report presents an overview of the stochastic dual DP scheme and its applications to hydrothermal scheduling, including extensions for fuel cost uncertainty and revenue maximization.

O objetivo do estudo é quantificar o benefício resultante da operação integrada das usinas hidrelétricas do sistema brasileiro quando comparado com a hipótese de uma operação "individualista". Na operação integrada, a capacidade de regularização de um usina é utilizada para maximizar tanto a sua produção como a das demais usinas localizadas a jusante. Isto não ocorre na operação "individualista", onde a usina obejtiva maximizar somente sua produção, sendo indiferente às usinas a jusante.