What could be causing the lost of power after start up?

Audi A3 2002 1.9tdi 100hp - 165000km

I've changed the water pump, oil, belts, filters.
It doesn't matter how cold it is, usually it starts like a charm and then after some 2-3km suddenly (usually whilst braking on traffic lights) it looses power and it goes dead on me. Then I have to try 2-3 times before starts up again, and after the second start up it gives me no such problems again.
Weird!

 

It sounds to be an electrical problem. I think you should check the fuel pump relay first.

 

I'll check it ASAP.