Computers and Chemical Engineering 23 (1999) 1563 1575 www.elsevier.

com/locate/compchemeng

Incorporating joint condence regions into design under uncertainty

William C. Rooney, Lorenz T. Biegler *
Department of Chemical Engineering, Carnegie Mellon Uni6ersity, Pittsburgh, PA 15213, USA Accepted 20 September 1999

Abstract A new formulation is proposed to solve design problems under model uncertainty. The proposed method combines well-known techniques for solving multiperiod design problems with the concept of joint condence regions. One way to incorporate uncertainty into design problems is to discretize the uncertain parameters into a number of nite values and solve a multiperiod design problem. Traditionally, the uncertain parameters are discretized to a lower and upper bound based upon their individual condence intervals. However, a more accurate description of the model parameter uncertainty is available through the use of joint condence regions. In this work, we propose choosing the discrete values of uncertain model parameters based upon the principal components of their joint condence region. We demonstrate the proposed method in several examples. The resulting optimal designs are more accurate because they incorporate the actual model uncertainty using joint condence regions. Moreover, faster convergence to an optimal solution is observed using a two-stage algorithm because fewer discretization points may be needed in the multiperiod problem. 1999 Elsevier Science Ltd. All rights reserved.
Keywords: Multiperiod design problem; Model uncertainty; Optimal solution

1. Introduction In the design and operation of any chemical process, there are usually several parameters that have a degree of uncertainty and variability associated with them. Process parameters (owrates, heat transfer coefcients), physical properties (heat capacities, density), and external variables (product demands, raw material availability) all contribute to the uncertainty inherent in any process. While it is critical to deal with these uncertainties during plant operation, it also important that some sort of exibility is taken into consideration at the design stage. Process parameters (stream owrates, temperatures, etc.) may have independent and uniform distributions around some nominal value. For these independent variations, it might be possible to nd a design that can handle the expected uncertainty. This usually requires that the design be feasible over a hypercube (or more precisely, a hyperectangle), dened by the lower and upper bounds on each uncertain
* Corresponding author. Tel.: + 1-412-268-2232; fax: + 1-412-2687139. E -mail address: biegler@cmu.edu (L.T. Biegler)

parameter. On the other hand, model parameters (rate constants, etc.) are frequently estimated from inference analysis, based on experimental data that is usually associated with random and normally distributed measurement errors. Since multiple parameters are often estimated at the same time, it may not be adequate to nd a design that is feasible over a hypercube based on the estimated individual uncertainties. Rather, it may be more appropriate to focus on the region of joint uncertainty. By including uncertain information at the design stage, it is hoped that more exible designs can be found that will ensure a process can be operated and sustained over a variety of operating conditions. Pistikopoulos (1995) has outlined the general problem of design under uncertainty: max E [P (d, x, z, q d, qs)]
d, z

s.t

h (d, x, z, q d,qs) g (d, x, z, q d,qs) d  D, x  X, z  Z up q d  U = {qdq low d 5 qd 5 q d } q s  Us

=0 50

(1)

0098-1354/99/$ - see front matter 1999 Elsevier Science Ltd. All rights reserved. PII: S 0 0 9 8 - 1 3 5 4 ( 9 9 ) 0 0 3 1 1 - 7

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In this case, it is desired to nd a design d (equipment sizes or types) and operating conditions z (control variable settings) that optimize the expected value of an economic objective function P. Eq. (1) also includes state variables, x, and uncertain variables which are partitioned into two subsets, qd and qs, denoting deterministic and stochastic parameters, respectively. The deterministic parameters are assumed to range between some xed lower and upper bounds dened over the set Ud. The stochastic parameters, qs, are modeled by a vector of probability distribution functions, Us to capture their random behavior. Often deterministic parameters are used for design with a xed degree of exibility for any realization of the uncertain parameters. Stochastic descriptions are used to explore the trade-offs between the amount of exibility allowed for in a design and the process economics. Pistikopoulos (1997) reviews methods that efciently and accurately evaluate the expected value of the objective function over the uncertain information in the problem. A two-stage approach (see Fig. 1) is often used to solve Eq. (1). First, a robust multiperiod optimization problem Eq. (2) is solved that optimizes an objective function that may consist of both xed costs, f0, and variable costs associated with each period in the problem fi. max
d,z

period i occurring. In this formulation, the uncertain parameters are xed to a number of discrete values that are expected to capture the inuence of the uncertainty. The optimal design found from solving Eq. (2), de( , is guaranteed to be feasible only over the noted as d selected points from U, the overall uncertainty description. The feasibility of this design is then tested over the entire range of parameters by solving the following exibility problem where the equality constraints, h, have been implicitly incorporated into the inequality constraints, g : ( , z, q ) ( ) = maxq  U minz max g (d (d (3) ( ) 5 0 for all q  U, the design d ( is feasible. If If (d ( ) \ 0 for any q  U, then the current design d is not (d feasible. Several methods have been proposed to solve Eq. (3) including vertex search methods (Halemane & Grossmann, 1983; Swaney & Grossmann, 1985a,b) and active set, mixed-integer optimization strategies (Grossmann & Floudas, 1987). In this study we adopt the latter approach for the feasibility test, and consider the mixed-integer non-linear programming (MINLP) formulation of Grossmann and Floudas (1987): (4)

P = f 0(d ) + % i fi (xi, zi, d, qi )

i=1

NP

s.t.

h i (xi, zi, d, qi ) g i (xi, zi, d, qi ) qiU i = 1, , NP

=0 50

(2)

In Eq. (2), all variables have the same denition as in Eq. (1) and the uncertain parameters have been combined into a single vector q. Additionally, i is a weight factor than can be associated with the probability of

Fig. 1. Two-stage algorithm for solving design problems under uncertainty.

Here, uj and wi are the multipliers for the inequality and equality constraints, respectively, yj are binary variables associated with each inequality, sj is a slack variable, nz is the number of control variables, and U is an upper bound on the slack variables. A limitation of solving multiperiod problems to nd an optimal design is the need to select a number of

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nite points that accurately captures the uncertainty in the model. Usually, the uncertain parameters q are discretized within a lower and upper bound (as in Eq. (1)) to ensure that a worst-case design will be found. This approach leads to a hypercube in the space of the uncertain parameters, where each vertex of the hypercube corresponds to combinations of the lower and upper bounds of each uncertain parameter. However, this description of the uncertain parameters may lead to a conservative estimate of the inuence they have on the design. In addition, it may also not capture the actual model uncertainty, especially if the process model contains many uncertain parameters and those parameters are correlated to each other. On the other hand, a more accurate description of the uncertainty in model parameters can be derived from the joint condence region. In this paper, we address the issue of how to choose a number of discrete points for multiperiod design problems and to ensure feasibility over the entire region of uncertainty (i.e. design for a xed degree of exibility). We propose a discretization of the uncertain parameters for multiperiod design problems based upon the principal components of the joint condence region. In this work, we focus on multiperiod problems that are optimized with respect to design parameters only and not expected costs or revenues Eq. (5), i.e.: max
d,z

state variables have uncertainty associated with them, this introduces uncertainty into the optimal parameter estimates. Hence, there is a need to quantify not only what the parameter estimates are but also how good those estimates are. We refer to the methods outlined by Bard (1974) and Bates and Watts (1988) for estimating the covariance matrix of the parameter estimates. Once this quantity has been estimated, both individual parameter condence intervals and a joint condence region can be constructed. The covariance matrix (Vq  R p p) of the model parameters can be compactly represented as a correlation matrix, also referred to as the normalized covariance matrix:

1.0 z 12 z 1p z 21 1.0 z 2p Cq = z p1 z p2 1.0

(6)

P = f 0(d ) h i (xi, zi, d, qi ) = 0 g i (xi, zi, d, qi ) 5 0 qiU i = 1, , NP (5)

s.t.

Here, zij is the correlation coefcient for parameters i and j, with Pij  [ 1, 1]. If [zij ] = 1, this indicates a perfect linear relationship between variables i and j. The covariance matrix is symmetric since zij = zji and it is also positive denite. A positive correlation coefcient indicates a direct relationship exists, i.e. if parameter i increases, so does parameter j. The converse is true if the sign of the correlation coefcient is negative. If zij = 0, there is no correlation between the parameters. Each entry in the covariance matrix (|ij ) can be constructed using the correlation coefcients of each parameter pair and the individual parameter standard deviations (|i, |j ): Vqij = si, j = zij|i|j (7) Once the covariance matrix of the parameters has been calculated, it is possible to construct two important quantities, the individual parameter condence intervals and the joint condence region. Individual condence limits provide a range of values at the desired condence level, 1 h, in which the each uncertain parameter can be expected to be found. The lower and upper bounds for the condence limits can be found from Eq. (8): U = {q q = q* 9 |t1 h/2, n p } (8) where | is the standard deviation of each parameter calculated from the square root of the p th diagonal element of the parameter covariance matrix (
VqPP ) and t1 h/2, n p is the value of the Students t -test distribution (the distribution of the mean of a normally distributed random variable divided by its estimated standard deviation) with n p degrees of freedom, where n is the number of observations used for the regression. Eq. (8) provides limits on each parameter, taken one at a time, even if they were estimated simultaneously.

We also focus on model parameter uncertainty, not uncertainty related to varying process conditions. As a result, problem Eq. (5) must be solved over the entire range of U and there cannot be a trade-off between model exibility and an economic objective function. The remainder of this paper is organized as follows. In Section 2, we introduce the statistical concepts needed for this work. Then, we outline our proposed approach in section Section 3. Section 4 presents numerical examples to demonstrate the effectiveness of the proposed algorithm. Finally, Section 5 presents our conclusions from this work and outlines several directions for future research.

2. Condence intervals and joint condence regions Data reconciliation and parameter estimation are important problems for process systems engineering. Parameters are often estimated via linear and non-linear regression of state variables. Since the measured

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A more important quantity derived from the parameter covariance matrix is the joint condence region, a p -dimensional region that attempts to enclose all joint parameter combinations up to some desired condence level, 1 h. If the regression model is linear, or if a non-linear model has been linearized around the optimal parameter estimates q *, then the joint condence region is a p -dimensional hyperellipsoid in the unknown parameter space: U = {q (q q* ) V
T 1 q

2.1. Elementary example of condence inter6als and joint condence regions

To demonstrate the difference between the individual parameter condence intervals and the joint condence region, and to motivate our proposed algorithm, we present a simple two-dimensional example. Consider the following parameter covariance matrix: Vq =

(q q* ) 5 pF(h, p, n p)}

(9)

9.00 5.10 5.10 4.00

(12)

1 where V is the inverse of the parameter covariance q matrix and F(h, p, n p) is the value from the F distribution (the ratio of two independent chi-square random variables divided by their respective degrees of freedom) with n observations and n p degrees of freedom and the desired condence, 1 h. Here we make use of an eigenvalue decomposition (Bard, 1974; Lutchen & Jackson, 1986) of the inverse of the parameter covariance matrix Eq. (10): T 1 V q = U LU

(10)

1 where the columns of U are the eigenvectors of V q and L is a diagonal matrix containing the eigenvalues (l) of T 1 V q . We let L = U (q q *) represent the transformed co-ordinates of the unknown parameters q along each axis of the ellipsoid. With these substitutions, Eq. (9) can be rewritten in the familiar form of a p -dimensional ellipsoid:

We assume that the optimal parameter estimates for both parameters are [15.0 10.0]T and were estimated via linear regression on a very large number of data points. Notice that the standard deviation of parameter 1 (|1) is 3.00 =
9.00 and that of parameter 2 (|2) is 2.00. Also notice that the parameters are highly correlated since the correlation coefcient, z12 = 0.85. The t statistic for the 70% condence level with an innite number of data points is 1.03643. From Eq. (8), the individual condence intervals are q1  [11.890 18.109] and q2  [7.927 12.073]. From Eq. (9), the joint condence region for these two parameters is (with a value of the F distribution for p = 2 and  degrees of freedom equal to 1.2039):

q1 q2

15 10

n
T

0.400 0.510

0.510 0.901

n

q1 q2

15 10

5 2.4078

(13)

% li L 2 i 5 pF(h, p, n p)
i=1

(11)

From Eq. (11), it is evident that the lengths of each axis (Li ) in the hyperellipsoid are proportional to inverse of the eigenvalues. Thus, the smallest eigenvalue of the inverse covariance matrix corresponds to the longest axis of the ellipsoid and the worst combination of uncertain parameters. Likewise, the largest eigenvalue determines the shortest axis of the joint condence region, which corresponds to the best-determined combination of parameters. It is important to note that Eq. (9) is exact only for regression models that are linear in the unknown parameters q. If the regression model is non-linear in the unknown parameters, Eq. (9) is only an approximation of the actual joint condence region since the covariance matrix is usually linearized around the optimal parameter estimates. For highly non-linear systems, this can be a poor estimation of the actual condence region (Donaldson & Schnabel, 1987). Nevertheless, we make use of linear or linearized covariance matrices in this work assuming that they are good enough. However, this assumption can be checked for its validity (Bates & Watts, 1988) and will be the subject of future research.

The individual condence intervals and the joint condence region are plotted together in Fig. 2 which are both centered at the optimal parameter estimates. Also plotted in Fig. 2 is the smallest hypercube surrounding the joint condence region. There are several things to note from Fig. 2. First, the individual condence intervals for q1 and q2 form a rectangle in the uncertain parameter space. Unlike the elliptical joint condence region, the rectangular region enclosed by these limits does not reect the (positive) correlation between q1 and q2. Next, we see that the range of each unknown parameter in the joint condence region is always greater than the ranges of their individual condence intervals for a given condence level, 1 h. This is proved by Lohmann and Bock (1996) using the denitions of the t and F distributions. On the other hand, if U is modeled using the condence intervals from Eq. (8), a design has to be feasible over the entire rectangle in Fig. 2 while a design based upon the joint condence region in Eq. (13) has to be feasible over a smaller range of uncertain parameters. If it is desired to use a hypercube approach for discretizing the uncertain parameters, it is straightforward to construct a hypercube surrounding the joint condence region. This hypercube is a better estimate of the parameter uncertainty than the hypercube derived from individual condence intervals because it takes into account the

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Fig. 2. Condence intervals and the joint condence regions for two parameters.

correlation among the parameters. Finally, it is important to note that the largest and smallest values of each parameter do not necessarily correspond to the extreme points of the hyperellipsoid. In this example, the co-ordinates of the extreme points on the longest axis of the ellipse are [10.405 7.135]T and [19.596 12.865]T. However, the largest value of q1 in the condence region is 19.655. For q2, its largest value is 13.104. . , can be found by solving the following These points, q optimization problem: max s.t.
2 . i q* (q i ) 1 (q q* )TV q (q q* ) = pF(h, p, n p)

(14)

Since Eq. (14) has a quadratic objective function subject to a quadratic constraint, a unique solution exists (Lohmann & Bock, 1996): . i q* [q i ]= 9

'

pF(h, p, n p) Vqei si

(15)

where ei  R p is the i th unit vector.

3. Algorithm for design under uncertainty using joint condence regions In this section, we outline our proposed method for solving design problems under model uncertainty using the statistical information available from the joint condence region. A lot of work in the area of design under uncertainty has focused on developing new and efcient numerical methods for solving these types of problems (Grossmann & Floudas, 1987; Varvarezos, Biegler & Grossmann, 1994; Pistikopoulos & Ierapetri-

tou, 1995) without paying much attention to the actual description of the parameter uncertainty. In this work, we instead focus on how the uncertainty is modeled and turn to well-established techniques for solving design problems under uncertainty. In the previous section, we established that the greatest joint parameter uncertainty lies along the longest axis of the joint condence region. Thus it makes sense to tailor a design than can meet all process constraints and requirements over the greatest uncertainty in the parameters. However, as we next show, requiring a design to be feasible along the extremes of uncertain parameter combinations does not necessarily mean it will be feasible over the entire joint condence region. We assume that the regression and parameter estimation problem has already been solved and that a good estimate of the parameter covariance matrix, Vq, is available. 1. Calculate the two extreme points on the longest axis of the joint condence region. 2. Initialize the list of critical parameters, qc, the uncertain parameter values along the longest principal axis of the ellipsoid which corresponds to the greatest joint parameter uncertainty in U. 3. Set the number of periods in Eq. (5) to two and x the values of the uncertain parameters to the ones stored in qc. 4. Solve the multiperiod design problem Eq. (5) and (. obtain the optimal design variables d ( over the entire range of the 5. Check the feasibility of d uncertain variables by solving Eq. (3). To aid in nding a global solution, solve the feasibility problem repeatedly with various starting points in U.

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5.1. If any solution to the feasibility problem indicates that x(d ) \ 0 for any q  U, update qc with the critical point found from step 5 and return to 4. 5.2. If x(d ) B 0 q  U, then stop. d is feasible over U. The proposed algorithm has several advantages and disadvantages. First, we have used a systematic and statistically signicant technique to choose a nite number of points from the entire range of uncertainty, U. This addresses a long-standing limitation of multiperiod design problems (see the comments in Pistikopoulos and Ierapetritou (1995)). Second, the points are chosen to reect the greatest expected uncertainty in the model. For the linear (or linearized) joint condence regions in this work, this corresponds to two initial discretization points, the extreme points of the ellipsoid on its longest axis, regardless of how many uncertain parameters are in the process model. Thus, the resulting multiperiod problems are kept as compact as possible and the need for using specialized solution algorithms (Varvarezos et al., 1994) is minimized. This is in contrast to the hypercube description of the model uncertainty, where the number of periods grows exponentially with the number of uncertain parameters, resulting in very large multiperiod problems. The two-stage algorithm used in this work has been shown to take relatively few iterations to arrive at a feasible design (Floudas & Grossmann, 1987). Finally, since hypercube descriptions have been replaced by convex (elliptical) joint condence regions, previous exibility analysis results (Swaney & Grossmann, 1985a,b) for convex problems still hold. One disadvantage of the proposed method is that the parameter covariance matrix is needed. This information is usually found by the regression of experimental data. The regression and parameter estimation problem can be a challenging and expensive one to solve. Yet it needs to be solved only once for the problem of interest. Another disadvantage of the proposed method is its reliability on the feasibility test, where the feasibility of the design must be checked over an innite combination of the unknown parameters. Although global optimization techniques could be applied to solve this problem rigorously, in practice it is usually easier to solve the feasibility problem several times with different starting points in U. Finally, the computation of the eigenvalues and principal components of the joint condence region may become expensive for large problems. As an alternative, it is possible to use the points at which each parameter takes on its minimum or maximum value in the joint condence region (Eq. (15)). In most cases, these points usually lie very close to the extreme points (see Fig. 2).

4. Example problems In this section, we present the results of several design problems under uncertainty using the proposed method. The problems include a linear retrot problem, the design of a safety relief valve, a reactor-separator owsheet, and two reactor network synthesis problems. All problems were modelled in GAMS (Brooke, Kendrick & Meeraus, 1988) using CONOPT (Drud, 1994) as the NLP solver and DICOPT + + (Viswanathan & Grossmann, 1990) as the MINLP solver using a DEC Alpha 400 MHz workstation.

4.1. Example 1: linear retrot under uncertainty

We rst look at a modied retrot example solved by Pistikopoulos and Ierapetritou (1995) where they used a stochastic approach to model the two uncertain parameters. Here, we only consider the optimization of the design variables and not the evaluation of the expected prot under uncertainty. This example was chosen to gauge the effect each uncertainty description has on the resulting designs. In addition, global solutions are obtained because the problem is linear in the control and design variables and convex in the uncertain parameters when using equation Eq. (9) for U. min s.t. C = Dd1 + Dd2 zi + d1 3d2 5 q1,i 0.5q2,i (1) 1 q zi + d2 5 + 1,i + q2,i (2) 3 3 zi d1 5 1 q1,i + q2,i (3) Dd1 = d1 d1c Dd2 = d2 d2c Dd1, Dd2 ] 0 3 5 zi 5 3 d1c = 3.0, d2c = 1.0 q1,i, q2,i  U i = 1, , NP (16) The model involves one control variable in each period, zi, two design variables, d1, d2, and two uncertain parameters, q1and q2. d1c and d2c are the current values of the design variables. The optimal estimates for q1 and q2 are 15.0 and 10.0, respectively. The uncertain parameters are written on the right-hand-sides (RHS) of the inequalities since they are held xed in this problem. In this form, it is easy to see what effect they have on the quality of the solution. We reuse the joint condence region from equation Eq. (13) with both a positive and negative correlation between the parame-

W.C. Rooney, L.T. Biegler / Computers and Chemical Engineering 23 (1999) 15631575 Table 1 Values for uncertain parameters used in Example 1 Formulation Nominal Hypercube Period 1 1 2 3 4 1 2 3 1 2 3 q1 15.000 11.890 18.109 18.109 11.890 19.595 10.404 18.617 19.595 10.404 19.542 q2 10.000 7.927 12.073 7.927 12.073 12.865 7.135 11.020 7.135 12.865 7.068

1569

JCR (z12 = 0.85)

JCR (z12 = 0.85)

Table 2 Results for Example 1 Formulation Nominal Hypercube JCR (z12 = 0.85) JCR (z12 = 0.85) Dd1 0 3.182 0.597 5.474 Dd2 0 0 0 0

ters (z12 = 0.85). (z12 \ 0 corresponds to the negative of diagonal elements in Eq. (17)).

q1 q2

15 10

n
T

0.400 9 0.510

9 0.510 0.901

n

q1 q2

15 10

5 2.4078

(17)

Using the description for U in Eq. (17), the feasibility of the design found by Eq. (16) is checked by the MINLP formulation Eq. (4). The discretized values of the uncertain parameters used for each uncertainty description U are seen in Table 1 and the results for this example are in Table 2. Note the variation in the optimal prots and design variable changes with different uncertainty descriptions. For the nominal parameter estimates, no design changes are required at the optimum. For all the multiperiod problems, some design changes are required to

achieve optimality. The design changes are inuenced by the third inequality constraint in Eq. (17) which is active for all formulations (Table 3). Therefore, the uncertainty description directly affects how much the design variables need to change. Using the hypercube description for U, inequality constraint three is most restrictive when q1 is at its upper bound and q2 is at its lower bound. If a positive correlation exists between the parameters, the RHS of this inequality is not as restrictive and hence, a smaller change is needed in d1. With a positive correlation, the effect of the parameter uncertainty isnt as large as one would have believed if individual parameter uncertainties were used in the multiperiod design problem. On the other hand, if the parameters are negatively correlated, the RHS of the third inequality is even more restrictive than the hypercube approach, resulting in a relatively large change in d1 to achieve optimality. Here, the uncertainty has a larger effect than originally thought. It is also interesting to note that the hypercube design is feasible over the joint condence region with a positive correlation. However, the hypercube design is not feasible over the joint condence region with negatively correlated parameters. Therefore, basing a design on the lower and upper bounds of the uncertain parameters may not be adequate to arrive at a design that is feasible over the entire range of uncertainty in the process model. Finally, the proposed approach took three periods to arrive at a feasible design. Critical points are found where preliminary designs obtained from using the two initial discretization points are not exible enough to operate over the entire range of uncertainty. After updating the uncertain parameter discretization and solving the design and feasibility problems again, no further critical points were found.

4.2. Example 2: exible design of a pressure relief 6al6e

Consider the following problem statement: Given is a mixture of X and Y in a closed vessel with mole fractions wj. When heated to a temperature of 500 K, what is the maximum pressure in the vessel that still contains both a liquid- and vapor-phase? (Once the

Table 3 Active constraints for Example 1 Formulation Nominal Hypercube JCR (z12 = 0.85) JCR (z12 = 0 85) Active inequality in Eq. (16) 3 3 3 Period 3 3 3 RHS of active inequalities 9.182 6.597 11.474

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wij

P0 ij x Pi ij

=0 Bij Cij + T =0

ln P 0 ij Aij + % xij 1
j

=0

T 500 5 0 Aij, Bij, Cij  U j = X, Y i = 1, , NP (21) while the check for feasibility is given by:
Fig. 3. Dew point pressure ratio versus feed composition of component X.

max s.t.

T wj P0 j xj P =0 Bj Cj + T =0

liquid-phase disappears, further heating will lead to a large pressure increase and possible explosion). Without uncertainty, this is just the dew point pressure for the mixture at 500 K and composition wj. We assume that phase equilibrium is governed by ideal thermodynamics with vapor pressures (P 0) calculated from the Antoine equation: ln P 0 = A B C + T (K ) (18)

ln P 0 j Aj + % xj 1
j

=0

A, B, C  U j = X, Y (  [PCube, PJCR] P (22) If the answer to Eq. (22) is greater than 500 K, the current design is not feasible over U since a constraint in Eq. (21) would be violated. Note that there are no control variables in this example so that Eq. (3) and (4) simplify to Eq. (22). We now apply the algorithm outlined in Fig. 1 for various feed compositions using the uncertainty descriptions in Eqs. (8) and (9). For instance, if we consider a 90/10 mixture of X /Y, then the nominal dew point pressure is 244 atm (PNom). However, this pressure may be too high based on the uncertainty in the Antoine coefcients. On the other hand, using the uncertainty description in Eq. (8) leads to a design pressure of 236 atm (PCube) while the proposed method yields 242 atm (PJCR). Fig. 3 shows the dew point pressure ratio versus the composition of X for both the hypercube and joint condence description of the uncertain parameters. Notice that both uncertainty descriptions lead to the largest differences when the feed composition of Y is high, as expected. Also, the uncertainty description Eq. (9) leads to a much smaller deviation from the nominal design pressure. Here, the effect of uncertainty on the nal design isnt as large as one would have expected, had they only considered the lower and upper bounds on each uncertain parameter.

We assume the coefcients for the vapor pressure of component X are known exactly but the Antoine coefcients for Y are based on a regression of experimental VLE data. From the regression and inference analysis in MINITAB, the following Antoine coefcients and their individual 95% condence intervals Eq. (19) and inverse parameter covariance matrix Eq. (20) are obtained for Y : AY = 20.723702 9 0.1563 BY = 2.663.1736 9 89.7468 CY = 52.13 9 4.82285
1 q

(19)

42447340.7 142239.8634 = 142239.8634 476.9539445 1272757.612 4270.778151

(20)

1272757.612 4270.778151 38270.9355

Following the algorithm outlined in Fig. 1, the multiperiod design problem is: max P s.t. P Pi 50

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the worst-case operating cost for the reactor-separator system. This can be found by solving the following optimization problem: min C = c1V + c2Fm s.t. Fao xa,i Fi (1 hi ) Vcao (k1,i + k2,i )xa,i =0 =0 Fi xb,i (1 hi ) + Vcaok1,i xa,i Fi xc,i + Vcao (k2,i xa,i (k3,i + k4,i )xc,i + k5,i xe,i ) = 0 =0 Fi xd,i (1 ii ) + Vcaok3,i xc,i =0 Fi xe,i (1 ii ) + Vcao (k4,i xc,i k5,i xd,i ) xa,i + xb,i + xc,i + xd,i + xe,i 1 Fprod = Fi xc,i Fprod ] 18 Fm ] Fi 0 5 hi 5 1 0 5 ii 5 1 $ 10.0 , ci = m3 cao = 100.0 mol m3 i = 1, , NP $ 0.1 h , mol 100.0 mol , h =0

Fig. 4. Reactor-separator owsheet for Example 3.

4.3. Example 3: design of a reactor separator system

Here we consider the design of a CSTR in series with an ideal separator, based on an example from Grossmann and Sargent (1978) but with a different reaction mechanism. We assume an isothermal, constant density, liquid-phase reaction takes place following the a-pinene kinetics (Eq. (25)) with statistical data taken from Bates and Watts (1988). The nominal values of the rate constants (all in h l) and their individual 90% condence limits are seen below k1 = 0.0374 9 0.00783 = 0.0165 9 0.00425 = 0.0261 9 0.0117 k2 = 0.0195 9 0.00347 k4 = 0.2701 9 0.08678 k3 k5 (23)

c2 =

Fao =

(26)

Here, x is the mole fraction of each component, V is the volume of the CSTR in m3, Fm is the largest

and the inverse covariance matrix of the parameters is:

1.05949 2.83917 2.731785 0.124934 0.204413 2.83917 9.68479 8.41513 0.358477 0.143262 6 1 = 10 2.731785 8.41513 9.94305 0.450381 0.664799 V q 0.124934 0.358477 450381 0.021648 0.039518 0.204431 0.143262 0.664799 0.039518 0.218599
A k2 C k4 k 5 E
k3

(24)

k1

(25) D

4.4. Example 3.1

In this example, it is desired to produce at least 18 mol/h of component C in the separator overhead (Fig. 4) while the rest of the components are either recycled or sent downstream for further processing. The control variables are h and i, the fractions of A and B, and D and E, respectively, that are recycled to the reactor inlet. The goal is to minimize the sum of the design cost and

owrate (mol/h) from all periods, cao is the inlet concentration of species A in mol/m3, and Fprod is the amount of desired product recovered from the top of the separator. The feasibility of the designs is checked using the ( , f( ) is positive for any q in formulation in Eq. (4). If xx(V U, then the current design variables are not feasible since an inequality constraint in Eq. (26) would be violated. The results for this problem are given in Table 4. The multiperiod design using the hypercube approach for discretizing U requires a CSTR that is over 50% larger than the nominal design. The largest owrate is 50% greater than the nominal case. To arrive at this design, 32 periods are needed for the design problem to include all vertices of the hypercube. One might be tempted to conclude that this is the worst-case design for this problem since all combinations of the parameters were included in the multiperiod formulation. However, this is not the case. Using the proposed approach, three periods were required to solve this problem. After

1572 Table 4 Results for Example 3.1 Formulation Nominal Hypercube JCR

W.C. Rooney, L.T. Biegler / Computers and Chemical Engineering 23 (1999) 15631575

Number of periods 1 32 3

Volume of CSTR (m3) 11.907 18.082 43.4426

Flowrate (mol/h) 607.586 1120.571 5293.482

Cost ($) 187.034 292.882 963.771

obtaining an initial design based upon two discretization points and checking its feasibility, a critical point is found where the product demand cannot be satised. This point was added to the discretization. After solving the three period design problem and solving the feasibility test again, no further critical points were found. Here, the proposed method has led to a seemingly worse design, requiring a larger reactor and owrate than the hypercube approach implies. However, the design is guaranteed to be feasible over the entire region of actual parameter uncertainty. Here, the uncertain parameters have a large impact on the resulting design. Thus, simply using lower and upper bounds for each parameter was not adequate to nd a robust design able to operate over the entire region of parameter uncertainty.

4.4.1. Example 3.2 In this example, the process product demands are changed. It is required that at least 40 mol/h of component B and 25 mol/h of component E are recovered in the overhead of the separator. The control variables are now the recycle fractions of component A (h ) and components C and D (i ). A solution that minimizes the design cost and operating cost of the owsheet can be found by solving the following optimization problem:
min C = c1V + c2Fm s.t. Fao xa,i Fi (1 hi ) Vcao (k1,i + k2,i )xa,i Fi xb,i + Vcaok1,i xa,i

The results for example 3.2 are seen in Table 5. For this example, we see that the hypercube design requires a much larger CSTR than the nominal design but utilizes a lower total owrate. The results of the proposed approach show that the effect of the uncertainty on the size of the reactor is not as large when compared to the hypercube approach. However, the maximum owrate from the joint condence design is much larger than both the nominal and hypercube designs. Nevertheless, the resulting design using the proposed approach costs less than the hypercube design, indicating that the effect on the uncertainty is not as great as would be expected if the parameters were discretized to their lower and upper levels. As in the previous example, three periods were needed to arrive at a feasible design using the proposed method.

4.5. Example 4: reactor network synthesis under uncer tainty

Because rate laws are based on experimental data, it is especially important that reactor networks be synthesized under model uncertainty. The sensitivity to model

=0

=0 Fi xc,i (1 ii ) + Vcao (k2,i xa,i (k3,i + k4,i )xc,i + k5,i xe,i ) = 0 =0 Fi xd,i (1 ii ) + Vcaok3,i xc,i Fi xe,i + Vcao (k4,i xc,i k5,i xd,i ) =0 xa,i + xb,i + xc,i + xd,i + xe,i 1 =0 Fprod,b,i = Fi xb,i Fprod,e,i = Fi xe,i Fprod,b,i ] 40 Fprod,e,i ] 25 Fm ] Fi 0 5 hi 5 1 0 5 ii 5 1 $ 10.0 $ 0.1 h 100.0 mol 100.0 mol , c2 = , Fao = , cao = c1 = 3 m mol h m3 i = 1, , NP

(27)

W.C. Rooney, L.T. Biegler / Computers and Chemical Engineering 23 (1999) 15631575 Table 5 Results for Example 3.2 Formulation Nominal Hypercube JCR Number of periods 1 32 3 Volume of CSTR (m3) 20.598 38.867 31.149 Flowrate (mol/h) 273.031 195.082 509.942

1573

Cost ($) 233.286 408.181 362.306

Table 6 Results for Example 4.1 Formulation Nominal JCR Cube Nominal (@JCR) Residence time of CSTR(s) 0.302 0.268 0.237 0.268 Residence time of PFR (s) 0.161 0.148 0.122 0.148 ( l 0.0703 0.0326 0.0359 0.0701

uncertainty was explored in a previous study (Lakshmanan, Rooney & Biegler, 1999). Here we consider two instances of a well-known reactor network synthesis problem. As with the second example, we consider these problems without control variables and extend the deterministic reactor network synthesis approach developed by Lakshmanan and Biegler (1996) for design with uncertainty in the kinetic parameters.

q* = [k1 |* = [|1 z* [z12

k2 |2 z13

k3]T = [1.0 |3]T = [0.20

2.0

20.0]T 4.0]T 0.20]T (30)

0.40

z23]T = [ 0.05

0.10

4.5.1. Example 4.1 We rst consider the synthesis of a reactor network with three uncertain rate constants. We assume the reaction scheme follows the Van de Vusse (Eq. (28)) kinetic scheme which consists of a series of rst order reactions in parallel with a second order reaction.
ABC 2A D
K3 k1 k2

In the joint condence region constructed from Eq. (30) at the 90% condence level, the ratio a1/a2 \ 1. This shows that even with moderate uncertainty in the rate constaints, the optimal reactor structure for maximizing the production of component B anywhere over the uncertain information in U will always be a CSTR followed by a PFR. We use the reactor network synthesis algorithm developed by Lakshmanan and Biegler (1996) to construct a reactor network that maximizes the worst conversion to B over the region of parameter uncertainty. max s.t. l h (x, z, d, q ) = 0 g (x, z, d, q ) 5 0 ( 5 X (q )B l qU

(28)

Previous work (Glasser, Hildebrandt & Crowe, 1987) has shown that the optimal reactor network for conversion to component B depends on the following ratios of the rate constants and feed composition of component A (ca0). a1 = k3ca0 , k1 a2 = k2 k1 (29)

(31)

The authors found that when a1 \ a2, then the optimal reactor is a CSTR followed in series by a PFR. If a1 5 a2, then a single PFR reactor is sufcient for maximizing the production of B. With uncertainty in the kinetic constants, nding an optimal reactor network is not a straightforward task. We rst solve this problem using the nominal value of the rate constants from (Glasser et al., 1987). Each rate constant is assumed to have a 20% relative standard deviation. Correlation coefcients were randomly generated.

Here, g and h are equations dened in Lakshmanan and Bieglers MINLP model and X (q )B is the dimensionless conversion to component B. To see if any worse point can be achieved, the following feasibility problem is solved for a xed reactor structure; max X (q )B ( , q) s.t. h (x, z, d ( , q) g (x, z, d qU

=0 50

(32)

Note that Eq. (32) corresponds to Eq. (3) in the absence of control variables.

1574 Table 7 Results for example 4.2 Formulation Nominal JCR Cube Nominal (@JCR)

W.C. Rooney, L.T. Biegler / Computers and Chemical Engineering 23 (1999) 15631575

Residence time of PFR (s) 0.222 0.198 0.208 0.198

( l 0.391 0.302 0.308 0.387

To solve this problem, we use a slight variation of the proposed algorithm. We rst solve two design problems to nd the reactor structure that maximizes XB on each of the extreme points on the longest axis in the joint condence region. We then use the lower value of XB from these two initial points as the bound for l in the feasibility test Eq. (32). For the initial two period problem, the resulting MINLP formulation for Eq. (31) has 572 continuous and four integer variables and 398 constraints; it requires 0.69 CPU s to solve using DICOPT + + (Viswanathan & Grossmann, 1990) in GAMS. Using the two-stage algorithm, all of the results were obtained with less than four periods. Table 6 presents the results for this example. The nominal design is taken from Lakshmanan and Biegler (1996). As expected, the MINLP multiperiod design follows the same structure as the nominal one, with smaller residence times required to optimize the worst conversion to B. Here, the smallest XB is approximately 10% lower according to the joint condence region than using the worst-case from the hypercube description. This value of XB results in a lower bound of the objective function, which may be helpful in considering whether to design an actual plant with this model uncertainty. In addition, this structure also provides a lower bound to the attainable region for these kinetics and objective function. Finally, from the last row in Table 6, it is interesting to note that conversion to B at the optimal values of the rate constants isnt very sensitive to the change in reactor sizes, realized as a result of considering the joint condence region.

between parameters 2 and 3. Five of the six extreme points of the joint condence region show that a1 B a2, indicating that a single PFR is optimal for maximizing production of component B. However, the sixth extreme point (and other points in the joint condence region) show that a1 \ a2 which indicates that a CSTR/ PFR combination is optimal. With this uncertain information, nding a single structure to maximize l is not obvious. We again apply the MINLP algorithm from Lakshmanan and Biegler (1996) to optimize the worstcase conversion of B in the joint condence region. Here MINLP formulation for Eq. (31) is the same size as in the previous problem but requiring only 0.61 CPU s to solve with DICOPT + + . Using the twostage algorithm, all of the results were obtained with less than four periods. The results are presented in Table 7. To maximize l, the MINLP algorithm selects only a single PFR that is approximately 10% smaller than the nominal case. Even with uncertainty that indicates the structure of the reactor network may change, l is not signicantly affected, even if the joint condence region design is implemented around the nominal operating conditions. As in the previous case, l is lower in the joint condence region than in the hypercube.

5. Conclusions This paper presents a new approach to incorporate uncertain model parameters when solving optimal design problems under uncertainty. Here, the discretization points for the model parameters are chosen according to the longest axis of the joint condence region of the uncertain parameters. In previous work, these discretization points are usually set to lower and upper bounds based upon the individual parameter condence intervals. However, this hypercube approach can lead to conservative estimates of the inuence of uncertainty, infeasible operation, or both. Instead, our discretization scheme focuses on the joint parameter uncertainty for the model parameters. For linear and linearized joint condence regions, this corresponds to two initial periods where a conventional two-stage algorithm is readily adapted, and additional periods are detected in order to maintain feasibility over the entire joint condence region. As a result, the multiperiod design problems are kept as compact as possible and are generally much smaller than multiperiod problems that use the hypercube approach. Rapid convergence to an optimal solution was achieved with a two-stage approach, that rst nds a exible design over selected points and then tests to see if that design is feasible over the entire range of uncertainty. Also, the designs based upon the joint condence region better reect the actual model uncertainty because they consider the correlations among the parameters.

4.5.2. Example 4.2 We solve the same reaction scheme as above except under different (randomly generated) uncertain information given in Eq. (33). Here, the relative standard deviations in each parameter are between 10 and 30%. Mild correlation is seen between parameter pairs 1 and 2 and 1 and 3 while a stronger correlation exists
q* = [k1 |* = [|1 z* [z12 k2 k3]T = [5.0 3.0 2.5]T 0.6854 0.1904]T (33)

|2 |3]T = [38080.20 z13 z23]T = [0.01

0.05

0.75]T

W.C. Rooney, L.T. Biegler / Computers and Chemical Engineering 23 (1999) 15631575

1575

Future work will consider the following open questions related to design under uncertainty. We intend to extend this work to include uncertain information from non-linear inference models. This will require a test for the suitability of elliptical condence regions as well as the possibility of approximating non-linear condence regions and using them in the two-stage algorithm. This leads to the solution of more difcult non-convex problems. We also note that process and model parameter uncertainty can be considered jointly through a combination of uncertainty descriptions that may involve hypercubes (e.g. for process disturbances) and elliptical joint condence regions (e.g. for model parameters). The approach described in this paper easily accommodates these extensions. Related to the consideration of process and model uncertainty is the role of control variables. These variables compensate for the effects of uncertainty during process operation, but, in practice, they require additional information to do so. With process uncertainties these variables are determined through feedback control loops or from feedforward information. Similarly, for model uncertainty, control variables can be adjusted using information from on-line state and parameter estimation. This information can also be used to rene the previously determined joint condence region. Finally, this study considered only worst-case designs under model parameter uncertainty. Future work will focus on developing efcient strategies that also consider stochastic objective functions in the presence of model uncertainty. Acknowledgements Funding from the Department of Energy and from by a grant from the Commonwealth of Pennsylvania, Department of Community and Economic Development is gratefully acknowledged. The authors wish to express their gratitude to Diane Hildebrandt and David Glasser for helpful discussions on the reactor network synthesis problems, made possible via NSF Grant INT9810501, and to Drs S. Kamat and C. Valenzuela of Air Products and Chemicals, Inc. for providing the data for Example 2. References
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