Steam is very efficient because steam cycles operate on heat so it can use most of the chemical energy in its fuel. When a fuel is burned, it releases energy as heat, and if contained in a piston, it releases pressure as the pressure of expanding gasses. A gasoline internal combustion engine uses the pressure expanding gases of gasoline combustion to push pistons and turn the engine, but hardly uses any of the heat produced, so that energy is lost. A steam engine, on the other hand, does not contain its fuel and so almost all of the energy is turned to heat. The engine then uses that heat to turn the water into steam, which then turns a turbine. So a steam engine could, in theory, utilize all of the energy released by its fuel. In reality, heat is still lost, but its still a very efficient way to use fuel.
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