Enhancing the value of flexible generation capacity through continuous intraday markets and scarcity pricing

The increasing integration of intermittent renewable production requires more flexible assets in power systems. This thesis studies potential paths in order to increase the remuneration of these flexible assets. Specifically, this thesis develops trading strategies for the Continuous Intraday Market, and analyzes different options for implementing a scarcity pricing mechanism in the European electricity market design. The contributions of the dissertation are organized in three chapters. Chapter 2 presents a method for trading the production of a storage unit in the Continuous Intraday Market. We model this problem in the Markov Decision Process framework. We present an approach based on Policy Function Approximation for tackling the problem. We provide relevant parameters for defining our policy, and demonstrate the effectiveness of our approach by comparing it to a method employed in the industry on real historical data. In chapter 3, we characterize an optimal policy for trading a fixed quantity in a simplified version of the Continuous Intraday Market. We use this analytical solution as a basis for developing a Value Function Approximation algorithm and an alternative Stochastic Dual Dynamic Programming algorithm that can trade under a more realistic set of assumptions. Chapter 4 proposes a methodology for analysing different market design options for implementing scarcity pricing in the European markets. The methodology relies on analytical insights derived under an assumption of price-taking behavior. These insights are validated by a simulation model which represents the European balancing market as a Markov Decision Process. Our results highlight the benefit of introducing a market in the European market design for trading balancing capacity in real time.(FSA - Sciences de l'ingénieur) -- UCL, 202