Ind. Eng. Chem. Res.

2002, 41, 3621-3629 3621

Nonlinear Chance-Constrained Process Optimization under

Uncertainty
1 nter Wozny
Moritz Wendt, Pu Li,* and Gu
Institut für Prozess und Anlagentechnik, Technische Universität Berlin, 10623 Berlin, Germany

Optimization under uncertainty is considered necessary for robust process design and operation.
In this work, a new approach is proposed to solve a kind of nonlinear optimization problem
under uncertainty, in which some dependent variables are to be constrained with a predefined
probability. Such problems are called optimization under chance constraints. By employment
of the monotony of these variables to one of the uncertain variables, the output feasible region
will be mapped to a region of the uncertain input variables. Thus, the probability of holding the
output constraints can be simply achieved by integration of the probability density function of
the multivariate uncertain variables. Collocation on finite elements is used for the numerical
integration, through which sensitivities of the chance constraints can be computed as well. The
proposed approach is applied to the optimization of two process engineering problems under
various uncertainties.

1. Introduction equality and inequality constraints, have to be consid-

Optimization under uncertainty is considered neces-
sary in process design and operation. Generally speak-
ing, there are two types of uncertainties: internal
uncertainties, which represent the unavailability of the
knowledge of a process (e.g., model parameters), and
external uncertainties, which, mainly affected by market
conditions, are from outside but have impacts on the
process (e.g., feedstock condition and product demand).
At the design stage, the conventional way to accom-
modate these uncertainties is an overdesign of the
process equipment. At the operation stage, processes are
usually run with an operating point defined by an
overestimation of the uncertainties. By these heuristic
rules, much more costs than necessary will be caused.
In most prevailing deterministic optimization ap-
proaches, the expected (nominal) values of these uncer-
tainties are usually employed. In reality, however, the
uncertain variables will deviate from their expected
values and thus some specifications or output con-
straints may be violated when applying the a priori
optimization results. Therefore, optimization under the
uncertainties should be considered.
Two methods have been used for representing uncer-
tain variables: discrete and continuous distribution. In
the former method, the bounded uncertain variables will
be discretized into multiple intervals such that each
individual interval represents a scenario with an ap-
proximated discrete distribution.1-4 Thus, a so-called
multiperiod optimization problem will be formulated.
The latter method considers the continuous stochastic
distribution of the uncertain variables, in which a
multivariate numerical integration method will be
chosen. This leads to a stochastic programming problem.
An approximated integration through a sampling
scheme5 and a direct numerical integration6 have been
used.
To solve an optimization problem under uncertainty,
some special treatments to the objective function, the
* Corresponding author. Tel.: +49-30-31423418. Fax: +49-
30-31426915. E-mail: li@dynamik.fb10.tu-berlin.de.
10.1021/ie010649s CCC: $22.00 © 2002 American Chemical Society
Published on Web 06/26/2002
ered in order to relax the stochastic problem to an
equivalent nonlinear programming (NLP) problem so
that it can be solved by the existing optimization
routines. Minimizing the expected value of the objective
function has been usually adopted.7,8 To handle the
inequality constraints under uncertainty, recourse and
chance constraints are the two main approaches used.9
In the approach of recourse, violations of the constraints
are allowed and will be compensated for by introducing
a penalty term in the objective function. This approach
is very suitable to solving process planning problems
under demand uncertainty.2,10,11 The recent develop-
ment of algorithms of this approach has made it possible
to solve large-scale linear and mixed-integer linear
process planning problems.12
However, the application of recourse is limited be-
cause in many cases a suitable measure of compensation
of the constraint violation is not available. In these
cases, the approach of chance constraints can be used,
in which a user-defined level of probability of holding
the constraints (reliability of being feasible) will be
ensured. In the framework of a linear system, the
solution of a problem with single (separate) chance
constraints can be derived simply by a coordinate
transformation. In the case of a linear problem with a
joint chance constraint, the relaxed problem is convex
if the probability distribution function (PDF) of the
uncertain variables is quasi-concave.13 Thus, it can be
solved with an NLP solver. The probabilities and
gradients of the constraints, composed of stochastic
variables with multivariate normal distribution, can be
computed using an efficient simulation approach.9 These
results have been applied to linear model predictive
control.14,15 However, methods of solving chance-con-
strained optimization problems for nonlinear processes
under uncertainty have not been well developed. The
main challenge lies in the difficulty in determining the
probability of the output constraints and its sensitivity,
if there exist nonlinear relations between the uncertain
variables and the output constraints.
Integration or sampling can be used to address the
problem. Generally speaking, sampling in a space is
3622 Ind. Eng. Chem. Res., Vol. 41, No. 15, 2002
equivalent to multivariate integration. Diwekar and
Kalagnanam5 proposed an efficient sampling method.
The work of Whiting et al.16,17 concerns sampling
parameters of thermodynamic models for process simu-
lation. The samples are checked by comparing the
experimental data such that practically meaningful
output distribution can be obtained. They consider the
correlation of the parameters, but the knowledge of
distribution is not required.
The integration method, based on the known prob-
ability density function (PDF), only considers integrals
in the feasible region of the uncertain variables. More-
over, for optimization of such problems the gradient
information is required. For a numerical gradient
computation by sampling, two times of sampling are
required. This will lead to more computation time. The
advantage of direct numerical integration of the PDF
is that one can compute the gradients simultaneously
during multivariate integration.
In this work, we propose a new approach to solve
nonlinear chance-constrained optimization problems
under uncertainty. We employ the monotony of the
constrained output variables to one of the uncertain
variables, so that the feasible region will be mapped to
a region of the uncertain variables. Through this projec-
tion, the probability of holding the output constraints
can be simply achieved by integration of the joint
density function of the multivariate uncertain variables.
Assuming that the uncertain variables have a correlated
normal distribution, we use collocation on finite ele-
ments for the numerical integration, through which
sensitivities of the chance constraints to the decision
variables can be computed as well. A sequential com-
putation scheme is proposed for the nonlinear stochastic
optimization. The results of the application to the design
and operation of a reactor network and a distillation
column demonstrate the scope of the proposed approach.
2. Nonlinear Chance Constrained Optimization
Problem
A general nonlinear minimization problem under
uncertainty can be written as
min f(x,u,ξ)
s.t. g(x,u,ξ) ) 0
h(x,u,ξ) e 0
x ∈ X, u ∈ U, ξ ∈ Ξ (1)
where f is the objective function, g and h are the vectors
of the equality and inequality constraints, and x ⊂ R n,
u ⊂ R m, and ξ ⊂ R S are the vectors of state, decision,
and uncertain variables, respectively. Here ξ includes
both the internal and external uncertain variables. We
assume that ξ has a joint PDF F(ξ) such that its
integration in the entire uncertain space
∫ΞF(ξ) dξ ) 1 (2)
There may exist correlations between these uncertain
variables. Historic operating data can be used to esti-
mate their stochastic properties such as expected values
and the correlation matrix. Because of the existing
uncertainties, some modifications to (1) have to be made
in order to arrive at a meaningful problem formulation.
Figure 1. Relation between single and joint chance constraints.
We first consider the equality constraints g under
uncertainty. In fact, the impact of g is the projection of
the uncertain variables (inputs) to the state space
(outputs), with some given u. This implies that the
required values of the state variables can be computed
by a multivariate integration of the model equations in
the space Ξ; i.e., x is a function of u and ξ. By doing so,
g will be eliminated from (1).
Second, a usual representation of the objective func-
tion under uncertainty is the minimization of its ex-
pected value:
EΞ(f(u)) ) ∫Ξ f(u,ξ) F(ξ) dξ (3)
In the work of Bernardo et al.,6 the computation of this
integral is discussed. It is shown that a direct multi-
variate integration is computationally advantageous
over the method of sampling.
Third, the inequality constraints under uncertainty
have to be considered. In process engineering practice,
a very popular form of the inequality constraints is the
specification (limitation) of some of the state variables
(yi ) xi, i ) 1, ..., I and I e n) which we call output
variables. Then, the inequalities in (1) can be written
as
yi(u,ξ) e ySP
i i ) 1, ..., I (4)
where ySPi is the specified bound value of an output
variable, such as a pressure or a temperature limitation
of a plant. Usually holding these constraints is critical
for the production and safety of a process operation.
Because of the existence of the uncertain variables ξ,
however, it is impossible to hold (4) for sure. Thus, a
probability level of satisfying (4) will be defined to
represent a reliability of being feasible. This leads to
the form of a joint chance constraint
P{yi(u,ξ) e ySP
i , i ) 1, ..., I} g R (5)
or single chance constraints
Pi{yi(u,ξ) e ySP
i } g Ri, i ) 1, ..., I (6)
where P is the probability measure of the given prob-
ability space and 0 < R e 1 is a probability level, a
parameter defined based on the process operation
requirement. A higher value (R f 1) will be specified if
holding the constraints is more strongly desired. Figure
1 shows the relation between single and joint con-
straints. The difference between (5) and (6) is that a
joint chance constraint represents the reliability in the
output feasible region as a whole, while single chance
constraints describe the reliability in the individual
output feasible region. It can be seen that the joint
feasibility involves the single feasibility, but the reverse

Figure 2. Mapping between an uncertain input variable and an
output variable.
is not true. If the constraints are related to the safety
consideration of a process operation, a joint chance
constraint may be preferred. Single chance constraints
may be used when some output constraints are more
critical than the other ones, and in this case, different
probability levels in (6) can be specified.
Based on the above context, the stochastic optimiza-
tion problem we consider is formulated with (3) as the
objective function subject to (5) or (6) as the constraints.
Solving the problem means to search for optimal values
of the decision variables u for a minimum expected
value of the objective function and meanwhile satisfying
the probabilistic constraints, under the condition that
the values of the uncertain variables ξ will be randomly
distributed in their effective region Ξ.
3. Solution Approach
We first consider the relaxation of the defined sto-
chastic optimization problem to an NLP problem, so that
it can be solved by a standard NLP solver like SQP. It
is well-known that the solution approaches to a non-
linear problem can be classified into simultaneous
approaches, where both the state and the decision
variables are included in NLP, and sequential ap-
proaches, where an integration step is used to compute
the state variables x and thus only the decision vari-
ables u will be solved by NLP. Because a multivariate
integration in the domain of the uncertain variables is
required for evaluating the objective function and the
inequality constraints, a sequential approach would be
preferred in the case of stochastic optimization.
In a sequential NLP framework, the values of both
the constraints and their sensitivities to the decision
variables are required. While the calculation of the
objective function (3) has been proposed from previous
studies with a straightforward multivariate integra-
tion,6 no reports on the calculation of the values of the
probability for the nonlinear chance constraints (5) and
(6) have been found in the open literature. The challenge
lies in the difficulty in determining the output con-
straints by a nonlinear propagation of the uncertain
input variables ξ. Therefore, the key problem is the
obstacle to obtain the probability distribution of the
output variables.18
Projection of the Feasible Region. In this work,
we avoid direct computing of the output probability
distribution. Instead, we derive an equivalent repre-
sentation of the probability by mapping it to an integra-
tion in a region of the random inputs. Consider the
confined feasible region that will be formed by the
nonlinear projection from the region of the uncertain
variables at some given u. For a practical engineering
problem, it is realistic that one can find a monotone
relation between an output variable yi ∈ Yi and one of
the uncertain input variables ξS ∈ ΞS, where ΞS is a
subspace of Ξ. When this monotone relation is denoted
as yi ) F(ξS), the mapping between yi and ξS can be
schematically depicted as in Figure 2.
Ind. Eng. Chem. Res., Vol. 41, No. 15, 2002 3623
Table 1. Parameters of the Uncertain Inputs in the
Illustrative Example
expected standard correlation
value deviation matrix
ξ1
ξ2
1.0
2.0
0.2
0.3
[1.0 0.5
0.5 1.0 ]
In Figure 2, the right and left circles represent the
whole region of Yi and ΞS, respectively. The points are
some realization of the variables based on their distri-
bution functions. A point in ΞS leads to a point in Yi
through the projection yi ) F(ξS). Because of the
monotony, a point yi can lead to a unique ξS through
the reverse projection ξS ) F-1(yi). The shaded area in
the right circle is the output feasible region Y′i such
that
i } g R
P{yi e ySP (7)
is satisfied, while the shaded area Ξ′S in the left circle
is the region, with the bound ξLS, of the random vari-
able corresponding to Y′i. It can be easily seen that the
representation
P{ξS e ξLS} g R (8)
is the same as (7). This implies that the probability of
holding the output constraint can be computed by
integration in the corresponding region of the uncertain
variable. It should be noted that all uncertain variables
have to be taken into account when computing P{yi e
i }. In addition, the value of the decision variables
ySP
also has an impact on the projected region. Then the
bound ξLS will change based on the realization of the
individual uncertain variables ξs (s ) 1, ..., S - 1) and
the value of u, i.e.,
ξLS ) F-1(ξ1,...,ξS-1,ySP
i ,u) (9)
and this leads to the following representation:
i } )
P{yi e ySP
∫-∞∞‚‚‚∫-∞∞∫-∞ξ F(ξ1,...,ξS-1,ξS) dξS dξS-1 ... dξ1
L
S
(10)
The right-hand side of (10) is a multivariate integration
in the whole region of Ξ except for the part over the
limiting value ξLS. In fact, the result of this integration
is the value of the PDF of the random inputs. Thus, the
probability of the output constraint can be obtained by
computing the value of the PDF. A numerical integra-
tion of (10) is required when taking a joint distribution
function into account. Moreover, because of the model
complexity, an explicit expression of (9) is usually not
available. Therefore, a Newton-Raphson step has to be
used for computing the bound value ξLS with given ySP i ,
u, and ξ1, ..., ξS-1 for each integrated subspace. These
will be discussed in more detail in the next section.
Illustrative Example. The above approach is il-
lustrated with the following simple problem with two
uncertain variables that have a joint normal distribu-
tion. The data describing the stochastic properties of the
random inputs are given in Table 1. The output variable
has a nonlinear relation with these variables:
3624 Ind. Eng. Chem. Res., Vol. 41, No. 15, 2002
y ) exp(ξ1 + ξ2)
and the value P{y e 30} is to be calculated. We consider
ξ2 which is monotone to y. From the reverse projection
ξ2 ) -ξ1 + ln y, the bound of the uncertain input region
is
ξL2 ) -ξ1 + ln 30
Then the output constraint probability will be
∫-∞∞∫-∞-ξ +ln 30 φ2(ξ1,ξ2) dξ2 dξ1
P{y e 30} )
1
where φ2 is the density function of the two-dimensional
normal distribution. Its integration results in the value
P{y e 30} ) 0.83. Figure 3 shows the mapping between
the input uncertainties and the output variable, which
is created by a Monte Carlo sampling with 1000 points.
It can be seen that, although it is difficult to describe
the output distribution induced by the nonlinear model,
the probability of holding the output constraint can be
figured out: about 83% of the points are under the
bounding lines in both diagrams.
Computing the Gradients of the Probability. In
an NLP framework, we need to compute the gradients
of the output constraint probability to the decision
variables u. From (9) and (10), u has the impact on the
value of the probability through the integration bound
of the corresponding region of the random inputs. Thus,
the gradients can be computed as follows:
i }
∂P{yi e ySP
) multivariate integration becomes repeated integrations
∂u
∂ξL
∫-∞∞‚‚‚∫-∞∞F(ξ1,...,ξS-1,ξLS) ∂uS dξS-1 ... dξ1
where the gradient vector ∂ξLS/∂u can also be obtained
in the Newton-Raphson step during computing of the
value of ξLS. Similar to (10), the right-hand side of (11)
can be computed by a numerical integration in the input
region.
Until now we have discussed the computation of the
probability and its sensitivities of a single chance
constraint. For a joint constraint defined in (5), one
should first analyze the relation between the con-
strained outputs and the uncertain inputs. Again, one
of the uncertain variables ξLS, which is monotone with
all output variables, may be found, such that
i , i ) 1, ..., I} ) P{ξS e ξS e ξS} (12)
P{yi e ySP l L
where ξLS and ξlS are the upper and lower bounds of the
uncertain input region, respectively. This region is
formed by the cutting planes mapped by yi(u,ξ) e ySP
i
(i ) 1, ..., I). Then the joint probability (12) can be
computed by
P{yi e ySP
i , i ) 1, ..., I} )
∫-∞∞‚‚‚∫-∞∞∫ ξLS
ξlS
F(ξ1,...,ξS-1,ξS) dξS dξS-1 ... dξ1 (13)
The whole computational strategy proposed for solving
the nonlinear chance-constrained optimization problem
is a sequential NLP approach that can be depicted in
Figure 4. SQP is chosen for searching for the decision
variables u in the NLP solver. The values of the
objective function, the probabilistic constraints, and
their sensitivities are computed by the multivariate
integration, while the upper and lower bounds of the
integration region will be calculated through solving the
model equations by the Newton-Raphson algorithm. It
should be noted that this approach is not dependent on
the distribution of the random variables.
Finally, the issue of feasibility is important for the
chance-constrained problem. It is likely that the pre-
defined probability level R is higher than reachable.
Then the SQP algorithm cannot find a feasible solution.
A straightforward way to address this problem is to
compute the maximum reachable probability before
doing the optimization. The only way to do this is to
replace the original objective function with
max P{yi e ySP
i , i ) 1, ..., I} (14)
and then run the above computation.
The two necessary conditions to use this approach are
the knowledge of the PDF and a monotone relation
between the constrained output variable and one of the
uncertain variables or parameters. The solution ap-
proach does not depend on the form of distribution of
the uncertain variables, provided the multivariate
integration can be made. Whether they are correlated
or not has no influence on the approach either.
It should be noted that the correlation between the
variables will not make the problem simpler, but rather
it leads to a much more complicated integration because
of the overlapping of the spaces of uncertain variables.
If the variables are uncorrelated (independent), the
of individual functions with a single variable. We
(11) assume a correlated normal distribution because the
uncertain variables in practical problems are usually
correlated.
Until now, only inequality constraints in which some
state variables are restricted have been considered as
output probability constraints. In practice, there may
be other forms of inequality constraints. Corresponding
to (1), a general form of probability constraint for such
inequalities can be described as
P{h(x,u,ξ) e 0} g R (15)
To deal with this constraint by the proposed approach,
a new variable z can be introduced as
z ) h(x,u,ξ) (16)
which can be considered as an output variable. This
equation will be added into the equation system, so that
the constraint can be expressed as
P{z e 0} g R (17)
which is the same form as (7).
4. Numerical Integration
In this section, we derive a numerical approach to the
multivariate integration by using collocation on finite
elements for computing values of the chance constraints
(13). This computation depends decisively on the dis-
tribution of the uncertain variables concerned. In pro-
cess engineering, many uncertain variables may be
approximately treated as normally distributed. Accord-
 Ind. Eng. Chem. Res., Vol. 41, No. 15, 2002 3625

Figure 3. Mapping between the input (left) and output (right) variables in an illustrative example.

ξ̂, which conforms to the standard normal distribution

with zero mean and a covariance matrix Σ̂ having unit
diagonal elements.
Computing the Function Value. The probability
of the random inputs in a certain region can be obtained
from the standard PDF ΦS which will be computed by
integrating the standard density function φ̂S, i.e.,

ΦS(z1,...,zS,Σ̂ ) ) ∫-∞z ‚‚‚∫-∞z φ̂S(ξ̂1,...,ξ̂S) dξ̂S ... dξ̂1

1 S
(20)

For the multivariate standard normal distribution, it

is well-known that (20) can be written as

Figure 4. Computational strategy for solving chance-constrained

ΦS(z1,...,zS,Σ̂ ) ) ∫-∞z ΦS-1(z(1)
1 (1) (1)
2 ,..., zS ,Σ̂ )φ̂1(ξ̂1) dξ̂1
problems. (21)
ing to the central limit theorem,19 if a random variable where ΦS-1 is the (S - 1)-dimensional standard PDF
is generated as the sum of the effects of many indepen- while φ̂1 is the standard normal density function of a
dent random parameters, the distribution of the vari- single random variable,9 and
able approaches a normal distribution, regardless of the
distribution of each individual parameter. An example zk - rk,1ξ̂1
in work by Papoulis20 illustrates a surprisingly good z(1)
k ) , k ) 2, ..., S (22)
approximation of a normal distribution by the sum of
three uniformly distributed parameters (thus, each of
x k,1
1 - r 2

those has a distribution very different from Gaussian).

In practical engineering problems, the mean values and Σ̂(1) is the (S - 1) × (S - 1) correlation matrix with
correlation matrix of variables can be relatively easily entries
obtained, but it is difficult to achieve their distribution.
Thus, we derive an integration method for the case of (1)
ri,j - ri,1rj,1
normally distributed random variables that have the
ri,j ) , i, j ) 2, ..., S (23)
PDF x i,1 x j,1
1 - r 2
1 - r 2

1 T -1 Now the S-dimensional multivariate integration is

φS(ξ) ) e-1/2(ξ-µ) Σ (ξ-µ) (18)
1/2
|Σ | (2π) S/2 reduced to an (S - 1)-dimensional one:

where µ and Σ are known expected values and the ΦS-1(z(1) (1) (1)
2 ,..., zS ,Σ̂ ) )
covariance matrix of these stochastic variables, which
∫-∞z ‚‚‚∫-∞z φ̂S-1(ξ̂2,..., ξ̂S) dξ̂S ... dξ̂2
(1) (1)

[] [ ]
have the following form: 2 S
(24)

µ1 σ12 σ1σ2r12 ‚‚‚ σ1σSr1S Continuing this procedure for S - 2 steps, we arrive at
µ σσr σ22 ‚‚‚ σ2σSr2S the two-dimensional integration
µ) 2 Σ ) 1 2 12 (19)
‚‚‚ ‚‚‚ ‚‚‚ ‚‚‚ ‚‚‚
(S-2) (S-2) (S-2)
µS σ1σSr1S σ2σSr2S ‚‚‚ σS2 Φ2(zS-1 ,zS ,Σ̂ ))
∫ ∫
(S-2)
zS-1 z(S-2)
-∞ -∞
S
φ̂2(ξ̂S-1,ξ̂S) dξ̂S dξ̂S-1 (25)
where σi is the standard deviation of each individual
random variable and ri,j ∈ (-1, 1) is the correlation
coefficient between ξi and ξj (i, j ) 1, ..., S). ξ can be where Σ̂(S-2) is the 2 × 2 correlation matrix. Similar to
easily transformed through a linear transformation to (21), the right-hand side of (25) can be written as
3626 Ind. Eng. Chem. Res., Vol. 41, No. 15, 2002

(S-2) (S-2) (S-2)

Φ2(zS-1 ,zS ,Σ̂ ))

[ z(S-2)
]
(S-2)
- r1,2 ξ̂S-1
∫-∞z
(S-2) S
S-1
Φ1 φ1(ξ̂S-1) dξ̂S-1 (26)
x (S-2) 2
1 - (r1,2 )

where Φ1 is the standard probability function of a
normally distributed variable. Because an analytical
solution of (26) is not available, a numerical integration
is required. Collocation on finite elements has been
regarded as an efficient method;21 thus, we use it for
the numerical integration of (26). In the collocation
(S-2)
framework, the integrated interval (-∞, zS-1 ] will be
discretized into subintervals. It should be noted that for
the standard normal distribution the domain [-3,
(S-2)
zS-1 ] can be used. The method of collocation on finite
elements is briefly presented in appendix A.
Based on (20)-(26), a nested computational approach
can be developed. From the collocation method, the
values of Φ2 on the collocation points of the random
variable will be calculated. These values will be used
for computing the values of Φ3, and the procedure
continues upward until the values of ΦS are computed.
The choice of the number of intervals and the number
of collocation points depends on the compromise be-
tween the accuracy and computation expense. More
intervals and more collocation points will lead to more
accurate results, but the computation time will be
increased. Simulation results show that three intervals
with three-point collocation or two intervals with five-
point collocation can reach a probability accuracy with
an error of less than 1%.
Computing the Gradients. For the case of normal
distribution, the gradients of the probability to the
decision variables u can be computed by using the same
approach as that described above. We note that only the
last bound value of the integral in (20) has something
to do with u [see also (9)]. From (21), we have the
gradient vector:
Figure 5. Flowsheet of the reactor network.
computed from (31) upward to (27), also by using the
collocation method.
5. Application to Process Engineering Problems
Reactor Network Design. The first example is a
reactor network design problem, as shown in Figure 5.
This example is taken from Rooy and Sahinidis,22 and
it is extended for the purpose of optimal design under
uncertainty. The design problem is defined as the cost
minimization under the product specification. It is
assumed that the uncertainties are from the kinetic
parameters (the activation energy and the frequency
factor in the Arrhenius equation), while the decision
variables are the volumes of both reactors. The chance-
constrained optimization problem is formulated as fol-
lows:
min f ) xV1 + xV2
s.t. CA1 + k1CA1V1 ) 1
CA2 - CA1 + k2CA2V2 ) 0
CB1 + CA1 + k3CB1V1 ) 1
CB2 - CB1 + CA2 - CA1 + k4CB2V2 ) 0
k1 ) k10e-E1/RT1
k2 ) k10e-E1/RT2

∂ΦS z1 ∂ΦS-1 k3 ) k20e-E2/RT1

∂u
) ∫-∞ ∂u
φ̂1(ξ̂1) dξ̂1 (27)
k4 ) k20e-E2/RT2
Because
B2} g R
P{CB2 g CSP
ΦS-1(z(1) (1) (1)
2 ,...,zS ,Σ̂ ) )
0 e CA1, CA2, CB1, CB2 e 1, 0 e V1, V2 e 16 (32)
∫ z(1)
-∞
2
ΦS-2(z(2)
3 ,..., z(2) (2)
S ,Σ̂ ) φ̂1(ξ̂2) dξ̂2 (28)
where CAi, CBi, Vi, and Ti (i ) 1 and 2) are the
then concentrations of component A and B and the volume
and temperature of both reactors, respectively. The
∂ΦS-1 ∂ΦS-2 temperatures in both reactors are known and constant
∫-∞z
(1)
) 2
φ̂1(ξ̂2) dξ̂2 (29) (i.e., RT1 ) 5180.869 and RT2 ) 4765.169), where R is
∂u ∂u
the ideal gas constant.
Continuing this procedure for S - 2 steps, we arrive at The random kinetic parameters are assumed to
conform to a joint normal distribution, the data of which
∂Φ2 ∂Φ1 are given in Table 2, in which the standard deviations
∫-∞z
(S-2)
) S-1
φ̂ (ξ̂ ) dξ̂S-1 (30) are 3% of their expected values. The entries of the
∂u ∂u 1 S-1 correlation matrix are assumed values that may result
from the parameter estimation. It should be noted that
and the assumption that the Arrehenius constants for the
two reactors are correlated and that all are normally
∂Φ1 ∂z(S-1)
S distributed is not necessarily a practical assumption.
) φ̂1(z(S-1)
S ) (31) Because CB2 is monotone with k20, we chose k20 as the
∂u ∂u
random variable for computing the bound of the region
In section 3 we have discussed how to compute zS and of the uncertain variables. Because there is the relation
∂zS/∂u. Thus, the gradients of the probability can be k20 V w CB2 v, we can transform P{CB2 g CSPB2} to P{k20 e
 Ind. Eng. Chem. Res., Vol. 41, No. 15, 2002 3627

Table 2. Parameters of the Random Parameters in the

Reactor Network
expected standard correlation

[ ]
value deviation matrix
E1 6665.948 200 1 0.5 0.3 0.2
0.5 1 0.5 0.1
E2 7965.248 240
0.3 0.5 1 0.3
k10 0.715 0.0215 0.2 0.1 0.3 1
k20 0.182 0.0055

Table 3. Comparison of the Stochastic (ST) and

Deterministic (DT) Optimization Results
CPU Figure 6. Pilot distillation column for separating a water-
V1 V2 f time (s) NV % methanol mixture.
SP
CB2 R ST DT ST DT ST DT ST DT ST DT Table 4. Parameters of the Random Variables in the
0.50 0.90 3.301 3.222 3.266 2.814 3.624 3.472 0.8 0.2 10 50.52 Distillation Process
0.50 0.95 3.497 3.245 3.671 1.0 5
expected standard correlation

[ ]
0.52 0.90 3.808 3.452 3.795 3.416 3.899 3.706 1.0 0.2 10 50.85
0.52 0.95 3.854 4.001 3.963 1.2 5
value deviation matrix
0.54 0.90 4.474 3.910 4.908 4.168 4.331 4.019 1.1 0.2 10 50.33 ηR 0.8 0.016 1 0.5 0.3 0.1
0.54 0.95 4.701 5.439 4.501 2.0 5
0.5 1 0.3 0.1
ηS 0.8 0.016
0.3 0.3 1 0.3
L
k20 } according to (7) and (9). Thus, we can use k20 L
)
-1 SP F (L/h) 37 1.11 0.1 0.1 0.3 1
F (E1,E2,k10,CB2,V1,V2) according to (10) as the upper
xF 0.2 0.008
bound for the random variable k20 in the numerical
integration. is considered (Figure 6). The column has a diameter of
The three-point collocation and four intervals for each 100 mm and 20 bubble-cap trays with a central down-
random variable are used in the multivariate integra- comer. The column is operated under atmospheric
tion, with which the inaccuracy of the probability pressure. The feed to the column is assumed to come
computation will be less than 10-4. Table 3 shows the from upstream plants and thus the feed flow rate F and
results of the stochastic optimization compared with composition xf are considered as external uncertain
those of the deterministic optimization. In the deter- variables. The tray efficiency in the stripping section
ministic optimization, the random parameters are set ηS and in the rectifying section ηR usually cannot be
constant with their expected values. In the first two determined accurately. Thus, these two parameters are
columns of Table 3, six cases (three product specifica- also considered to be uncertain variables.
tions and two probability levels) are specified. It can be A rigorous model composed of component and energy
seen that the volumes of both reactors should be balances, vapor-liquid equilibria, and tray hydraulics
increased (which thus leads to higher costs), if the for each tray is used to describe the column, which leads
product specification rises. For a same product specifi- to a complicated nonlinear equation system. The model
cation, the volumes should also be increased, if a higher is validated by comparison of the simulation and
probability level is required. For this problem, the experimental results on the plant.23 The objective func-
maximum reachable probabilities for the cases of CB2 tion of the optimization problem is defined as
g 0.5, 0.52, and 0.54 are 1.0, 0.999, and 0.971, respec-
tively. It can be noted that the results are more sensitive max f ) c1D - c2L (33)
to the predefined probability level R when R approaches
the maximum reachable probability of satisfying the
where D and L are the distillate flow rate and the reflux
constraint.
rate of the column, respectively. These two variables are
In comparison to the results of the stochastic optimi-
the decision variables of the optimization problem. The
zation, the required volumes from the deterministic
physical meaning of (33) is the maximization of the top
optimization are smaller and thus the total cost is lower.
product amount, while the operating energy should be
However, the results from the deterministic optimiza-
lowered. The optimization problem is subject to the
tion cannot be applied because the product constraint
equalities of the nonlinear equation system and a
then will be very likely violated. The last two columns
probabilistic constraint which is assigned to the top
show the percentage of the total number of violations
product, namely,
(NV %) of the constraint when implementing respec-
tively the stochastic and deterministic optimization
results, which were obtained by sampling the random D } g R
P{xD g xSP (34)
parameters, according to Table 2, with 10 000 samples
by the Monte Carlo method. As expected, about 10% (in where xD and xSPD are the distillate composition and the
the case of R ) 0.9) and 5% (in the case of R ) 0.95) of purity specification, respectively. The constants in (33)
violations will result from the results of the stochastic are set to c1 ) 4 and c2 ) 1.
optimization, while implementing the results of the The values of an assumed joint normal distribution
deterministic optimization will lead to about 50% of of the random parameters are listed in Table 4. These
violations of the constraint. Moreover, it can be seen data are estimated based on experimental experience
that the difference between the CPU times (SUN Ultra on the pilot plant. It should be noted that there is a
1 Station) of the two methods is insignificant. strong positive correlation between the two tray ef-
Operation of a Distillation Column. A pilot distil- ficiencies because both of them may increase or decrease
lation column to separate a methanol-water mixture synchronously corresponding to load changes. Feed flow
3628 Ind. Eng. Chem. Res., Vol. 41, No. 15, 2002
Table 5. Stochastic (ST) and Deterministic (DT)
Optimization Results
D L
xSP R ST DT ST DT ST
D
0.995 0.95 0.848 0.938 1.834 1.765 1.5575
0.995 0.90 0.867 1.820 1.6473
0.995 0.5 0.931 1.754 1.9683
0.990 0.95 0.852 0.943 1.516 1.501 1.8925
0.990 0.90 0.871 1.506 1.9780
0.990 0.5 0.938 1.470 2.2806
and feed composition may have correlation due to the
operation of the upstream plant. For example, consider-
ing a reactor as the upstream plant, if the feed flow of
the reactor increases randomly, the composition of the
educt component in the outflow (feed flow of the column)
of the reactor may be increased as well because of an
uncompleted reaction.
It is known in the design of distillation columns that
the influence of feed flow is seldom considered. However,
feed flow has a significant impact on the liquid and
vapor loads in the column. This leads to a pressure drop
of the column and thus has an influence on the product
composition (especially bottom composition). Because
changes of the feed flow are more critical to load changes
than changes of the feed concentration, the correlation
of the feed flow to the tray efficiencies is much stronger
than that of the feed concentration. The standard
deviations are assumed to be 2% of the expected values
of the tray efficiencies, 3% of the feed flow rate, and 4%
of the feed concentration.
Now we have to chose one of the uncertain variables,
which is monotone with the restricted state variable in
the probabilistic constraint xD for computing the bound
of the region of all uncertain variables. It can be easily
found out that there is a positive monotony between xF
and xD. That means there is the relation xF v w xD v.
Thus, according to (7) and (8), we can transform P{xD
g xSPD } to 1 - P{xF e xF}. According to (10), xF )
L L
SP
F-1(ηR,ηS,F,xD ,D,L) can be used as the upper bound
for the random variable xF in the numerical integration.
The stochastic optimization problem is solved for
different product specifications and probability levels.
The results, shown in Table 5, are compared with those
of the deterministic optimization. It is hardly a surprise
to note that an increase of the product specification and
the probability level causes an increase of the reflux and
a decrease of the distillate stream and thus a reduction
of the objective function. However, it is interesting to
note that the objective function and the decision vari-
ables are much more sensitive to the probability level
than to the product specification. Similar to the previous
example, the results of the deterministic optimization
(based on the expected values of the uncertain param-
eters) are close to but not the same as the results
computed with a probability level of 0.5.
The required CPU time for solving this problem
depends strongly on the choice of initial values of the
decision variables. One iteration step of the optimizer
takes approximately 3 min with a SUN Ultra 1 station.
A skillful choice of initial values causes about seven
iteration steps. It should be noted that to ensure a
feasible solution for different product specifications, it
is not necessary to compute the maximum probability
with the NLP solver in this example. Instead, one
simulation step with the total reflux is sufficient for
computing the maximum probability. It is close to 1.0
for both selected product specifications.
f
DT 6. Conclusions
1.9862 In this work a new approach to solving nonlinear
chance-constrained optimization problems under un-
certainty is proposed. This approach is applicable to
2.2697
cases of a constrained output variable in the chance
constraint having a nonlinear relation to uncertain
variables with joint multivariate distribution, if at least
one of those uncertain variables has a monotonic rela-
tion to the constrained output. The monotony can be
exploited by mapping the output feasible region to the
region of uncertain variables. Through this reverse
projection, an upper bound of the uncertain variable can
be computed and the required probability can be com-
puted by numerical integration. The collocation method
is used in the integration. It is well-known that it is a
highly efficient integration method. In the proposed
numerical integration, the same collocation points are
also used for computing the gradients. Therefore, the
advantage of direct numerical integration of the PDF
is that one can compute the gradients simultaneously
during the multivariate integration. This approach is
applied to two process optimization problems under
uncertainty.
The knowledge of a monotone relationship between
the constrained output and one of an input uncertain
variable is the essence of the approach. This means that
to carry out optimization under uncertainty by the
proposed approach, the impact of the uncertain vari-
ables to the output variables should be analyzed at first,
based on the properties of the process. This can also be
done by using process simulation.
The solution approach itself (described in section 3)
is not dependent on the distribution of the random
variables. If the PDF of the random variables is known
(e.g., uniform, exponential, normal, or log-normal dis-
tribution), the approach can be applied. However, for
numerical integration, we have only derived the method
for normally distributed random variables given in
section 4. The application of the approach to processes
under uncertainties with other distributions will be a
challenging future work.
We eliminate the equality constraints by expressing
the state variables in terms of the decision and uncer-
tain variables in an implicit way, namely, using simula-
tion of the process by the Newton method. If a monotone
relation exists between the constrained output variable
and one selected input variable, we can be sure that one
solution point exists when the original function is
replaced by the reverse function (see Figure 1). If the
process is too complex, there may be problems in
simulation for the mapping of the output constraint to
the uncertain input region. Then plenty of work may
be required to overcome convergence problems. Very
often, convergence properties strongly depend on the
initial values of the state variables. In our method, the
previously computed solution point is used to ensure
that the initial values are sufficiently close to the new
solution point.
If a joint constraint is considered, it is necessary to
have an uncertain variable that has a monotone rela-
tionship with all of the chance-constrained variables.
For a concrete process, it may be difficult to find one
such uncertain variable. This will be a challenging task
in the future work. Another future work is to extend
 Ind. Eng. Chem. Res., Vol. 41, No. 15, 2002 3629

the approach to dynamic optimization problems with
time-dependent random variables (i.e., stochastic pro-
cesses). In addition, to minimize the CPU time, the
collocation method used for numerical integration can
be further studied with respect to the optimal number
of collocation points.
Acknowledgment
We thank Deutsche Forschungsgemeinschaft (DFG)
for financial support from the program "Echtzeit-Opti-
mierung grosser Systeme".
Appendix A: Collocation on Finite Elements for
Numerical Integration
The integration required has the form
Ω) ∫vv ω(v) dv
f
(2) Subrahmanyam, S.; Pekny, J. F.; Reklaitis, G. V. Design of
Batch Chemical Plants under Market Uncertainty. Ind. Eng.
Chem. Res. 1994, 33, 2688.
(3) Pistikopoulos, E. N.; Ierapetritou, M. G. Novel Approach for
Optimal Process Design under Uncertainty. Comput. Chem. Eng.
1995, 19, 1089.
(4) Rooney, W. C.; Biegler, L. T. Incorporating Joint Confidence
Regions into Design under Uncertainty. Comput. Chem. Eng. 1999,
23, 1563.
(5) Diwekar, U. M.; Kalagnanam, J. R. Efficient sampling
technique for optimization under uncertainty. AIChE J. 1997, 43,
440.
(6) Bernardo, F. P.; Pistikopoulos, E. N.; Saraiva, P. M.
Integration and Computational Issues in Stochastic Design and
Planning Optimization Problems. Ind. Eng. Chem. Res. 1999, 38,
3056.
(7) Torvi, H.; Herzberg, T. Estimation of Uncertainty in Dy-
namic Simulation Results. Comput. Chem. Eng. 1997, 21 (Suppl.),
S181.
(8) Acevedo, J.; Pistikopoulos, E. N. Stochastic Optimization

0
(A1) Based Algorithms for Process Synthesis under Uncertainty. Com-
put. Chem. Eng. 1998, 22, 647.
(9) Prékopa, A. Stochastic programming; Kluwer: Dordrecht,
namely, The Netherlands, 1995.
(10) Ahmed, S.; Sahinidis, N. V. Robust Process Planning under
dΩ
) ω(v), Ω(v0) ) 0 (A2) Uncertainty. Ind. Eng. Chem. Res. 1998, 37, 1883.
dv (11) Gupta, A.; Maranas, C. D. A Two-Stage Modeling and
Solution Framework for Multidite Midterm Planning under
The domain [v0, vf] of the variable v will be discretized Demand Uncertainty. Ind. Eng. Chem. Res. 2000, 39, 3799.
into subintervals ([vl, vl+1], l ) 1, ..., L). In each interval (12) Clay, R. L.; Grossmann, I. E. A Disaggregation Algorithm
the integration function will be approximated by for the Optimization of Stochastic Planning Models. Comput.
Lagrange functions Chem. Eng. 1997, 21, 751.
(13) Kall, P.; Wallace, S. W. Stochastic programming; Wiley:
NC New York, 1994.
Ω(v) ) ∑
j)0
Γj(v) Ωj (A3) (14) Schwarm, A. T.; Nikolaou, M. Chance-constrained Model
Predictive Control. AIChE J. 1999, 45, 1743.
(15) Li, P.; Wendt, M.; Wozny, G. Robust Model Predictive
where NC is the number of collocation points and Γ is Control under Chance Constraints. Comput. Chem. Eng. 2000, 24,
the Langrange function 829.
(16) Whiting, W. B.; Tong, T.; Reed, M. E. Effect of Uncertain-
ties in Thermodynamic Data and Model Parameters on Calculated
NC
v - v(i)
Γj(v) ) ∏ (A4) Process Performance. Ind. Eng. Chem. Res. 1993, 32, 1367.
(17) Vasquez, V. R.; Whiting, W. B. Uncertainty and Sensitivity
i)0 v(j) - v(i) Analysis of Thermodynamic Models Using Equal Probability
i*j
Sampling (EPS). Comput. Chem. Eng. 2000, 23, 1825.
Ωj and v(j) are the values of the integration and the (18) Morgan, M. G.; Henrion, M. Uncertainty; Cambridge
corresponding collocation points which are usually the University Press: Cambridge, U.K., 1990.
(19) Loeve, M. Probability Theory; Van Nostrand-Reinhold:
zeros of the shifted Legendre function,21 respectively. Princeton, NJ, 1963.
Thus, the derivatives of Ω on the collocation points can (20) Papoulis, A. Probability, Random Variables and Stochastic
be calculated as Processes; McGraw-Hill: New York, 1965.
(21) Finlayson, B. A. Nonlinear Analysis in Chemical Engineer-

| | Ωj,
dΩ NC dΓj
∑
ing; McGraw-Hill: New York, 1980.
) i ) 1, ..., NC (A5) (22) Rooy, H. S.; Sahinidis, N. V. Global Optimization of
dv vi j)0 dv v i Nonconvex NLPs and MINLPs with Applications in Process
Design. Comput. Chem. Eng. 1995, 19, 551.
From (A2) and (A5), the value of the integration on the (23) Li, P.; Wendt, M.; Arellano, H. G.; Wozny, G. Optimal
collocation points can be calculated. For the continuity, Operation of Distillation Processes under Uncertain Inflows
we use the integrated value on the last collocation point Accumulated in a Feed Tank. AIChE J. 2002, 48, 1198.
of the current interval as the initial value of the next
interval. Received for review July 31, 2001
Revised manuscript received April 10, 2002
Literature Cited Accepted May 22, 2002
(1) Halemane, K. P.; Grossmann, I. E. Optimal Process Design
under Uncertainty. AIChE J. 1993, 29, 425. IE010649S