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20,No.617,

pp.703-709, 19%

Printed in Great Britain. All rights reserved

0098-1354/% $lS.OO+O.Ml

Pergamon

$8

./:

0098-1354(95)00203-0

EFGINEERING PROBLEMS UNDER UNCERTAINTY

M.G.

IERAPETRITOU,.~.ACEVEDO~~~ E.N.Pwmco~ou~os~

Technology, Imperial College of Science, Technology and Medicine, London SW7 2BY, U.K.

(Received I5 Februmy 1995; received for publication II May 1995)

Abstract-The

problem of selecting an optimal design/plan for process models involving stochastic

parameters is addressed in this paper. A classification of uncertainty is introduced &pending on its

sources and mathematical model structure. A combined multiperiodlstochastic optimization formulation is then proposed along with a decomposition-based algorithmic piocedure for its solution. The

approach is illustrated with a process synthesis/planning example problem.

optimization problems involving stochastic parameters. Modelling issues regarding process uncertainty and its sources are examined in detail in an

attempt to classify the types of uncertainty that can

be treated as deterministic and those which have

to be treated in a stochastic manner. Issues

related to permanent feasibility and optimal flexibility are also addressed. A comprehensive combined

multiperiod/stochastic

optimization formulation is

then presented together with a decomposion based

algorithm for its solution. The approach is illustrated with a process synsthesis/planning

example

problem.

1. INTRODUCTION

Production

systems

typically

involve

significant

or internal sources. The existence of uncertainty

transforms

conventional

deterministic

process

models to stochastic/parametric

problems, the solution of which indisputably remains challenging, yet

of great practical importance.

The problem of accounting for uncertainty at the

design stage has received considerable attention in

the chemical engineering literature especially over

the last decade (see Grossmann and Straub, 1991,

for a recent review). Two main directions can be

broadly distinguished, (i) deterministic and (ii) stochastic based approaches. In the deterministic case

(Grossmann and Sargent, 1978; Grossmann and

Halemane,

1982; Paules and Floudas,

1992;

Varvarezos et al., 1992), the description of uncertainty is provided either by specific bounds or via a

finite number of fixed parameter values (periods,

scenarios) - this transforms the process model to a

deterministic approximation. Often, such a model

approximation can be coupled with flexibility test/

index problems (see for example Pistikopoulos and

Grossmann,

1988, 1989). In the stochastic case

(Reinhart and Rippin, 1986; Pai and Hughes, 1987;

Pistikopoulos

and Mazzuchi, 1990; Straub and

Grossmann, 1993), uncertainty is described by probability distribution functions - this transforms the

process optimization model to a stochastic program

where two-stage programming techniques can in

principle be applied (Wets, 1974; Birge and Wets,

1989; Dantzig, 1989).

uncertainty

in their operation

2.CLASSIFICATIONOFUNCERTAINTY

We consider

form:

process

s.t.

models

of the following

h(d, z, x, g) =0

g(d,z,x,WsO

xEX,zEZ,dED

state variables, respectively; 8 is the vector of uncertain parameters; P(d, z, 8) is an economic objective

function; h(d,z,x,B),

g(d,z,x,g)

are vectorsof

equality and inequality constraints describing the

process; or equivalently (for ease in the presentation) by eliminating the state variables x:

should be addressed.

703

M. G.

704

Problem (P)

)

&&I,

s.t.

i. -

IERAPETRITOU et

z, e)

f(d, z, B)sO

zEZ,deD

Based on the nature of the source of uncertainty

in a process, described by the mathematical model

in (P), a suitable classification can be proposed as

follows:

(9 Model-inherent uncertainty; it includes kinetic constants, physical properties, transfer

coefficients. Information regarding this type

of uncertainty

is usually obtrained from

experimental and pilot-plant data; a typical

description form can be supplied via either a

range of possible realizations

or some

approximation of a probability distribution

function.

uncertainty;

flowrate and

(ii) Process-inherent

temperature variations, stream quality fluctuations and so on fall into this category

which is usually described by a probability

distributional form obtained from (on-line)

measurements. Any desired range of these

uncertain parameter realizations could in

principle be achieved through the implementation of a suitable control scheme.

(iii) External uncertainty, including feedstream

availability, product demands, prices and

environmental conditions. Forecasting techniques based on historical data, customers

orders and market indicators are usually used

to obtain approximate ranges of uncertainty

realizations or a probability distributional

form.

(iv) Discrete uncertainty, for equipment availability and other random discrete events. A

(discrete) probability distribution function

can commonly be obtained from available

data and manufacturers specifications.

Dealing with the above types of uncertainty in

process design and operations gives rise to two

distinct design objectives, reflecting the decision

makers own preference and judgment as well as the

available information

regarding the uncertainty

itself (i.e. model of the uncertainty). These design

objectives have usually been referred as (Grossmann and Straub, 1991):

z (Dl)-design

for fixed degree of flexibility, if

the aim is to achieve an optimal design/plan

while ensuring feasible operation for any possible realization of the uncertain parameters.

al.

z (D2)-design

with optimal degree of flexibility,

if the trade-offs between economics and flexibility are properly explored.

Note that, from a modelling point of view, all

types of uncertainty could in principle be included in

either design objective. Therefore, in general, some

uncertain parameters will be associated with design

objective Dl, i.e. considered as deterministic,

while some others will be treated in a stochastic

manner (linked to design objective D2).

3. COMBINED MULTIPERlOD/STOCHASTC

PROGRAMMING

Based on the classification of the uncertainty and

design objectives presented in the previous section,

and by partitioning the vector of uncertain para-..

meters 0 in two subsets ed and 8, denoting deterministic and stochastic parameters respect&ly, ._

problem (P) can be recast as follows:

Problem (Pl)

f(dd,,W~o

zEZ,dED

edE7-={edIe+edse:),

e,EJ(e,)

probability distribution functions. Discrete uncertainty is ndt considered in this paper (see Thomaidis

and Pistikopoulos, 1994).

The vector of the deterministic uncertain parameters ed can be further described by a number of

periods/scenarios, p, p = 1, . . . , P within the set T.

This results in a typical multiperiod optimization

formulation as follows:

Problem (PlS)

s.t.

The stochastic uncertain parameters 0, will be

considered within a two-stage stochastic formulation

satisfying design objective D2. (PlS) then results in

the following combined multiperiodlstochastic

programming formulation:

705

Problem (MS-P)

where:

s.t. f(d,zP,B~,&)sO,

p=l,...,

e,)

P

zPEZ,dED,fl,EJ(&)

where the evaluation of the expectancy is performed

within the corresponding

feasible region R(d),

R(d) ={~,IV&ER~Z~: f(d, Zp, ep,, e,>So)vp}.

Problem

(MS-P) mathematically

describes a

design strategy consisting of two stages. Once a

design has been selected at the first (design) stage,

the objective of the second (operating) stage is to

determine an optimal vector of control variables zP

for every possible realization of the uncertainty 0,

and t3P,.Note that the overall objective of simultaneous economic optimization and design feasibility

is enforced at the design stage, since the selection of

the design variables is based on the maximization of

the expected profit evaluated inside the corresponding feasible region.

The general formulation in (MS-P) captures the

various types of uncertainty and design objectives

for flexibility in a unified way. Consequently, most

proposed formulations for flexible design optimization can be viewed as special cases of this combined

multiperiod/stochastic

optimization

problem; for

example,multiperiod

design optimization problems

(Varvarezos et al., 1992) for the case when only

deterministic uncertain parameters are involved,

stochastic design optimization problems (Pistikopoulos and Ierapetritou, 1994) if stochastic uncertain parameters

are considered. _ An attractive

feature of the formulation in (MS-P) is that it preserves the block diagional structure (in the constraints) of- the conventional multiperiod optimization problems.

This property will be put to

advantage by properly employing a decompositionbased strategy, as will be discussed in the following

sections.

#$L&$

.I

I ier - e3

s.t. f(d,z+,

es, e:)sovp

ensefse,se,Usey

results in the determination of the corresponding

feasible region (of design a), with which quadrature

points for II, can be appropriately defined by:

ey =o.qe:(i

the end of this step, the expected profit optimization

subproblem exhibits the expanded block diagonal

structure of Fig. 2, implying that each subproblem

can be solved independently:

max PqP(d, zW, ep,, ef)

IW

0.

lower bound of (MS-P), then results as:

EPk(d) = 2

WqpPqp(& Zqp,es,

efp).r(ofp)

QXP

From the dual information obtained from the

solution of the feasibility and profit subproblems,

and the application of the general correction factors

of Appendix A, the following master problem is

constructed, yielding an upper bound to the solution

of (MS-P) and a new set of design variables d.

Figure 1 shows the block diagional structure of

model (MS-P) with the design variables d and uncertainty 0, being the connecting variables. This

structure calls for a special decomposition, extending the algorithm of Pistikopoulos and Ierapetritou

(1995), as follows. By fixing the vector of design

s.t.

PG EPk(d)-

$[f(d,

zk@,8p,, @qP))]

QxP

I&

-c I c

&J,kf( .) +LJf( .)

I

i=2

-~~~kf(.)-~~zfL(.)

k=l,.

..,K

M. G.

706

.,

IERAPETRITOIJ

. .. .

;t$

etul..

:

0:

STOCHASTIC PROGRAMMING MODEL (MS-P)

i

SELECT AN INITIAL DECISION

k=r. EPU=+m ,EPL=-m

k

SOLVE FEASIBILITY

SUBPROBLEMS ATEACH'PERIOD

FOR UNCERTAINTIES BI

Dual

information

1

OPTIMIZE PROFIT FUNCTION

AT EACH PERIOD (es) AND

QUADRATURE POINT (B#

'..

:,/1

i

EVALUATE EXPECTED

information PROFIT EPk AND UPDATE

LOWER BOUND IF EPkbEPL

Dual

Lagrange

multipliers

(see Appendix

A);. k=

1 , . . . , K is the number of iterations.

The- proposed algorithmic procedure is shown

schematically in .Fig. 3. Note that it involves the

solution of (Qsl- l)/(Q - 1) feasibility subproblems (where.Q is the number of quadrature points

per uncertainty 0,; (&I is the cardinality number)

and (Qletl X PI) profit optimization subproblems at

each iteration; yet, most subproblems can be solved

in a parallel/distributed

computing environment and

are of considerable smaller size (in number of variables) when compared to the original model in (MSP): Note also .that for the case of & uncertainty

appearing only in the objective function, further

simplifications of the algorithm can be achieved

based on the following remark:

Remark: Consider a profit function P(d, z, 0,) of

.

the following form:

.

fOFTIMAL DESIGN/PLAN)

li

dk

stochastic programming problem.

-<._> ,_

Process

Process

Process

Process

Process

Prodhction constant

_

(MP)

(PC)

18

20

15

100

80

130

150

1

2

3

4

i .~ -

707

Uncertain

parameter

Distribution

function

Mean

value

Positive

deviation

Negative

deviation

Demand of C (6,)

Availability of A (0,)

Cost of A (0,)

Cost of B (0,)

N(17.5. 2.5)

N(27.5, 2.5)

N(250,lO)

N(300, 15)

17.5

27.5

250

300

7.5

7.5

30

45

7.5

7.5

30

45

. ..

Periodskenarios

Kinetic

constants

Then

12

4. PROCESS SYNTIiESIShLANNING

EXAMPLE PROBLEM

superstructure) for the production of C is shown in

Fig. 4. The feedstock to process 1 is produced by

one or a combination of processes 2,3 and 4. There

is also the option of buying a restricted amount of

the intermediate product to increase the production.

The economic data and the equilibria constants are

Table 2. Mathematical model

Material balances

Process conversions

Demand limitation

Availability

limitations

Production

limitations

Objective function

A?+A,+A,=A

&+B3+B,=Bs

C=O.9 (B,+BI)

_

Er= Ml, In(1 +A,/k,)

E,= MP3 In(1 +A,/k,)

B, = MP, In(1+ Ad/k,)

56

k&J

4(6,)

19

20

25

19

21

26

20

21

25

20

22

26

20

22

27

21

22

27

21

21

26

21

20

26

Weights

0.1

0.15

0.15

0.15

0.1

0.1

0.15

0.1

k2 (e,)

Appendix B.

Computational issues regarding the performance

of the algorithm presented here are discussed elsewhere (Acevedo et al., 1994). The next section

describes the application of the proposed algorithm

to a planning example involving seven uncertain

parameters.

._-

Table 2. The kinetic constants of all processes, the

availability of raw material A, the demand of product C and the prices of material A and pure B (Bf)

are considered to vary according to the distributional data shown in Table 3.

Five quadrature points were used for the integration; the algorithm took three iterations to converge to the optimal solution involving all three

processes. The progress of the convergence of the

proposed algorithmic procedure is shown in Fig. 5.

A total of 250 CPUs on SPARC IPX was required

using GAMSIMINOS for the solution of the nonlinear subproblems

(83 CPUs per iteration) and

GAMS/SCICONIC

for the solution of the MILP

master subproblem (0.15 CPUs per iteration), respectively.

5.

CONCLUSIONS

process engineering problems under uncertainty. In

particular, the different types of uncertainty have

been identified and embodied within a combined

multiperiod/stochastic

optimization framework. A

CSB,

E,C 15

Ace,

Als25yl

A3<20~3

Ads20yd

Profit = 55OC- (&A + f&B,)

- I(% + 15(81+ &)) - (PCZY~+ 5A2)

- (PGyr + 15~43)- (PCIY~+ 5,431

The utilization of raw material at

processes 2.3.4. respectively

The production of intermediate

product B at processes 2.3,4, respectively

The production of final product

The amount of material B purchased

(0.1) binary structural variables

representing the existence (or not) of

units 2. 3 and 4

2.20 i

2.80 1.80 1.60 1.40 1.20--,//

1.00 e

1.06

2.00

3.00

Iteration

M. G. IERAPETRITOU efal.

708

decomposition-bas@:algtirithm

has also been presented that prdperly exploits the structure of the

optimiza&ion model and illustrated with an example

problem.

i.

APPENDIX

Correction Factors

Feasibility subproblems

REFERENCES

A Stochastic programming Approach for Process

Synthesis under Uncertainty. AZChE Spring Mtg, Paper

No. 79, Atlanta (1994).

Birge J. R. and R. Wets, Sublinear upper bounds for

stochastic programs with recourse. Moth. Prog. 43, 131

(1989).

Dantzig G. B., Decomposition techniques for large-scale

electric power systems planning under uncertainty. Ann.

Ops. Res. (1989).

Grossmann I. E. and R. W. H. Sargent, Optimum design

of chemical plants with uncertain parameters. AZChE J.

24, 1021-1028 (1978).

Grossmann I. E. and K. P. Halemane, A decomposition

strategy for designing flexible chemical plants. AZChE J.

28, 686 (1982).

Grossmann I. E. and D. A. Straub, Recent developments

in the evaluation and optimization of flexible chemical

processes.

Computer-Orienated

Process Engineering

(edited by L. Puigjaner and A. Espuna). Amsterdam

(1991).

Pai, C. C. D. and R. R. Hughes, Strategies for formulating

and solving two-stage problems for process design under

uncertainty.

Computers them. Engng 11, 695-706

(1987):.Paules, G. E. and C. A. Floudas, Stochastic programming

in process synthesis: a two-stage model with MINPL

recourse for multiperiod heat-integrated

distillation

sequences. Computers hem. Engng 16, 189-210 (1992).

Pistikopoulos E. N. and I. E. Grossmann, Stochastic

optimization of flexibility in retrofit design of linear

systems. Computers them. Engng. E&1215-1227 (1988).

Pistikopoulos, E. N. and I. E. Grossmann, Optimal retrofit design for improving process flexibility in nonlinear

systems - I. Fixed degree of flexibility. Computers

&em. Engng 13, 1003-1016 (1989a).

Pistikopoulos E. N. and I. E. Grossmann, Optimal retrofit

design for improving process flexibility in nonlinear

systems - II. Optimal level of flexibility. Computers

them. Engng 13, 1087 (1989b).

Pistikopoulos E. N. and M. G. Ierapetritou, A novel

approach for optimal process design under uncertainty.

Computers them. Engng 19, 1089-1110 (1995).

Pistikopoulos E. N. and T. A. Mazzuchi, A novel Aexibility analysis approach for processes with stochastic parameters. Computers hem. Engng 14, 991-loo0 (1990).

Reinhart H. J. and D. W. T. Rippin, The design of flexible

batch chemical plants. Annual AZChE Mtg, Paper No.

50e, New Orleans (1986).

Sahinidis N. V., I. E. Grossmann, R. E. Fornari and M.

Chathrathi, Optimization model for long-range planning

in chemical industry. Computers hem. Engng 9, 1049

SET

ON CCE364IX

I;wi+,w...

W&-l

e;;,-f-hq

2

b&&l

X(g%~PJ}~~.

I

CF;=

CF, - 2

pi{-0.5(1

+vi)}

9i

CFI=C~i+~~lr{-0.5(1-vi)}

9i

A; = CFyfi

1

I= CF!f!

#I

subproblems (i= 1 . . . N,), and rli are the corrected multipliers to use in the master problem.

Profit optimization subproblems

(1989).

stochastic flexibility. Computers hem. Engng 17, 339

(1993).

reliability and maintenance in process design. Proc. of

FOCAPD Mtg, Snowmass Co. (1994).

Varvarezos D. K., I. E. Grossmann and L. T. Biegler, An

outer-approximation

method for multiperiod design

optimization. Znd. Engng. Chem. Res. 31, 1466 (1992).

Wets R. J.-B., Stochastic programs with fixed recource:

the equivalent deterministic program. SZAM Reu. 16,

309 (1974).

function optimization subproblems, and r~ are the corrected multipliers for the master problem.

APPENDIX

Uncertain Cost

Property:

following form:

P(d, 2, e,) = bTe:+ Po(d, 2, e:)

709

max[P,,(d. z, S:)]J(el)

dfJ:+b.rE{e:)

J(6):) de:

0;

Pm& The expectancy of the optimal economic function

is evaluated through the following integral:

E e,.acdj{mz=

=

The

P(d,

z94)l

and since the cost coefficient does not affect the feasible .:

region, the inner integration is evaluated in the whole.

space of 0:and is equal to 1.

The second integral can also be simplified as:

_r(e,) de,

As a result:

tion:

m=Pdd,

Je,

2,

~:wuw~,+

bTep(e,) de,

J es

can be considered separately as follows:

the integrals

)

max[P,,(d. Z, eJ)]J(e:)J(e:de:de:

0; z

+

II

bPey(e;)qe:) de:de:

0; K

bE{e:}J(e:) de:

0; :

=

I K

m;x[P(,(d.

0;

Z,

J(e:) de:

reducing the degree of the integral and therefore the

number of subproblems to be solved.

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