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Computers Aem. Engn,q Vol.

20,No.617,
pp.703-709, 19%

Copyright 0 1996Elsevier Science Ltd


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AN OPTIMIZATION APPROACH FOR PROCESS


EFGINEERING PROBLEMS UNDER UNCERTAINTY
M.G.

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

Centre for P&ess

Systems Engineering, Department of Chemical Engineering and Chemical


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.

This paper presents a unified approach for process


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

due to either external


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

t To whom all correspondence

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

where d, z, x are the vectors of design, control and


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

where f is the resulting vector of model inequalities.


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

3.1 Mathematical formulation


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,)

where T is a parameter set and J(Q is a vector of


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.

f(d,zp,es,es)sO, p=i ,...,

where wP denotes a weight factor of period p.


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:

Optimization approach for processing engineering problems

705

Problem (MS-P)

where:

i. P(d, es, es) = mz;xP(d, zp, es,


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.

Fig. 1. Block diagonal structure of problem (MS-P).

variables d at a, the solution of the following feasibility subproblems (in 8, subspace)


#$L&$
.I

I ier - e3

s.t. f(d,z+,

es, e:)sovp

f (& zp, ep,,e,u)G 0 vp


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

+ Us) + e,"(l - uq)l

where uq denotes a weight factor, q = q,, . . , Q. At


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.

f@, ZIP, ep,, ey)60

The evaluation of the expectancy, which is a valid


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.

3.2. Algorithmic procedure


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:

Fig. 2. Expanded block diagional structure of profit optimization subproblem.

GENERATE THE COMBINED MULTIPERIOD/


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

where q kqp, @sk, #s k, ny, k, & k are the corrected


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:

P(d, z, fl,) = bTe;+ P&f, z, e:)

.
fOFTIMAL DESIGN/PLAN)

li

dk

Fig. 3. Unified algorithm of combined multiperiodl


stochastic programming problem.

-<._> ,_

Fig. 4. Process superstructure.

Optimization approach for processing engineering problems

Process
Process
Process
Process
Process

Prodhction constant
_
(MP)

fixed cost constant


(PC)

18
20
15

100
80
130
150

1
2
3
4

i .~ -

707

Table 3. Data for uncertain parameters

Table 1. Data for e,~ample problem


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

A network indicating all the alternatives (process


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,)

where 0,=(0: U 0:). The proof is shown in


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.
._-

given in Table 1; the mathematical model isgiven in


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

We have discussed .modelling issues regarding


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

Fig. 5. Convergence of the algorithm.

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

Acevedo, J., M. G. Ierapetritou and E. N. Pistokopoulos,


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

CFglq;-l = THIS EQUATION

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

where ii are the Lagrange multipliers from the feasibility


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

(1989).

Straub D. A. and I. E. Grossmann, Design optimization of


stochastic flexibility. Computers hem. Engng 17, 339
(1993).

Thomaidis T. V. and E. N. Pistikopoulos, Flexibility,


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).

where fl are the Lagrange multipliers from the economic


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

Uncertain Cost
Property:

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


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

Optimization approach for processing engineering problems

709

The first integral can be reformulated as:

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

dfJ:+b.rE{e:)

J(6):) de:
0;

where es= (0: u S:J,_ _


Pm& The expectancy of the optimal economic function
is evaluated through the following integral:
E e,.acdj{mz=

=
The

P(d,

z94)l

max(Ps(d, 2, e:) + be:}

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,

constant terms can be moved outside the maximiza-

As a result:

tion:

m=Pdd,

Je,

2,

~:wuw~,+

bTep(e,) de,
J es

For statistically independent parameters,


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:

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

0; :
=

I K

m;x[P(,(d.

0;

Z,

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

J(e:) de:

where .E{&j is the expected value of this coefficient,


reducing the degree of the integral and therefore the
number of subproblems to be solved.