Computers and Chemical Engineering 27 (2003) 647
/668

www.elsevier.com/locate/compchemeng

New algorithms for mixed-integer dynamic optimization

Vikrant Bansal 1, Vassilis Sakizlis, Roderick Ross 2, John D. Perkins,
Efstratios N. Pistikopoulos *
Centre for Process Systems Engineering, Department of Chemical Engineering, Imperial College, Prince Consort Road, London SW7 2BY, UK
Received 19 February 2001; received in revised form 21 October 2002; accepted 11 November 2002

Abstract
Mixed-integer dynamic optimization (MIDO) problems arise in chemical engineering whenever discrete and continuous decisions
are to be made for a system described by a transient model. Areas of application include integrated design and control, synthesis of
reactor networks, reduction of kinetic mechanisms and optimization of hybrid systems. This article presents new formulations and
algorithms for solving MIDO problems. The algorithms are based on decomposition into primal, dynamic optimization and master,
mixed-integer linear programming sub-problems. They do not depend on the use of a particular primal dynamic optimization
method and they do not require the solution of an intermediate adjoint problem for constructing the master problem, even when the
integer variables appear explicitly in the differential
/algebraic equation system. The practical potential of the algorithms is
demonstrated with two distillation design and control optimization examples.
# 2002 Elsevier Science Ltd. All rights reserved.
Keywords: Mixed-integer optimization; Dynamic modelling; Process design; Process control; Distillation; gPROMS

1. Introduction
The last decade has seen a rapid increase in the use of
dynamic simulation as a tool for studying the transient
behaviour of process systems. In fact, common practice
is to use dynamic simulation as a means towards
optimizing process design and/or operation. This is
achieved by an engineer performing multiple, trial-anderror simulations in order to choose a set of values for
the process parameters that leads to good performance
(e.g. low cost or fast transition between steady-states)
while satisfying the constraints under which the process
operates. Although this approach is simple and intuitive,
it has the major drawback that the fraction of the
parameter space that can be searched is severely limited,
especially as the number of parameters increases. This
not only means that it is impossible to guarantee
* Corresponding author. Tel.: /44-20-7594-6620; fax: /44-207594-6606.
E-mail address: e.pistikopoulos@ic.ac.uk (E.N. Pistikopoulos).
1
Present address: Orbis Investment Advisory Limited, Orbis
House, 5 Mansfield Street, London W1G 9NG, UK.
2
Present address: United Technologies Research Center, 411 Silver
Lane, East Hartford, CT 06108, USA.

optimality, but in many cases it can even be difficult

to find a set of parameter values that leads to a feasible
solution where all the constraints are satisfied (Pantelides, 1996).
The ad hoc approach described above can be avoided
by posing formal, dynamic optimization problems, where
the objective is to select the set of time-dependent and/or
time-invariant parameters that optimize some aspect of
the transient behaviour of the process while satisfying a
given set of constraints. A number of algorithms have
been developed in the literature for solving such
problems and their reliability has evolved to the extent
that realistic engineering problems involving thousands
of variables can now be readily solved with commercial
codes such as gPROMS/gOPT (Process Systems Enterprise Ltd., 2000). Reported applications using
gPROMS include optimization of operating policies in
multi-component batch distillation and other processes
(Charalambides, Shah, & Pantelides, 1995; Furlonge,
Pantelides, & Sorensen, 1999; Ishikawa, Natori, Liberis,
& Pantelides, 1997); operation of catalytic reactors
(Lovik, Hillestad & Hertzberg, 1998); design and
operation of heat exchangers under fouling (Georgiadis,
Rotstein, & Macchietto, 1998); analysis of hazards in

0098-1354/02/$ - see front matter # 2002 Elsevier Science Ltd. All rights reserved.
doi:10.1016/S0098-1354(02)00261-2

648

V. Bansal et al. / Computers and Chemical Engineering 27 (2003) 647
/668

batch processes (Viswanathan, Shah, & Venkatasubramanian, 2000); and the simultaneous optimization of the
process and control system design in complex distillation systems (Bansal, Ross, Perkins, & Pistikopoulos,
2000; Ross, Bansal, Perkins, Pistikopoulos, Koot, & van
Schijndel, 1999). Other notable applications of dynamic
optimization to chemical engineering processes include
on-line model predictive control (Biegler & Sentoni,
2000; Nath & Alzein, 2000); fault diagnosis (Huang,
Reklaitis, & Venkatasubramanian, 2000); determination
of policies for switching between steady-states (Cervantes, Tonelli, Brandolin, Bandoni & Biegler, 2000;
Mcauley & Macgregor, 1992; White, Perkins, & Espie,
1996); and optimization of systems subject to exceptional events such as failures and sudden changes in
product demand (Abel & Marquardt, 2000).
Practical engineering problems generally involve discrete as well as continuous decisions. For example, in
the optimal design of a distillation column, the number
of trays and feed location take discrete values, while the
values of the column diameter and surface areas of the
reboiler and condenser are continuous. This gives rise to
mixed-integer dynamic optimization (MIDO) problems,
the solution of which is a formidable task. The development of algorithms for solving such problems is still
in its infancy and thus few large-scale applications have
been reported. The objective of this article is to propose
new algorithms for solving MIDO problems that do not
depend on particular integration and dynamic optimization solution methods, require significantly less intermediate information than current algorithms, and as
such, are better suited to the solution of larger, more
realistic problems.
The remainder of the article is structured as follows.
After some mathematical preliminaries, the existing
solution approaches for MIDO are thoroughly and
critically reviewed. An alternative formulation and
algorithm based on generalised Benders decomposition
principles is then presented and its advantages are
discussed. An analogous algorithm based on outerapproximation (OA) is also outlined and, finally, the
application of the two algorithms is illustrated with two
distillation design and control examples.

2. Preliminaries
A MIDO problem can be formulated as:
min J(x d (tf ); xd (tf ); xa (tf ); u(tf ); d; y; tf );

u(t);d;y

s:t: hd (x d (t); xd (t); xa (t); u(t); d; y; t)0;
t
[t0 ; tf ];

ha (xd (t); xa (t); u(t); d; y; t)0;
t
[t0 ; tf ];
h0 (x d (t0 ); xd (t0 ); xa (t0 ); u(t0 ); d; y; t0 )0;

hp (x d (ti ); xd (ti ); xa (ti ); u(ti ); d; y; ti )0;

ti
[t0 ; tf ];

i  1; . . . ; N;
gp (x d (ti ); xd (ti ); xa (ti ); u(ti ); d; y; ti )00;

ti
[t0 ; tf ];

i  1; . . . ; N;
hq (d; y)0;
gq (d; y)00;

(1)

where hd /0 and ha /0 represent the system of

differential
/algebraic equations (DAEs) with initial
conditions h0 /0; hp /0 and gp 0/0 represent the set
of point equalities and inequalities, respectively, that
must be satisfied at specific time instances (including the
end-point if required); hq /0 and gp 0/0 are the timeinvariant equality and inequality constraints; xd(t) and
xa(t) are the vectors of differential state and algebraic
variables, respectively; u(t) is the vector of time-varying
control variables; d is the vector of time-invariant
continuous search variables (that may include the final
time, tf); and y is the vector of time-invariant integer
variables. In the sequel, we will consider y to be a vector
of binary (0
/1) variables since most process engineering
applications are modelled in this way and any integer
variable can be expressed as a sum of binary variables
(Floudas, 1995). The case of time-varying binary variables will be considered later in the article.
Note that the formulation in Eq. (1) is quite general.
For example, integral terms in the objective function can
be eliminated by the addition of extra differential
equations. If there are path inequality constraints that
must be satisfied at all times during the time horizon,
these can always be converted into end-point inequality
constraints (e.g. Bansal, 2000; Sullivan & Sargent, 1979),
which are a sub-set of gp 0/0.

3. Review of existing solution approaches for MIDO

By definition, it is the presence of the binary variables
y that complicate the solution of a MIDO problem
compared to a continuous dynamic optimization problem (for which solution techniques are well-established). In the context of optimally designing dynamic
systems for robustness, Samsatli, Papageorgiou and
Shah (1998) proposed the use of smooth approximations
for the binary variables in order to convert the discrete
/
continuous problem Eq. (1) into a purely continuous
one. For example, if a binary variable y is defined such
that it takes a value of 1 if another (continuous) variable
x /0 and is zero otherwise, then the following smooth
approximation would be used:
1
y  [tanh(bx)1];
2

(2)

V. Bansal et al. / Computers and Chemical Engineering 27 (2003) 647
/668

where b is a large, positive number. The major drawback of trying to solve general MIDO problems using
such an approach is that the smooth approximation
does not always lead to integral values of y (e.g., in Eq.
(2), when x /0, y/0.5). Non-integral values of y will
often render the engineering problem physically meaningless and lead to severe numerical difficulties.
Androulakis (2000) proposed a branch-and-bound
algorithm for solving MIDO problems that arise when
attempting to systematically reduce the complexity of
kinetic mechanisms. This also requires the solution of
dynamic optimization problems with relaxed binaries y.
Furthermore, as acknowledged by the author, branchand-bound techniques are unsuitable for all but very
small MIDO problems since they will typically involve
the solution of a much larger number of dynamic
optimization problems (the computational rate-determining step) than the decomposition methods described
below.
The other MIDO solution approaches that have
appeared in the literature are all based on decomposition principles, but differ in their treatment of the DAE
system. One approach is to completely discretise the
system using a technique such as orthogonal collocation
on finite elements. This converts the MIDO problem Eq.
(1) into a finite-dimensional, mixed-integer non-linear
program (MINLP), where the continuous search variables for the optimization are the full set of discretisation parameters for the differential, algebraic and
control variables, and the time-invariant variables d.
The MINLP can be solved using any conventional
method. Balakrishna and Biegler (1993) and Avraam,
Shah and Pantelides (1998, 1999) used the outerapproximation/equality-relaxation/augmented-penalty
(OA/ER/AP) algorithm of Viswanathan and Grossmann (1990), while Dimitriadis and Pistikopoulos
(1995) and Mohideen, Perkins and Pistikopoulos
(1996) used generalised Benders decomposition, or
GBD (Geoffrion, 1972), in the contexts of synthesising
reaction
/separation systems, optimizing hybrid processes, analysing dynamic systems under uncertainty,
and simultaneous design and control, respectively. The
advantages of this approach are that the dynamic model
and optimizer constraints are simultaneously converged
and that general types of inequality constraints are
easily handled. There are two major drawbacks, however. Firstly, the MINLP resulting from the discretisation is very large even for relatively small problems. In
the context of solving realistic engineering problems the
size of the MINLP will often make the problem
intractable. Secondly, intermediate solutions during
the course of the optimization generally do not satisfy
the original differential
/algebraic system equations
(hence the common use of the term infeasible path
methods). This effectively renders the approach an allor-nothing strategy since if the optimizer fails to find an

649

optimum, the intermediate results are usually meaningless and cannot be used, e.g., as new initial starting
points.
For continuous dynamic optimization problems, an
alternative approach to complete discretisation is to
only parameterise the control variables, u(t ), in terms of
time-invariant parameters (reduced space discretisation
or control vector parameterisation). For given u(t) and
values of the other search variables, d, the DAE system
is integrated using standard algorithms. Gradient information with respect to the objective function and
constraints is obtained through finite difference perturbations, or more accurately through integration of the
sensitivity equations (e.g. Vassiliadis, Sargent & Pantelides, 1994a,b), or solution of the adjoint equations (e.g.
Sullivan & Sargent, 1979; Pytlak, 1998; Bloss, Biegler, &
Schiesser, 1999). An NLP solver then adjusts the values
of the controls and other search variables on the basis of
these gradients. Although this method has the disadvantage that the solution of the DAEs and other equations
can be computationally expensive, it gives useful intermediate (sub-optimal) solutions that are feasible with
respect to the DAE system; allows more accurate
control of the error associated with the solution of the
DAE system; and is better conditioned when handling
stiff models. As such, it is much more suited for large
dynamic systems than the complete discretisation approach, although work is ongoing aimed at redressing
the balance (e.g. Cervantes & Biegler, 1998).
The MIDO algorithms in the literature that utilise
reduced space methods (Allgor & Barton, 1999; Mohideen, Pistikopoulos & Perkins, 1997; Narraway, 1992;
Schweiger & Floudas, 1997; Sharif, Shah & Pantelides,
1998) all decompose the problem into a series of primal
problems where the binary variables are fixed, and
master problems which determine a new binary configuration for the next primal problem. In all cases the
primal problem corresponds to a dynamic optimization
problem that is solved using a reduced space approach,
and which gives an upper bound on the final solution.
The methods mainly differ in how they construct the
master problem, which gives a lower bound on the
solution. In the case of OA/ER/AP, the MILP master
problem is constructed by linearising the objective
function and constraints. This contrasts with GBD
where the master problem is constructed using the
solution of the primal problem and corresponding
dual information. The advantage of the former approach is that it requires the solution of fewer primal
problems since its (more constrained) master problem
always gives at least as tight a lower bound as the GBD
master problem (Duran & Grossmann, 1986). This
could be important for MIDO problems since the primal
problem (dynamic optimization) will tend to be much
more computationally expensive relative to the master
problem than for MINLPs. However, the OA methods

650

V. Bansal et al. / Computers and Chemical Engineering 27 (2003) 647
/668

are restricted to problems where the binary variables

appear linearly and separably in the objective function
and constraints, and are not designed to handle binary
variables that appear explicitly in the DAE system
(pointed out by Schweiger & Floudas, 1997), which
would be the case, e.g., for the simultaneous design and
control optimization of a distillation column. Note that
the convexity conditions required for OA/ER/AP and
GBD to give the global optimum are rarely satisfied in
dynamic process engineering problems. Allgor and
Barton (1999) proposed a different master problem
approach where an MILP is solved based on a so-called
screening model. This approach may have the potential
for providing rigorous bounds on the global optimum;
its major drawback, however, is that the screening
model is entirely case study-specific since it is derived
from domain specific knowledge gathered from physical
laws and engineering insight .
Mohideen et al., 1997 and Schweiger and Floudas
(1997) have both developed MIDO algorithms based on
variant-2 of generalised Benders decomposition, v2GBD (Floudas, 1995), which are now explored in
more detail. In both cases, the k th primal problem
takes the form:
k

min J(x d (tf ); xd (tf ); xa (tf ); u(tf ); d; y ; tf );

u(t);d

s:t: hd (x d (t); xd (t); xa (t); u(t); d; yk ; t)0;
t
[t0 ; tf ];

h0 (x d (t0 ); xd (t0 ); xa (t0 ); u(t0 ); d; yk ; t0 )0;

ti
[t0 ; tf ];

i 1; . . . ; N;
gp (x d (ti ); xd (ti ); xa (ti ); u(ti ); d; yk ; ti )0 0;

ti
[t0 ; tf ];

i 1; . . . ; N;
hq (d; yk ) 0;
gq (d; yk )0 0;





@hd T k
@ha T k

nd (t)
na (t)0;
@xa
@xa

(4)

with boundary conditions:







@J T
@hd T k
@hd T k

nd (tf )
jd;f
@xd
@ x d
@xd
tf
tf


@ha T k

ja;f
@xd
tf





@hp T k
@gp T k

mp 
lp 0;
@xd
@xd

(5)

where nd, na, m and l are the dual multipliers associated

with the differential equations, algebraic equations,
equality point constraints and inequality point constraints, respectively. jd, f and ja, f are multipliers that
are associated with the differential and algebraic equations at the final time; these are evaluated from the first
order optimality conditions of the primal problem
(Vassiliadis, 1993).
The dual multipliers mk and lk are obtained from the
solution of the primal problem, regardless of the method
used to solve it. The Lagrange function, Lk, for the case
of a feasible primal problem Eq. (3), is given by:

ha (xd (t); xa (t); u(t); d; yk ; t)0;
t
[t0 ; tf ];

hp (x d (ti ); xd (ti ); xa (ti ); u(ti ); d; yk ; ti ) 0;

The master problem is formulated using dual information and the solution of the primal problem in order
k
to construct supporting functions about u k (t) and d : If
the primal problem is solved using adjoint-based arguments, as in Mohideen et al. (1997), then the dual
variables are available directly from the gradient evaluation method used for the primal problem. If a sensitivity-based approach is used for the primal problem then
the dual variables are obtained through the solution of
the final-value problem (Bryson & Ho, 1975; Vassiliadis,
1993):


 




d
@hd T k
@hd T k
@ha T k
nd (t) 
nd (t)
na (t)0;
dt @ x d
@xd
@xd

Lk (u k ; d ; y)J(x d (tf ); x kd (tf ); x ka (tf ); u k (tf ); d ; y; tf )

(3)

where Eq. (3) corresponds to Eq. (1) with the binary

variables fixed, y/yk . In the approach of Mohideen et
al. (1997), the primal problem is solved using an implicit
Runge
/Kutta method to integrate the DAE system and
the NLP gradient information is obtained using adjointbased arguments. In the approach of Schweiger and
Floudas (1997), a backward difference formula algorithm is used for the DAEs and the sensitivity equations
are integrated to obtain the required gradients. The
solution of the k th primal problem is denoted as u k (t)
k
and d ; with resulting differential variables x kd (t) and
algebraic variables x ka (t):/

tf

tf

T
k
k
nkd (t)hd (x d (t); x kd (t); x ka (t); u k (t); d ; y; t)dt

t0

nka (t)ha (x kd (t); x ka (t); u k (t); d ; y; t)dt

t0
T

jkd;f hd (x d (tf ); x kd (tf ); x ka (tf ); u k (tf ); d ; y; tf )

k

jka;f ha (x kd (tf ); x ka (tf ); u k (tf ); d ; y; tf )

T

jkd;0 hd (x d (t0 ); x kd (t0 ); x ka (t0 ); u k (t0 ); d ; y; t0 )

V. Bansal et al. / Computers and Chemical Engineering 27 (2003) 647
/668

T
k
jka;0 ha (x kd (t0 ); x ka (t0 ); u k (t0 ); d ; y; t0 )

(7). In order to achieve this, a modification of problem

Eq. (1) is considered where the original binary variables,
y, are relaxed, but are still forced to take integral values
by the addition of new, binary variables, y;
and

/
constraints hy  y y0:

kk h0 (x d (t0 ); x kd (t0 ); x ka (t0 ); u k (t0 ); d ; y; t0 )

T
k
k
mkp hp (x d (ti ); x kd (ti ); x ka (ti ); u k (ti ); d ; y; ti )

lkp gp (x d (ti ); x kd (ti ); x ka (ti ); u k (ti ); d ; y; ti )

T

mkq hq (d ; y)lkq gq (d ; y);

4.1. Primal problem

(6)

where k is the set of multipliers associated with the

initial conditions, and jd, 0 and ja, 0 are the sets of
multipliers associated with the initial values of the
DAEs. These are all evaluated in a similar manner to
jd, f and ja, f.
The relaxed master problem is then:
min h;
k
s:t: Lk (u k ; d ; y)0 h;

k
Kfeas ;

(7)

where Kfeas is the set of all feasible primal problems

solved up to the iteration under consideration. If the
variables y participate linearly in Eq. (1), then Eq. (7) is
an MILP that can be solved via conventional branch
and bound methods. Note that integer cuts of the form
(Floudas, 1995):
X
X
yi 
yi 0jBk j1;
k

min J(x d (tf ); xd (tf ); xa (tf ); u(tf ); d; y; tf );

u(t);d;y

hd (x d (t); xd (t); xa (t); u(t); d; y; t) 0;
t
[t0 ; tf ];

ha (xd (t); xa (t); u(t); d; y; t)0;
t
[t0 ; tf ];

hp (x d (ti ); xd (ti ); xa (ti ); u(ti ); d; y; ti )0;

ti
[t0 ; tf ];

i  1; . . . ; N;
gp (x d (ti ); xd (ti ); xa (ti ); u(ti ); d; y; ti )00;

ti
[t0 ; tf ];

i  1; . . . ; N;
hq (d; y)0;
gq (d; y)00;

i
NBk

hy y y k 0;

 fi:yki 1g;

NB

At the k th iteration of the GBD algorithm, the

following dynamic optimization problem is solved:

h0 (x d (t0 ); xd (t0 ); xa (t0 ); u(t0 ); d; y; t0 ) 0;

y;h

i
Bk

651

fi:yki  0g;
k

(8)
k

where B is the cardinality of B , are typically

introduced in Eq. (7) in order to exclude previous
integer solutions. Pure binary constraints on the original
system are also included in Eq. (7).
The MIDO algorithm terminates when the difference
between the least upper bound from the primal problems and the lower bound from the master problem is
less than a specified tolerance, or if there is an infeasible
master problem, in which case all feasible integer
combinations have been considered. The solution to
the MIDO problem then corresponds to the solution of
the primal problem with the least upper bound.

4. An alternative approach
In this section an alternative MIDO approach is
proposed, still based on v2-GBD principles, but which
does not require the computation of the dual variables
via the complex integration in Eq. (4), for example, and
which leads to the formulation of an equivalent but
much more compact master problem than Eqs. (6) and

(9)

where y is now a set of continuous, time-invariant search

variables and y is the set of complicating (binary)
variables. If the same values are chosen for the
complicating variables in problems Eqs. (3) and (9),
then these two problems are clearly identical. Thus, their
k
solutions are both denoted by u k (t) and d ; with
resulting state variables x kd (t) and algebraic variables
x ka (t): The vector y at the optimum solution to Eq. (9) is
given by yk .

4.2. Construction of the master problem

As before, the GBD relaxed master problem is
formulated using dual information from the solution
of the primal problem. It is obvious that the dual
variables associated with hd, ha, h0, hp, gp, hq and gq are
identical for the old and new primal formulations
Eqs. (3) and (9). For a feasible primal problem Eq. (9),
the Lagrange function, Lk ; is given by:
k
k
k

x d (tf ); x kd (tf ); x ka (tf ); u k (tf ); d ; yk ; tf )

Lk (u k ; d ; y)J(

tf

t0

T
k
k
nkd (t)hd (x d (t); x kd (t); x ka (t); u k (t); d ; yk ; t)dt

652

V. Bansal et al. / Computers and Chemical Engineering 27 (2003) 647
/668

tf

algorithm for the solution of the general MIDO problem

Eq. (1) can be summarised as follows:

nka (t)ha (x kd (t); x ka (t); u k (t); d ; yk ; t)dt

t0

T
k
k
jkd;f hd (x d (tf ); x kd (tf ); x ka (tf ); u k (tf ); d ; yk ; tf )

5.1. Step 1

Set the termination tolerance, o . Initialise the iteration

counter, k /1; lower bound, LB //; and upper
bound, UB/.

jka;f ha (x kd (tf ); x ka (tf ); u k (tf ); d ; yk ; tf )

k

jkd;0 hd (x d (t0 ); x kd (t0 ); x ka (t0 ); u k (t0 ); d ; yk ; t0 )

5.2. Step 2

T
k
jka;0 ha (x kd (t0 ); x ka (t0 ); u k (t0 ); d ; yk ; t0 )

k

kT

For fixed values of the binary variables, y/yk , solve

the k th primal problem Eq. (3) to obtain a solution Jk .
(For computational speed, it may be useful to omit the
search variables and constraints that are superfluous
due to the current choice of values for the binary
variables.) Set UB/min(UB, Jk ) and store the values
of the continuous and binary variables corresponding to
the best primal solution so far.

k
h0 (x kd (t0 ); x kd (t0 ); x ka (t0 ); u k (t0 ); d ; yk ; t0 )

T
k
k
mkp hp (x d (ti ); x kd (ti ); x ka (ti ); u k (ti ); d ; yk ; ti )

T
k
k
lkp gp (x d (ti ); x kd (ti ); x ka (ti ); u k (ti ); d ; yk ; ti )

mkq hq (d ; yk )lkq gq (d ; yk )
T

vk (yk  y);

(10)

where v is the set of dual multipliers for the equations

hy /0. Since hd, ha, h0, hp and hq all equal 0 at the primal
solution and they are not functions of the complicating
variables y;
their associated terms can be removed from
the Lagrangian in Eq. (10). Similarly, the complementarity optimality conditions for the NLP in the primal
problem ensure that lTp gp lTq gq  0; and since gp and
gq are not functions of y either, their associated terms
can also be removed. Hence, the Lagrange function Lk
can be simplified to:
k
k
k

x d (tf ); x kd (tf ); x ka (tf ); u k (tf ); d ; yk ; tf )

Lk (u k ; d ; y)J(
T

vk (yk  y);

5.4. Step 4
Solve the k th relaxed master problem Eq. (12) with
integer cuts Eq. (8) and the pure binary constraints of
the original system, to obtain a solution hk . Update the
lower bound, LB /hk .
5.5. Step 5

min h;
y;h

k
Kfeas :

Solve the primal problem Eq. (9) at the solution found

in Step 2 with the full set of search variables and
constraints included. Convergence will be achieved in
one iteration. Obtain the multipliers vk needed to
construct the k th master problem Eq. (12)

(11)

and the master problem posed as:

h;
s:t: Lk (u k ; d ; y)0

5.3. Step 3

(12)

It is clear from the Lagrange function definition in

Eq. (11) that the master problem Eq. (12) does not
require any dual information with respect to the DAE
system and so no intermediate adjoint problem is
required for its construction. It should also be noted
that the master problem Eq. (12) is exactly equivalent to
the master problem Eq. (7). A proof of this can be found
in Appendix A.

5. New MIDO Algorithm I

If UB/LB 0/o , or the master problem is infeasible,

then stop. The optimal solution corresponds to UB and
the values stored in Step 2. Otherwise, set k /k/1 and
yk1 equal to the integer solution of the k th master
problem, and return to Step 2.
Note that if in Step 2 a particular set of values yk
renders the primal problem Eq. (3) infeasible, then an
infeasibility minimisation problem is solved instead.
This can involve, for example, minimising the l1 or l
sum of constraint violations (Floudas, 1995). In Step 3,
the infeasibility minimisation problem is then re-solved
at its optimal solution to obtain multipliers vk . The
formulation corresponding to minimising the l sum of
violations is shown below:
min a;

a;u(t);d;y

Based on the theoretical developments presented so

far, a new, generalised Benders decomposition-based

s:t: hd (x d (t); xd (t); xa (t); u(t); d; y; t)0;
t
[t0 ; tf ];

V. Bansal et al. / Computers and Chemical Engineering 27 (2003) 647
/668

k
k
s:t: J(x d (tf ); x kd (tf ); x ka (tf ); u k (tf ); d ; y; tf )

ha (xd (t); xa (t); u(t); d; y; t)0;
t
[t0 ; tf ];

h0 (x d (t0 ); xd (t0 ); xa (t0 ); u(t0 ); d; y; t0 )0;
hp (x d (ti ); xd (ti ); xa (ti ); x(ti ); d; y; ti )0;

tf

tf


ti
[t0 ; tf ];

i 1; . . . ; N;
ti
[t0 ; tf ];

i 1; . . . ; N;

T
k
k
nkd (t)hd (x d (t); x kd (t); x ka (t); u k (t); d ; y; t)dt

t0


gp (x d (ti ); xd (ti ); xa (ti ); u(ti ); d; y; ti )0ae;

t0

(13)

a E0;

where a is a positive scalar quantity and e is a vector

whose elements are all equal to one. In Step 4, the
master problem Eq. (12) is then augmented as:
min h;
y;h

0h;
k
Kfeas ;

jka;0 ha (x kd (t0 ); x ka (t0 ); u k (t0 ); d ; y; t0 )

T

kk h0 (x d (t0 ); x kd (t0 ); x ka (t0 ); u k (t0 ); d ; y; t0 )

T
k
k
lkp gp (x d (ti ); x kd (ti ); x ka (ti ); u k (ti ); d ; y; ti )

mkq hq (d ; y)lkq gq (d ; y)
k
Kinfeas ;

(14)

where Kfeas denotes the set of iteration numbers for

which feasible primal problems are found and Kinfeas the
set for which infeasible primal problems are found.

6. Remarks on MIDO Algorithm I

(1) As already stated, one advantage of the algorithm
outlined above is that, even when the binary variables y
appear explicitly (and non-linearly) in the DAE system,
the master problem Eq. (12) does not require any dual
information with respect to the DAE system and so no
intermediate adjoint problem is required for its construction. This comes at the expense of adding more
equations, hy /0, and search variables, y:
However,
these are only used in Step 3 when the primal problem is
re-solved at its optimal solution, and convergence is
achieved in just one iteration. The use of this novel
strategy also circumvents any numerical difficulties
(such as those suggested by Schweiger and Floudas,
1997) associated with reformulating the primal problem.
(2) The master problem in Step 4 of the new MIDO
algorithm has a much simpler form compared to
algorithms where adjoint variables are required. In the
latter case, the master problem defined by Eqs. (6) and
(7) has the form:
y;h

jkd;0 hd (x d (t0 ); x kd (t0 ); x ka (t0 ); u k (t0 ); d ; y; t0 )

T
k
k
mkp hp (x d (ti ); x kd (ti ); x ka (ti ); u k (ti ); d ; y; ti )

k
k
T

s:t: J(x d (tf ); x kd (tf ); x ka (tf ); u k (tf ); d ; yk ; tf )vk (yk  y)

min h;

jka;f ha (x kd (tf ); x ka (tf ); u k (tf ); d ; y; tf )

hy  y y k 0;

nka (t)ha (x kd (t); x ka (t); u k (t); d ; y; t)dt

T
k
k
jkd;f hd (x d (tf ); x kd (tf ); x ka (tf ); u k (tf ); d ; y; tf )

hq (d; y)0; gq (d; y)00;

vk (yk  y)00;

653

0h:

(15)

Construction of this master problem thus requires

that the objective function and all the DAEs, equality
and inequality constraints that involve the binary
variables y be considered together with their adjoint
and Lagrange multipliers. Their number may be considerably larger than the number of binary variables y,
especially for complex models. In contrast, the master
problem defined by Eqs. (11) and (12) for the new
MIDO algorithm is:
min h;
y;h

k
k
T

s:t: J(x d (tf ); x kd (tf ); x kd (tf ); u k (tf ); d ; yk ; tf )vk (yk  y)

0h;
(16)

which only requires the value of the primal objective

function together with extra terms whose complexity is
independent of the complexity of the process model. The
practical benefit of this will be seen in Example 2,
presented later in this article.
(3) Another important benefit of the new MIDO
algorithm is that it is independent of the type of method
used for solving the dynamic optimization primal
problem. The upshot of this is that with the formulation
presented, any existing dynamic optimization solver can
be used to solve MIDO problems since even the most
elementary NLP codes give the simple Lagrange multi-

654

V. Bansal et al. / Computers and Chemical Engineering 27 (2003) 647
/668

plier information required for the master problem.

Note, however, that the advantages gained from the
new algorithm do depend on the method used for the
primal solution. The maximum benefits are obtained if
control vector parameterisation is used since no evaluation of the adjoint variables is then necessary. If a
multiple shooting approach is used, then the adjoints are
already computed at the primal solution; however, the
master problem formulated with Algorithm I is still
much simpler and more attractive from a computational
viewpoint than the master problem that would result
otherwise.
(4) Since the new MIDO algorithm is based on v2GBD, like the MIDO approaches of Mohideen et al.
(1997) and Schweiger and Floudas (1997), it shares its
limitations. In particular, the algorithm is only guaranteed to converge to the global optimum under convexity
conditions for the primal problem with the binary
variables appearing linearly and separably (Floudas,
1995). In the much more common, non-convex case,
there is a possibility that the GBD relaxed master
problems Eqs. (7) and (12) will exclude potentially
feasible choices of y from the solution set.
Note that for (MI)NLP problems, it has been shown
that GBD can lead to solutions which are not even local
optima if convexity criteria are not satisfied and a set of
continuous variables is chosen as the complicating
(fixed) variables for the primal problem (Floudas &
Visweswaran, 1990; Sahinidis & Grossmann, 1991;
Bagajewicz & Manousiouthakis, 1991). Perhaps in
response to this, Barton, Allgor, Feehery and Galan
(1998) and Allgor and Barton (1999) incorrectly suggested that the use of GBD approaches for MIDO has
the property of convergence to an arbitrary point which is
not even guaranteed to be a local minimum . In fact, the
new MIDO algorithm (and the GBD algorithms of
Mohideen et al., 1997 and Schweiger & Floudas, 1997)
will always converge to at least a local optimum, where
(Ross, Perkins, & Pistikopoulos, 1998):

extended to tackle MIDO problems which involve timedependent binary variables. Such problems can arise in
areas such as batch scheduling and adaptive control,
where in the latter, the control structure changes with
time. The new MIDO algorithm presented in this article
can also tackle problems involving time-dependent
binary variables, which will be denoted by uy(t). The
general formulation of such a problem is:
min

u(t);d;y;uy (t)

J(x d (tf ); xd (tf ); xa (tf ); u(tf ); d; y; uy (tf ); tf );

s:t: hd (x d (t); xd (t); xa (t); u(t); d; y; uy (t); t)0;

t
[t0 ; tf ];
ha (xd (t); xa (t); u(t); d; y; uy (t); t)0;
t
[t0 ; tf ];
h0 (x d (t0 ); xd (t0 ); xa (t0 ); u(t0 ); d; y; uy (t0 ); t0 ) 0;
hp (x d (ti ); xd (ti ); xa (ti ); u(ti ); d; y; uy (ti ); ti )0;
i  1; . . . ; N;
gp (x d (ti ); xd (ti ); xa (ti ); u(ti ); d; y; uy (ti ); ti )00;

hq (d; y)0;
gq (d; y)00:

(17)

uy(t) may be parameterised by means of a piecewiseconstant profile defined on Nuy sub-intervals over the
time horizon [t0, tf]. Hence:
uy (t)uy (j);

j 1; . . . ; Nuy :

u(t);d;y;[uy (j) j1;...;Nuy ]

J(x d (tf ); xd (tf ); xa (tf ); u(tf ); d; y; uy (tf ); tf );

s:t: hd (x d (t); xd (t); xa (t); u(t); d; y; uy (t); t)0;
t
[t0 ; tf ];

ha (xd (t); xa (t); u(t); d; y; uy (t); t)0;
t
[t0 ; tf ];
h0 (x d (t0 ); xd (t0 ); xa (t0 ); u(t0 ); d; y; uy (t0 ); t0 )0;
hp (x d (ti ); xd (ti ); xa (ti ); u(ti ); d; y; uy (ti ); ti )0;

ti
[t0 ; tf ];

i 1; . . . ; N;

i 1; . . . ; N;
hq (d; y)0;

Ross et al. (1998) showed that the GBD-based MIDO

algorithm of Mohideen et al. (1997) can be readily

(18)

The values of uy(t) during the j th sub-interval are

given by a set of time-invariant binaries uy(j). With these
binaries fixed, Eq. (17) becomes a standard dynamic
optimization problem. A similar approach to that
described earlier can thus be employed. The primal
problem in Step 3 of Algorithm I becomes:

gp (x d (ti ); xd (ti ); xa (ti ); u(ti ); d; y; uy (ti ); ti )00;

7. Extending Algorithm I to handle time-dependent

binary variables

ti
[t0 ; tf ];

i  1; . . . ; N;

min

Definition. A local optimum of an MINLP is one

which, for fixed binaries y, satisfies local optimality
conditions for the resulting (primal) problem.
The above definition is intuitively obvious since when
y is discrete there can be no feasible neighbourhood
around it which improves the objective. Therefore, the
(local optimal) solution of any of the feasible primal
problems will result in a local optimum of the MIDO
problem.

ti
[t0 ; tf ];

gq (d; y)00;

ti
[t0 ; tf ];

V. Bansal et al. / Computers and Chemical Engineering 27 (2003) 647
/668

hy y y k 0;

s:t: h EJ 

huy (j)uy (j) u ky (j)0;

j 1; . . . ; Nuy :

(19)

In Eq. (19) uy(j ), j/1,. . ., Nuy , and y are continuous

search variables, while u y (j); j  1; . . . ; Nuy ; and y are
the complicating, binary variables. The constraints
huy (j)0; j 1; . . . ; Nuy ; are interior-point constraints
that are handled in a similar fashion to the point
constraints hp /0. The multipliers associated with
huy(j) are denoted by vuy(j). The values of the variables
at the optimum are denoted as before with the addition
of u ky (j): The master problem is formulated in a similar
manner to Eq. (14);
min

y;[
u y ; j1;...;Nuy ];h

kT

h;

J v (y  y)

Nuy
X

@d k
X @J 

j

@uj

k
(d d )

Nuy
X

[vkuy (j)]T [u ky (j) u y (j)] 00;

v (y  y)

(yyk )
k

(uj  u kj );
k

 
 
@gp
@gp
k

(d d )
(yyk )
@d k
@y k
X@gp 

(uj  u kj );
@uj k

j

0 Egkp 

k
Kinfeas :

0 Egkq 

8. Using outer-approximation to construct the master

problem
As discussed in the review section earlier in this
article, current MIDO algorithms that use the principles
of OA/ER to construct the master problem are limited
in that they are not applicable to models where the
binary variables appear explicitly in the DAE system.
This can be overcome using the reformulation strategy
that was applied in Algorithm I.
In an OA/ER-based MIDO algorithm, the primal
problems are solved in an identical manner to those in
Step 2 and Step 3 of the GBD-based MIDO Algorithm
I. However, in order to construct the master problems,
instead of obtaining Lagrange multiplier values in Step
3, gradient information is required of the objective
function and constraints with respect to the optimization search variables. During solution of the primal
problem, the independent search variables are d, y and
the time-invariant variables resulting from the parameterisation of the controls, which are denoted by uj. The
k th master problem (for the case of feasible primal
problems) is thus:

 
 
@gq
@hp
k
(d d )
(yyk );
@d k
@y k

0 y y;

k
Kfeas ;

h;

@y

(20)

min

@J


 
 
@hp
@hp
k
0 ETkp hkp 
(d d )
(yyk )
@d k
@y k

X@h 
p

(uj  u kj )
@uj k

j

j1

y;d;y;[u

j ;
j ];h

 
 


@hq
@hp
k
0 ETkp hkq 
(d d )
(yyk ) ;
@d k
@y k

k
Kfeas ;
k

@J

[vkuy (j)]T [u ky (j) u y (j)]0h;

j1

kT

655

(21)

together with the integer cuts Eq. (8) and pure binary
constraints of the original system. In Eq. (21), Tk
,
/
p, q, are diagonal matrices with elements defined as:
Tk
;ii f1 if lk
;i B0;
1 if lk
;i 0;
0 if lk
;i  0;
where lk
,i ,
/p, q are the Lagrange multipliers
pertaining to the equality constraints hp /0 and hq /
0. If control vector parameterisation is used to solve the
primal problem, then these multipliers and the gradients
in Eq. (21) are available directly from the solution of the
resulting NLP problem. If another type of dynamic
optimization technique is used, e.g. multiple shooting,
then the multipliers will still be directly available;
however, the gradients have to be computed by performing an additional integration of the sensitivity or
adjoint-based DAE system at the optimal solution of the
primal problem (Rosen & Luus, 1991).
Note that Eq. (21) bears some resemblance to the
master problem proposed by Fletcher and Leyffer
(1994). However, that work considers MINLP problems, not MIDO ones, where there are no equality
constraints and where linearisations of inactive constraints are not included in the master problem.

656

V. Bansal et al. / Computers and Chemical Engineering 27 (2003) 647
/668

9. New MIDO Algorithm II

10. Remarks on MIDO Algorithm II

A new algorithm, based on OA/ER, for the solution

of the general MIDO problem Eq. (1) can now be
summarised as follows:

(1) As already stated, unlike current MIDO approaches that use OA principles to construct the master
problems, the algorithm outlined above is applicable to
models where the binary variables appear explicitly in
the DAE system. Like Algorithm I, Algorithm II has the
advantage that it is independent of the type of method
that is used for solving the dynamic optimization primal
problem (although control vector parameterisation may
be preferred versus multiple shooting, for example, since
then no intermediate problem needs to be solved to
obtain the gradients that are necessary for constructing
the master problem). Thus, again as with Algorithm I,
Algorithm II allows existing dynamic optimizers to be
used for solving MIDO problems. Algorithm II can also
be readily extended to tackle problems involving timedependent binary variables, in a similar fashion to that
described in Section 7 for Algorithm I.
(2) It should be noted that unlike the GBD-based
MIDO Algorithm I, where the master problem Eq. (16)
involves just one additional constraint per iteration, the
master problem Eq. (21) in Algorithm II involves the
addition of a large number of constraints at each
iteration. These constraints correspond to linearisations
about the optimal solution of the primal problem of the
objective function, equality and inequality constraints.
The MILP master problems in Algorithm II are therefore computationally more expensive than those in
Algorithm I. (As noted in Section 2 of this paper,
however, for both GBD- and OA-based MIDO algorithms, the master problems are usually much less
computationally demanding to solve than the primal,
dynamic optimization problems.) Because the master
problem in Algorithm II is more constrained than that
in Algorithm I, the lower bound will, in general, be
tighter, and so Algorithm II will often converge to a
locally optimal solution of the MIDO problem in fewer
iterations than Algorithm I. Note, however, that since
most MIDO problems involve non-convexities, the
additional constraints in the master problem of Algorithm II may cause it to cut off larger parts of the
feasible region than Algorithm I. Thus, although Algorithm II may converge to a local optimum faster than
Algorithm I, there is a chance that the solution will be
worse.

9.1. Step 1
Set the termination tolerance, o . Initialise the iteration
counter, k /1; lower bound, LB //; and upper
bound, UB /.
9.2. Step 2
For fixed values of the binary variables, y /yk , solve
the k th primal problem Eq. (3) to obtain a solution Jk.
(For computational speed, it may be useful to omit the
search variables and constraints that are superfluous
due to the current choice of values for the binary
variables.) Set UB /min(UB, Jk ) and store the values
of the continuous and binary variables corresponding to
the best primal solution so far.
9.3. Step 3
Solve the primal problem Eq. (9) at the solution found
in Step 2 with the full set of search variables and
constraints included. Convergence will be achieved in
one iteration. Obtain the gradients and Lagrange multipliers needed to construct the k th master problem Eq.
(21).
9.4. Step 4
Solve the k th relaxed master problem Eq. (21), with
integer cuts Eq. (8) and the pure binary constraints of
the original system, to obtain a solution hk . Update the
lower bound, LB /hk .
9.5. Step 5
If UB/LB 0/o , or the master problem is infeasible,
then stop. The optimal solution corresponds to the
values stored in Step 2. Otherwise, set k /k/1 and yk1
equal to the integer solution of the k th master problem,
and return to Step 2.
As with the GBD-based MIDO Algorithm I, if in Step
2 a particular set of values yk renders the primal
problem infeasible, then an infeasibility minimisation
problem can be solved, which in Step 3 may correspond
to Eq. (13) (Viswanathan & Grossmann, 1990). The
matrices Tp and Tq and gradients @ hp/@ d, @ gp/@ d, @ hq/
@ d, @ gq/@ d etc. are found from the solution of this
problem and then used to add extra linearisation
constraints to the master problem Eq. (21).

11. Example 1
The application of the new algorithms for solving
MIDO problems is now demonstrated with an example
based on a binary distillation system from the MINOPT
Users Guide (Schweiger, Rojnuckarin & Floudas,
1997). The column has a fixed number of trays and
the objective is to determine the optimal feed location

V. Bansal et al. / Computers and Chemical Engineering 27 (2003) 647
/668

(discrete decision), vapour boil-up, V , and reflux flow

rate, R (continuous decisions), in order to minimise the
integral square error (ISE) between the bottoms and
distillate compositions and their respective set-points.
The superstructure of the system is shown in Fig. 1. The
following modelling assumptions were used by Schweiger et al.: (i) constant molar overflow; (ii) constant
relative volatility, a ; (iii) phase equilibrium; (iv) constant
liquid hold-ups, equal to m for each tray and 10m for
the reboiler and condenser; (v) no tray hydraulics; (vi)
negligible vapour hold-ups; and (vii) no pressure drops.
The system is initially at steady-state; at t/0 there is a
step change in the feed composition, zf; and the inequality constraints are that the distillate composition must
be greater than 0.98, and the bottoms composition must
be less than 0.02, at the end of the time horizon of 400
min. The problem can be stated mathematically as:
(1) Objective:
min

fyf1 ;...;yfN ;V ;Rg

ISE(tf );

10m

dxN1
dt

657

V (yN xN1 );

(3) Overall balances:

0 L1 V B;
0 Li1 Li Fyfi ;

i 1; . . . ; N 1;

0 LN V FyfN R;

0 V DR;
(4) Vapour
/liquid equilibrium:
y0 

yi 

axb
;
1  (a  1)xb
axi

1  (a  1)xi

i 1; . . . ; N;

(5) Initial conditions:

ISE(t 0) 0;

d(ISE)
dt

 (xb x+b )2 (xN1 x+N1 )2 ;

s.t.
(2) Component balances:
dx
10m b L1 x1 Vy0 Bxb ;
dt
m

dxi
dt

Li1 xi1 Li xi V (yi1 yi )F yfi zf ;

j
j

dxb
dt
dxi
dt

0;

t0

 0;

i 1;

; N 1;

t0

(6) Step disturbance (smoothly approximated):

zf 0:540:09e10t ;
(7) End-point inequality constraints:

i 1; . . . ; N 1;

g1 0:98xN1 (tf )00;

dxN
LN xN V (yN1 yN )F yfN zf RxN1 ;
dt

g2 xb (tf )0:020 0;

(8) Time-horizon:
t
[0; 400];
(9) Pure binary constraints:
N
X

yfi 1;

i1

yfi  0;

i 1; . . . ; 9;

yfi
f0; 1g;

Fig. 1. Superstructure for Example 1.

i 10; . . . ; N;

where yfi is a binary variable that takes a value of 1 if

tray i receives the feed, and is 0 otherwise. Only one tray
is allowed to receive the feed, which is constrained to
enter on tray 10 or above.
The MIDO Algorithms I and II were both implemented using gPROMS/gOPT v1.7 to solve the dynamic
optimization primal problems, and GAMS/CPLEX
v2.50 (Brooke, Kendrick & Meeraus, 1992) for the
MILP master problems. All the primal solutions,

658

V. Bansal et al. / Computers and Chemical Engineering 27 (2003) 647
/668

Lagrange multipliers and master solutions using Algorithm I are summarised in Table 1, while the primal
solutions, gradients and master solutions using Algorithm II are summarised in Table 2. Using a termination
tolerance of o/0, both algorithms converged after four
iterations, giving the same optimal solution reported by
Schweiger et al. (1997). This corresponds to a feed
location at tray 25, vapour boil-up of 1.5426 kmol/min,
reflux flow rate of 1.0024 kmol/min, and ISE of 0.1817.
Note that integer cuts were added in each master
problem to prevent the re-occurrence of previous solutions. For example, for the first master problem, the cut
(yf20 ai"20 yfi 00); was added.
It is interesting to observe that, for this example, the
master problems of Algorithm II do not predict tighter
lower bounds than the master problems of Algorithm I
except on the fourth iteration when convergence of the
overall MIDO problem has already been achieved. This
behaviour can be understood in terms of the fact that,
qualitatively, the difference between a GBD-based
master problem and an OA-based one is that the former
only considers the inequality constraints that are active
at the primal solution, whereas the latter considers all
the inequality constraints in the model (Duran, 1984).
Thus, if the inequality constraints that are inactive at the
primal solution remain inactive at the solution of the
OA master problem, then GBD and OA will give
identical behaviour. This is demonstrated for this
example in Appendix B.

12. Example 2
This example, adapted from Schweiger and Floudas
(1997), builds on Example 1, where the distillation
system is now subject to sinusoidal disturbances in the
feed flow-rate (9/20% variation, 3-h period) and composition (9/20% variation, 1-h period). The objective is
to design the distillation column and its required control
system at minimum total annualised cost (comprising
capital cost of the column and operating cost of
utilities), capable of feasible operation over the whole
of a given time horizon (1440 min). Feasibility is defined
through the satisfaction of inequality path constraints
related to the product quality specifications and the
minimum allowable column diameter required to avoid
flooding. It is assumed that proportional-integral (PI)
controllers are to be used, where the vapour boil-up
rate, V , controls the bottoms composition, xb, and the
reflux rate, R , controls the distillate composition, xN1.
Solution of the problem thus requires the determination
of: (i) the optimal process design, in terms of the number
of trays (discrete decision), feed tray location, which is
constrained to lie at least five trays below the reflux tray
(discrete decision), and column diameter, Dcol (continuous decision); and (ii) the optimal control design, in

Table 1
Progress of iterations of MIDO algorithm I for example 1
Iteration number

Primal solutions
Feed tray
V (kmol/min)
R (kmol/min)
ISE
UB

20
1.2231
0.6836
0.1992
0.1992

26
1.7830
1.2426
0.1827
0.1827

24
1.4111
0.8711
0.1834
0.1827

25
1.5426
1.0024
0.1817
0.1817

Lagrange multipliers
v1
v2
v3
v4
v5
v6
v7
v8
v9
v10
v11
v12
v13
v14
v15
v16
v17
v18
v19
v20
v21
v22
v23
v24
v25
v26
v27
v28
v29
v30

0.4353
0.3319
0.2741
0.2414
0.2226
0.2114
0.2045
0.2001
0.1970
0.1948
0.1931
0.1916
0.1904
0.1893
0.1884
0.1878
0.1876
0.1879
0.1890
0.1909
0.1994
0.2085
0.2172
0.2246
0.2301
0.2325
0.2298
0.2189
0.1954
0.1535

0.6147
0.3965
0.2864
0.2307
0.2024
0.1881
0.1808
0.1771
0.1753
0.1745
0.1742
0.1742
0.1744
0.1746
0.1749
0.1752
0.1755
0.1759
0.1763
0.1766
0.1770
0.1773
0.1777
0.1779
0.1777
0.1765
0.1698
0.1537
0.1204
0.0566

0.6045
0.4077
0.3027
0.2463
0.2159
0.1992
0.1899
0.1847
0.1815
0.1796
0.1784
0.1775
0.1768
0.1763
0.1759
0.1755
0.1752
0.1749
0.1747
0.1746
0.1748
0.1753
0.1762
0.1776
0.1818
0.1846
0.1838
0.1763
0.1574
0.1209

0.6204
0.4087
0.2984
0.2406
0.2101
0.1939
0.1853
0.1806
0.1780
0.1765
0.1757
0.1752
0.1749
0.1747
0.1746
0.1745
0.1745
0.1745
0.1745
0.1746
0.1747
0.1750
0.1754
0.1759
0.1763
0.1763
0.1721
0.1600
0.1339
0.0850

Master solutions
Feed tray
LB
UB/LB0/0?

26
0.1576
No

24
0.1813
No

25
0.1815
No

23
0.1848
Yes: STOP

terms of the gains (Kv and Kr ), reset times (tv and tr )

and set-points (xb and xN1) of the two PI controllers.
The superstructure of this system, together with
relevant parameter values and definitions of variables,
is shown in Fig. 2. Using similar modelling assumptions
to those in Example 1, the MIDO problem can be stated
mathematically as:
(1) Objective:
min

fyf ;yr;Dcol ;Kv ;Kr ;tv tr ;x+b ;x+N1 g

Cost

7756Vmean 1891:125996:3D2col

V. Bansal et al. / Computers and Chemical Engineering 27 (2003) 647
/668

659

Table 2
Progress of iterations of MIDO algorithm II for example 1
Iteration number

Primal solutions
Feed tray
V (kmol/min)
R (kmol/min)
ISE
UB

20
1.2231
0.6836
0.1992
0.1992

26
1.7830
1.2426
0.1827
0.1827

24
1.4111
0.8711
0.1834
0.1827

25
1.5426
1.0024
0.1817
0.1817

Objective gradients
w.r.t. V , R
yf1, yf2
yf3, yf4
yf5, yf6
yf7, yf8
yf9, yf10
yf11, yf12
yf13, yf14
yf15, yf16
yf17, yf18
yf19, yf20
yf21, yf22
yf23, yf24
yf25, yf26
yf27, yf28
yf29, yf30

7.4445, /6.7611
/4.9048, /4.8013
/4.7434, /4.7107
/4.6918, /4.6806
/4.6737, /4.6692
/4.6662, /4.6639
/4.6622, /4.6608
/4.6596, /4.6587
/4.6581, /4.6580
/4.6588, /4.6611
/4.6657, /4.6743
/4.7129, /4.7640
/4.8258, /4.8989
/4.9855, /5.0899
/5.2187, /5.3816
/5.5935, /5.8772

12.108, /11.926
/7.3116, /7.0977
/6.9898, /6.9352
/6.9075, /6.8934
/6.8863, /6.8827
/6.8809, /6.8802
/6.8799, /6.8798
/6.8800, /6.8802
/6.8805, /6.8808
/6.8812, /6.8817
/6.8823, /6.8831
/6.8845, /6.8869
/6.8913, /6.8998
/6.9163, /6.9487
/7.0640, /7.2642
/7.6064, /8.1968

10.052, /9.7077
/6.2937, /6.0972
/5.9924, /5.9361
/5.9057, /5.8891
/5.8798, /5.8746
/5.8715, /5.8695
/5.8683, /5.8674
/5.8668, /5.8663
/5.8659, /5.8656
/5.8655, /5.8655
/5.8660, /5.8673
/5.8700, /5.8754
/5.8856, /5.9049
/5.9830, /6.1007
/6.2709, /6.5180
/6.8835, /7.4364

10.962, /10.701
/6.7519, /6.5413
/6.4315, /6.3740
/6.3438, /6.3277
/6.3191, /6.3144
/6.3118, /6.3103
/6.3095, /6.3090
/6.3087, /6.3085
/6.3084, /6.3084
/6.3085, /6.3087
/6.3092, /6.3101
/6.3119, /6.3153
/6.3220, /6.3349
/6.3594, /6.4534
/6.6042, /6.8391
/7.2083, /7.7990

Inequalities values
g1, g2

/3.9013e/3, 0

/2.2065e/3, 0

/2.9734e/3, 0

/2.6192e/3, 0

Gradients of g1
w.r.t. V , R
yf1, yf2 (/1e6)
yf3, yf4 (/1e6)
yf5, yf6 (/1e6)
yf7, yf8 (/1e6)
yf9, yf10 ( /1e6)
yf11, yf12 ( /1e7)
yf13, yf14 ( /1e7)
yf15, yf16 ( /1e6)
yf17, yf18 ( /1e5)
yf19, yf20 ( /1e5)
yf21, yf22 ( /1e4)
yf23, yf24 ( /1e3)
yf25, yf26 ( /1e3)
yf27, yf28 ( /1e2)
yf29, yf30

0.1819, /0.3292
/385.63, /415.24
/433.12, /444.65
/452.71, /458.81
/463.70, /467.65
/470.56, /471.93
/4706.6, /4645.9
/4497.0, /4185.2
/357.15, /239.88
/1.9069, 39.354
116.14, 258.75
91.024, 181.41
29.602, 43.746
61.235, 83.232
11.157, 1.4905
0.1998, 0.2700

0.0423, /0.0684
/1.0724, /1.1254
/1.1541, /1.1703
/1.1796, /1.1838
/1.1825, /1.1722
/1.1448, /1.0837
/9.5487, /6.9007
/1.5164, 9.3740
3.1344, 7.5611
1.6475, 3.4417
7.0530, 14.321
2.8946, 5.8379
1.1761, 2.3680
4.7665, 9.5933
2.7123, 5.8186
0.1121, 0.2061

0.0821, /0.1403
/11.278, /12.010
/12.433, /12.692
/12.862, /12.976
/13.045, /13.058
/12.981, /12.740
/121.89, /110.47
/87.721, /43.272
4.2762, 20.850
5.2700, 11.383
23.107, 45.587
8.8680, 17.128
3.2961, 6.3307
18.824, 38.274
6.722, 11.031
0.1754, 0.2751

0.0615, /0.1024
/3.7995, /4.0215
/4.1467, /4.2212
/4.2676, /4.2958
/4.3067, /4.2933
/4.2375, /4.1012
/38.088, /32.120
/20.205, 3.3290
4.9574, 14.021
3.1759, 6.6453
13.429, 26.689
5.2608, 10.327
2.0229, 3.9582
7.7409, 22.509
4.6826, 8.5604
0.1477, 0.2481

Gradients of g2
w.r.t. V , R
yf1, yf2
yf3, yf4
yf5, yf6
yf7, yf8
yf9, yf10
yf11, yf12
yf13, yf14
yf15, yf16
yf17, yf18
yf19, yf20
yf21, yf22
yf23, yf24
yf25, yf26
yf27, yf28
yf29, yf30

/1.8800, 1.7074
1.1287, 1.1287
1.1287, 1.1287
1.1287, 1.1286
1.1286, 1.1286
1.1286, 1.1286
1.1286, 1.1286
1.1287, 1.1287
1.1288, 1.1289
1.1292, 1.1296
1.1305, 1.1322
1.1398, 1.1504
1.1639, 1.1804
1.2009, 1.2267
1.2599, 1.3038
1.3632, 1.4455

/2.0744, 2.0432
1.1473, 1.1481
1.1484, 1.1486
1.1487, 1.1488
1.1488, 1.1488
1.1488, 1.1488
1.1488, 1.1488
1.1488, 1.1488
1.1488, 1.1488
1.1488, 1.1489
1.1489, 1.1489
1.1491, 1.1495
1.1502, 1.1516
1.1544, 1.1602
1.1811, 1.2182
1.2825, 1.3946

/1.9993, 1.9309
1.1316, 1.1317
1.1317, 1.1317
1.1317, 1.1317
1.1317, 1.1317
1.1317, 1.1317
1.1317, 1.1317
1.1317, 1.1317
1.1317, 1.1318
1.1318, 1.1319
1.1320, 1.1323
1.1328, 1.1338
1.1356, 1.1392
1.1539, 1.1767
1.2107, 1.2614
1.3378, 1.4551

/2.0286, 1.9803
1.1347, 1.1349
1.1350, 1.1351
1.1350, 1.1351
1.1350, 1.1351
1.1350, 1.1351
1.1351, 1.1351
1.1351, 1.1351
1.1351, 1.1351
1.1351, 1.1352
1.1353, 1.1354
1.1357, 1.1363
1.1375, 1.1398
1.1442, 1.1617
1.1903, 1.2360
1.3092, 1.4276

Master solutions

V. Bansal et al. / Computers and Chemical Engineering 27 (2003) 647
/668

660
Table 2 (Continued )
Iteration number

Feed tray
V , R (kmol/min)
LB
UB/LB0/0?

26
1.7488, 1.2072
0.1576
No

24
1.5179, 0.9777
0.1813
No

25
1.6375, 1.0977
0.1815
No

23
1.3856, 0.8440
0.2093
Yes: STOP



N
X
1494:45Dcol 60:76
i yri

10m

i1

61:25

N
X

i yri (0:71:5D2col );

dxN1
 V (yN xN1 );
dt

m 7:538115D2col



0:0014134

2
3

Dcol

i1


hweir ;

(3) Overall balances:

dVmean V
 ;
tf
dt

0 L1 V B;

s.t.
(2) Component balances:
10m
X
N

dxb
dt

 L1 x1 Vy0 Bxb ;

0 Li1 Li Fi Ri ;

0 V DR;

(4) Vapour
/liquid equilibrium:

y0 

yri? m

i0 i

dxi
dt

Fi zf Ri xN1 ;

Li1 xi1 Li xi V (yi1 yi )

i  1; . . . ; N;

Fi F yfi ;

i 1; . . . ; N;

Ri R yri ;

i  1; . . . ; N;

i  1; . . . ; N;

yi 

axb
1  (a  1)xb
axi

1  (a  1)xi

i 1; . . . ; N;

(5) Bottoms composition control loop:

V Vss Kv (ev Iv );
ev  x+b xmeas
;
b
dIv ev
 ;
dt tv

LN1  0;

dVss
 0;
dt
(6) Distillate composition control loop:
R Rss Kr (er Ir );
er  x+N1 xmeas
N1 ;
dIr
dt

dRss
dt

er
tr

 0;

(7) Measurement lags:

Fig. 2. Superstructure for Example 2.

xb 1:2

dxmeas
b
dt

xmeas
;
b

V. Bansal et al. / Computers and Chemical Engineering 27 (2003) 647
/668

xN1 1:2

dxmeas
N1
dt

xmeas
N1 ;

dxi
dt

0;
t0

0;

i  1; . . . ; N 1;

t0

ev (t0)0;
Iv (t 0) 0;
er (t0)0;
Ir (t 0)0;
dxmeas
b
dt

dxmeas
N1
dt

 0;
t0

0;
t0

(9) Sinusoidal disturbances:



2pt
;
F 10:2sin
180
zf 0:450:09sin


2pt
60

(10) Inequality path constraints:

g1  0:98xN1 (tf )00;
g2  xb (tf )0:0200;
g3  Dmin
col Dcol 0 0;
p
Dmin
col 0:6719 V ;
(11) Time horizon:
t
[0; 1440];
(12) Pure integer constraints:
N
X

yfi 1;

i1
N
X
i1

yri 1;

yri? 0 0;

yfi ; yri
f0; 1g;

Vmean (t0)0;

dt

N
X

i 1; . . . ; N;

i?i5

(8) Initial conditions:

dxb

yfi 

661

i 1; . . . ; N;

where the new variables that have been defined compared to Example 1 are Vmean, the average boil-up rate
over the time horizon; Dmin
col , the minimum allowable
column diameter due to flooding; and yri, a binary
variable that takes a value of 1 if tray i receives the
reflux, and is 0 otherwise. Note that the model above is
similar to that used by Schweiger and Floudas (1997),
although in that study the simpler case was considered
of a single step disturbance and only end-point constraints instead of path constraints. It should also be
noted that the binary variable term, (aN
i?1 yri? ); in the
component balances for the trays, is needed in order to
ensure that no separation is effected in the shadow
trays above the tray that receives the reflux. Without
this term, the vapour flow leaving the reflux tray would
be allowed to come into contact with the liquid hold-up
on the shadow trays. Omission of the term would thus
cause the properties of the vapour outlet from the top
tray N to be different from those of the vapour outlet
from the reflux tray, rendering such a superstructure
model invalid for determining the optimal number of
trays.
After conversion of the three path constraints into
end-point inequality constraints using the formulation
described by Bansal (2000), the MIDO problem was
solved using Algorithm I, again implemented within
gPROMS/gOPT v1.7 and GAMS v2.50/CPLEX. Despite the highly combinatorial nature of the problem
(465 discrete alternatives), the algorithm converged in
just four primal iterations. The primal and master design
and control solutions at each iteration are shown in
detail in Table 3. The optimal solution corresponds to a
distillation column with 15 trays and the feed located on
tray 8. The profiles of the controlled distillate and
bottoms compositions for the optimal distillation system
are shown in Figs. 3 and 4, respectively. It can be seen
that the path constraints g1 /0.98/xN1 0/0 and g2 /
xb/0.02 0/0 are satisfied at all times over one weeks
operation, even though the MIDO problem was only
solved using a time horizon of one day. Fig. 5 shows the
profile of the minimum allowable column diameter due
to flooding and compares it with the optimal column
diameter. Again, the associated path constraint, g3 
Dmin
col Dcol 00; is always satisfied. The cyclical behaviour observed in Figs. 3
/5 and the fact that all three
path constraints are satisfied at all times suggests that
the solution found is not only economically optimal but
is also stable for the set of disturbances considered.
Finally, as stated in Remark 2 of Section 6, earlier in
this article, one advantage of using Algorithm I compared to current MIDO algorithms such as those of

V. Bansal et al. / Computers and Chemical Engineering 27 (2003) 647
/668

662

Table 3
Progress of iterations of MIDO algorithm I for example 2

s:t: h ECostp 

35
X

wfik (yfik yf i )

i1

Number

Primal solutions
Discrete decisions
No. of trays
Feed tray

20
7

14
9

15
8

16
8

Process design
Dcol (m )

0.8214

0.9138

0.8458

0.8323

Bottoms control loop

Kv
tv
xb

/55.92
5.66
0.01823

/43.32
727.1
0.01476

/54.64
155.4
0.01564

/43.83
7.00
0.01747

Distillate control loop

Kr
tr

xN1
Cost ($k yr 1)
UB

44.90
654.2
0.9836
40.303
40.303

58.70
27.2
0.9824
39.633
39.633

23.20
2.01
0.9806
36.729
36.729

50.40
211.5
0.9830
36.901
36.729

Master solutions
No. of trays
Feed tray
LB
UB/LB0/0

h;

wrki (yrki yri );

i1

k
Kfeas ;
(22)

14
9
32.989
No

15
8
34.502
No

16
8
36.349
No

15
7
36.879
Yes: STOP

Mohideen et al. (1997) and Schweiger and Floudas

(1997), is the far simpler form of the master problem.
This can be seen very clearly for this example. Using
Algorithm I, the k th master problem for this example
has the form:

min

35
X

where the pure binary constraints have not been

included for clarity of presentation; wfi are the Lagrange
k
multipliers for the constraints yfi yf i  0; i 
1; . . . ; 35; that are added when applying Step 3 of
Algorithm I; and wri are the Lagrange multipliers for
the constraints yri yrki 0; i 1; . . . ; 35: These multipliers are all directly reported by the optimizer used for
solving the primal problems.
In sharp contrast, the master problem if Algorithm I
is not used is:
min

yfi(1;...;35) ;yri(1;...;35)

h;

p
h E7756Vmean
1891:125996:3(Dkcol )2



35
X
1494:45Dcol 60:76
i yri
i1

61:25

35
X

i yri [0:71:5(Dkcol )2 ]

i1

35 
1440 X
0

i1

nk1;i

X
35


dxk
yri? m i Lki1 xki1 Lki xki
dt
i?i

V k (yki1 yki )Fi zf Rki xkN1 ]gdt

yf i(1;...;35) ;yri(1;...;35)

35
1440 X
0

[nk2;i (Fi Fyfi )]dt;

i1

Fig. 3. Distillate composition profile for the optimal solution of Example 2.

V. Bansal et al. / Computers and Chemical Engineering 27 (2003) 647
/668

663

Fig. 4. Bottoms composition profile for the optimal solution of Example 2.

35
1440 X

[nk3;i (Rki Rk yri )]dt;

13. Concluding remarks

k
Kfeas ;

(23)

i1

where n1,i , n2,i and n3,i are the time-dependent dual

(adjoint) multipliers for the DAEs that contain the
binary variables, the values of which can only be
obtained by solving a complex, intermediate problem.
It is clear that Eq. (23) is much more complicated than
Eq. (22), since it involves integral terms and the storage
of a large number of primal solution values (e.g. the
values of dxki =dt; Lki1, xki1, yki1 etc.).

This article has presented a new algorithm for solving

MIDO problems that is based on generalised Benders
decomposition principles with the use of a reformulation
strategy. This algorithm has many advantages over
current approaches, namely that (i) it is independent
of the type of method used to solve the dynamic
optimization primal problems; (ii) no intermediate
adjoint problem needs to be solved in order to construct
the master problems, even when the binary variables
appear explicitly and non-linearly in the DAEs; and (iii)
the master problems are significantly simpler. The
algorithm can also be easily extended to handle the
case of time-dependent binary variables, as shown in the
article.

Fig. 5. Minimum column diameter profile for the optimal solution of Example 2.

664

V. Bansal et al. / Computers and Chemical Engineering 27 (2003) 647
/668

With the reformulation strategy used in Algorithm I,

the article has also demonstrated how an algorithm can
be developed that uses OA/ER principles to construct
the master problems. This algorithm has similar properties to Algorithm I and thus, in contrast to current OAbased, MIDO algorithms, it is applicable to models
where the binary variables appear explicitly in the
DAEs.
The algorithms presented in this article are well-suited
for the practical solution of large engineering problems
using available tools. This offers the potential for much
progress to be made in the solution of more realistic
problems in areas such as simultaneous design and
control under uncertainty (Bansal, Pistikopoulos &
Perkins, 2002; Bansal, Ross, Pistikopoulos & Perkins,
2002).

Note that in Eq. (24), all of the Jacobian matrices

appear in transposed form. Thus, (@ J/ @y) is a (1 /ny)
vector, (@ hd/ @y) is a (nxd /ny) matrix, and so on, where
ny and nxd are the numbers of binary and differential
variables, respectively.
Substituting the expression for vk given by Eq. (24)
into Eq. (11) then gives:
k
k
k

x d (tf ); x kd (tf ); x ka (tf ); u k (tf ); d ; yk ; tf )

Lk (u k ; d ; y)J(

 
@J


@y yk

j g
j

@y

T
jkd;0

The authors gratefully acknowledge financial support

from the EPSRC, the Centre for Process Systems
Engineering Industrial Consortium, DETR/ETSU and
Process Systems Enterprise Ltd. V. Bansal would also
like to thank ICI (Ph.D. Scholarship) and the Society of
the Chemical Industry (SCI Messel Scholarship).

Appendix A: Proof that master problems Eq. (12) and Eq.

(7) are equivalent
In order to show that master problems Eq. (12) and
Eq. (7) are equivalent, equivalence needs to be established between the Lagrange functions Lk in Eq. (11)
and Lk in Eq. (6). This can be achieved as follows.
Firstly, consider the optimality conditions that must be
satisfied by the continuous variables y in Eq. (9). These
are determined by finding a stationary point for the
Lagrange function Lk in Eq. (10), i.e.:
 T


tf 
tf 
@J
@hd T
@ha T
k
0

nd dt
nka dt
@y
@y
@y
t
t
k
k
k
0
0
y
y
y

j g

 T
@hd

@y
 T
@hd

@y

j
j

jkd;f 

 T
@ha

tf ;yk

jkd;0 
t0

;yk

@hd
@y

T
jka;f

@y

T
jka;0

t0 ;yk

dt

yk

@ha

T

jka;0 
t0

;yk

tf

T
nka

t0

 
@ha
dt
@y yk

 
@ha

tf ;yk

@hd

@y

tf ;yk

 
@ha

@y

kT

k

 
@h0

t0 ;yk

@y

yk

 
 
@hp
@gp
T
lkp
@y yk
@y yk

 
  
@hq
@gq
T
T
k
mkq
lkq
):
(yy

@y yk
@y yk

(25)

Now consider the original Lagrange function Lk , Eq.

(6), used in the master problems of the algorithms of
Mohideen et al. (1997) and Schweiger and Floudas
(1997). For a system that is linear in y (as those
algorithms require), the objective function term in Eq.
(6) can be decomposed as:
k
k
J(x d (tf ); x kd (tf ); x ka (tf ); u k (tf ); d ; y; tf )
k

J1 (x d (tf ); x kd (tf ); x ka (tf ); u k (tf ); d ; tf )

k

J2 (x d (tf ); x kd (tf ); x ka (tf ); u k (tf ); d ; tf )y:

(26)

Similarly, the objective function evaluated at y/yk is:

k
k
J(x d (tf ); x kd (tf ); x ka (tf ); u k (tf ); d ; yk ; tf )
k

J1 (x d (tf ); x kd (tf ); x ka (tf ); u k (tf ); d ; tf )

k

(27)

Eliminating J1 from Eq. (26) and Eq. (27) gives:

tf ;yk

J2 (x d (tf ); x kd (tf ); x ka (tf ); u k (tf ); d ; tf )yk :

jka;f
 T
@h0
@y

 T
 T
 T
@hp
@gp
@hq
k
k

mp 
lp 
@y
@y
@y
yk
yk
 T
@gq

lkq Ivk :
@y
yk

T
nkd

@y

@y

mkp

t0

 
@hd

T
jkd;f

Acknowledgements

tf

kk

k
k
J(x d (tf ); x kd (tf ); x ka (tf ); u k (tf ); d ; y; tf )
k

J(x d (tf ); x kd (tf ); x ka (tf ); u k (tf ); d ; yk ; tf )

yk

J2 (x d (tf ); x kd (tf ); x ka (tf ); u k (tf ); d ; tf )(yyk ):

mkq

(28)

Now, J2 is simply equal to (@J/@y) and so Eq. (28) can

be written as:

yk

(24)

k
k
J(x d (tf ); x kd (tf ); x kd (tf ); u k (tf ); d ; y; tf )

V. Bansal et al. / Computers and Chemical Engineering 27 (2003) 647
/668

k
k
 J(x d (tf ); x kd (tf ); x ka (tf ); u k (tf ); d ; yk ; tf )

 
@J
@y

665

Appendix B: Demonstrating the equivalence of GBD and

OA for Example 1

yk

(yy ):

(29)

In an analogous manner to that above, the terms

within the Lagrange function Eq. (6) that relate to the
equality constraints can be written as:


@h

h
(. . . ; y . . .) h
(. . . ; yk . . .)
(yyk );
@y yk
(30)

d; a; 0; p; q;

In Step 3 of Algorithm I/II, a dynamic optimization

problem is solved. During the course of this, the
optimizer sees a NLP formed from the elimination of
the differential and algebraic variables during an
integration phase. For Example 1, this NLP takes the
form:
min

V ;R;yfi(i1;...;30)

with the added simplification that h
(. . .,yk . . .) /0 at

the primal solution, i.e.


@h

h
(. . . ; y . . .)
(yyk );
@y yk
(31)

ISE(V ; R; yf);

s:t: g1 (V ; R; yf)0 0;
g2 (V ; R; yf)00;

d; a; 0; p; q:

Similarly, the terms in Eq. (6) that pertain to the

inequality constraints become:
T
lk
g
(. . . ; y . . .)
T

lk
g
(. . . ; yk . . .)lk

@g

@y

(32)

(yyk );
yk

yf yf  0;

(35)

where yf is a vector consisting of thirty elements yfi , i /

1,. . ., 30, and the solution of Eq. (35) is denoted by
k
k and yf
V ; R
k : When applying Algorithm I, the k th
master problem Eq. (16) for this example is:
min h;

p; q;

yf ;h
T
lk
/g
(. . .,yk . . .)/0

due to
with the simplification that
the complementarity optimality conditions of the primal
problem. Hence:


@g

T
T
lk
g
(. . . ; y . . .) lk

(yyk );
(33)
@y yk

p; q:

L (u ; d
k

k
k
; y)J(x d (tf ); x kd (tf ); x ka (tf ); u k (tf ); d ; yk ; tf )

 
@J


@y yk

j g
j

jkd;0

T
mkp

nkd

 
@hd

@y

t0

dt
yk

tf

nka

 
@ha
@y

t0

@hd

@y

t0 ;yk

 
@hp

@y

T
lkp

yk

 
@ha

@y

@gp

@y

kk

lk1

@g1

j
j

lk2

@g2

j
j

@(ISE)
@g
@g
lk1 1 lk2 2 0;
@R k
@R k
@R k

(38)

@(yf)

lk1

@V

@g1

@(yf) k

@V

lk2

@g2

@(yf) k

vk 0:

@(ISE) @g2

@(ISE)
@V
@(yf)
k
v 

jk :
@g
@(yf) k
2
@V

yk

(39)

(40)

yk

 
  
@hq
@gq
T
T
mkq
lkq
(yyk );
@y yk
@y yk

@y

j
j
j

Now assume that at the solution of the primal

problem Eq. (35), inequality constraint g1 0/0 is inactive
but g2 0/0 is active. In this case, lk1 /0; eliminating lk2
from Eq. (37) and Eq. (39) then gives:

 
@h0

t0 ;yk

(36)

(37)

yk

jka;0

0;

@V

@(ISE)
dt

 
 
@hd
@ha
T
jka;f
@y tf ;yk
@y tf ;yk

T
jkd;f

tf

where the Lagrange multipliers vk satisfy the Karush
/

Kuhn
/Tucker (KKT) optimality conditions of Eq. (35):
@(ISE)

Substituting Eqs. (29) and (31) and Eq. (33) in Eq. (6)
gives:
k

; yf
k )vk (yf
k yf);
s:t: h EISE(V ; R

which is identical to Eq. (25) as required.

(34)

Substituting Eq. (40) in Eq. (36) thus gives the

following master problem for Algorithm I:
min h;
yf;h

666

V. Bansal et al. / Computers and Chemical Engineering 27 (2003) 647
/668

k
k ; yf
s:t: hE ISE(V ; R
k)

min h;
yf

@(ISE)
(yf  yf
k)

@(yf) k

(41)

@(ISE)
@(yf)
@(ISE)

When applying the OA-based, Algorithm II, the k th

master problem Eq. (21) for this example is:

@V

k
k ; yf
s:t: hE ISE(V ; R
k)

@(ISE)

(yf  yf
k );
@(yf) k
k

@g2
@R

j
j


k

):
(R R

(44)

(45)

min
h;
k
yf ;h

(V  V )
k

)
(R R
k

@g2

@(yf) k

(yf  yf
);

(42)

k
(V  V )

@g2
@(yf)

(yf  yf
k) 
k

@g2
@V

@g2
@R

; yf
k)
s:t: h EISE(V ; R

Now consider the case where, at the solution of the

master problem above, the linearised constraint associated with g2 is active but the constraint associated with
g1 remains inactive. In this case, the latter constraint can
be ignored, while the equality of the former constraint
implies that:

k)
jk (yf  yf

Thus, the master problem for Algorithm II becomes:

0 yf yf:

@(yf)

@V

k
k ; yf
0E g2 (V ; R
k)

@V

@g2

j
j

@g
@g
k ) 1 (yf  yf
 1 (R R
k );
@R k
@(yf) k

@(ISE) @g2

@(ISE)
@V
@R

jk 0:
@g2
@R k

@g1
k
(V  V )
@V k

@g2

However, the KKT optimality conditions Eq. (37)

and Eq. (38) with lk1 /0 imply that:

; yf
0E g1 (V ; R
k)


(yf  yf
k)

@(ISE) @g2

@(ISE)
@V
@R


jk
@g2
@R k
@V

@(ISE)
@(ISE)
k
k)
(V  V )
(R R
@V k
@R k

@g2
@V

min h;
yf;V ;R;yf

; yf
s:t: h EISE(V ; R
k)

@(ISE) @g2

@V
@(yf)

k ):
jk (yf  yf
@g2
@V

k)
(R  R
:

(43)

Utilising Eq. (43) in Eq. (42) thus gives the following

master problem for Algorithm II:

@(ISE)
(yf  yf
k)
@(yf) k

@(ISE) @g2

@V
@(yf)

k );
jk (yf  yf
@g2

(46)

@V
which is identical to the master problem for Algorithm I,
Eq. (41). Hence, if g2 is active at the primal solution and
is still the only active inequality constraint at the
solution of the master problem, Algorithm II will give
an identical solution to the master problem of Algorithm I. However, if any inequalities become active at
the master solution that were inactive at the primal
solution, then the master problem of Algorithm II will
give a tighter lower bound than that of Algorithm I.
This behaviour is indeed observed for Example 1, as
shown in Table 4.

V. Bansal et al. / Computers and Chemical Engineering 27 (2003) 647
/668

Table 4
Comparison of the performance of the master problems of algorithms
I and II for example 1
Iteration number

Feed tray
Algorithm I
Algorithm II

26
26

24
24

25
26

23
23

Lower bound, LB
Algorithm I
Algorithm II

0.1576
0.1576

0.1813
0.1813

0.1815
0.1815

0.1848
0.2093

g11
g11
Yes

g21
g21
Yes

g21
g21
Yes

g31
g11, g21
No

Active Inequalities, gkj

Algorithm I
Algorithm II
LB from Algorithm I
/LB from Algorithm II?

References
Abel, O., & Marquardt, W. (2000). Scenario-integrated modeling and
optimization of dynamic systems. American Institute of Chemical
Engineering Journal 46 (4), 803
/823.
Allgor, R. J., & Barton, P. I. (1999). Mixed-integer dynamic
optimization I: problem formulation. Computers and Chemical
Engineering 23 (4
/5), 567
/584.
Androulakis, I. P. (2000). Kinetic mechanism reduction based on an
integer programming approach. American Institute of Chemical
Engineering Journal 46 (2), 361
/371.
Avraam, M. P., Shah, N., & Pantelides, C. C. (1998). Modelling and
optimisation of general hybrid systems in the continuous time
domain. Computers and Chemical Engineering 22 (SS), S221
/S228.
Avraam, M. P., Shah, N., & Pantelides, C. C. (1999). A decomposition
algorithm for the optimisation of hybrid dynamic processes.
Computers and Chemical Engineering 23 (SS), S451
/S454.
Bagajewicz, M. J., & Manousiouthakis, V. (1991). On the generalized
Benders decomposition. Computers and Chemical Engineering 15
(10), 691
/700.
Balakrishna, S., & Biegler, L. T. (1993). A unified approach for the
simultaneous synthesis of reaction, energy, and separation systems.
Industrial Engineering and Chemical Research 32 (7), 1372
/1382.
Bansal, V. (2000). Analysis, design and control optimization of process
systems under uncertainty . PhD thesis. Imperial College, University
of London.
Bansal, V., Pistikopoulos, E. N., & Perkins, J. D. (2002). A case study
in simultaneous design and control using rigorous, mixed-integer
dynamic optimization models. Industrial Engineering and Chemical
Research 41 (4), 760
/778.
Bansal, V., Ross, R., Perkins, J. D., & Pistikopoulos, E. N. (2000). The
interactions of design and control: double-effect distillation.
Journal of Process Control 10 (2
/3), 219
/227.
Bansal, V., Ross, R., Pistikopoulos, E. N., & Perkins, J. D. (2002). An
industrial case study in simultaneous design and control using
mixed-integer dynamic optimization. In: ESCAPE-12 Proceedings.
Computer-Aided Chemical Engineering, Vol. 10 . Elsevier.
Barton, P. I., Allgor, R. J., Feehery, W. F., & Galan, S. (1998).
Dynamic optimization in a discontinuous world. Industrial Engineering and Chemical Research 37 (3), 966
/981.
Biegler, L. T., & Sentoni, G. B. (2000). Efficient formulation and
solution of nonlinear model predictive control problem. Latin
American Applied Research 30 (4), 315
/324.
Bloss, K. F., Biegler, L. T., & Schiesser, W. E. (1999). Dynamic
process optimization through adjoint formulations and constraint

667

aggregation. Industrial Engineering and Chemical Research 38 (2),

421
/432.
Brooke, A., Kendrick, D., & Meeraus, A. (1992). GAMS Release 2.25:
a users guide . San Francisco: The Scientific Press.
Bryson, A. E., & Ho, Y. (1975). Applied optimal control . New York:
Taylor & Francis.
Cervantes, A., & Biegler, L. T. (1998). Large-scale DAE optimization
using a simultaneous NLP formulation. American Institute of
Chemical Engineering Journal 44 (5), 1038
/1050.
Cervantes, A., Tonelli, S., Brandolin, A., Bandoni, A., & Biegler, L. T.
(2000). Large-scale dynamic optimization of a low density polyethylene plant. Computers and Chemical Engineering 24 (2
/7),
983
/989.
Charalambides, M. S., Shah, N., & Pantelides, C. C. (1995). Synthesis
of batch reaction/distillation process using detailed dynamic
models. Computers and Chemical Engineering 19 (SS), S167
/S174.
Dimitriadis, V. D., & Pistikopoulos, E. N. (1995). Flexibility analysis
of dynamic systems. Industrial Engineering and Chemical Research
34 (12), 4451
/4462.
Duran, M. A. (1984). A mixed-integer nonlinear programming approach
for the systematic synthesis of engineering systems . PhD thesis.
Carnegie-Mellon University.
Duran, M. A., & Grossmann, I. E. (1986). An outer-approximation
algorithm for a class of mixed-integer nonlinear programs.
Mathematical Progress 36 (3), 307
/339.
Fletcher, R., & Leyffer, S. (1994). Solving mixed integer nonlinear
programs by outer approximation. Mathematical Progress 66 ,
327
/349.
Floudas, C. A. (1995). Nonlinear and mixed-integer optimization . New
York: Oxford University Press.
Floudas, C. A., & Visweswaran, V. (1990). A global optimization
algorithm (GOP) for certain classes of nonconvex NLPs-I. Theory
of Computers and Chemical Engineering 14 (12), 1397
/1417.
Furlonge, H. I., Pantelides, C. C., & Sorensen, E. (1999). Optimal
operation of multivessel batch distillation columns. American
Institute of Chemical Engineering Journal 45 (4), 781
/801.
Geoffrion, A. M. (1972). Generalized benders decomposition. Journal
of Optimization Theory and Application 10 (4), 237
/260.
Georgiadis, M. C., Rotstein, G. E., & Macchietto, S. M. (1998).
Optimal design and operation of heat exchangers under milk
fouling. American Institute of Chemical Engineering Journal 44 (9),
2099
/2111.
Huang, Y. J., Reklaitis, G. V., & Venkatasubramanian, V. (2000).
Dynamic optimization based fault accommodation. Computers and
Chemical Engineering 24 (2
/7), 439
/444.
Ishikawa, T., Natori, Y., Liberis, L., & Pantelides, C. C. (1997).
Modeling and optimisation of an industrial batch process for the
production of dioctyl phthalate. Computers and Chemical Engineering 21 (SS), S1239
/S1244.
Lovik, I., Hillestad, M., & Hertzberg, T. (1998). Long term dynamic
optimization of a catalytic reactor system. Computers and Chemical
Engineering 22 (SS), S707
/S710.
Mcauley, K. B., & Macgregor, J. F. (1992). Optimal grade transitions
in a gas-phase polyethylene reactor. American Institute of Chemical
Engineering Journal 38 (10), 1564
/1576.
Mohideen, M. J., Perkins, J. D., & Pistikopoulos, E. N. (1996).
Optimal design of dynamic systems under uncertainty. American
Institute of Chemical Engineering Journal 42 (8), 2251
/2272.
Mohideen, M. J., Perkins, J. D., & Pistikopoulos, E. N. (1997).
Towards an efficient numerical procedure for mixed integer
optimal control. Computers and Chemical Engineering 21 (SS),
S457
/S462.
Narraway, L. T. (1992). Selection of Process Control Structure Based
on Economics . PhD thesis. Imperial College, University of London.
Nath, R., & Alzein, Z. (2000). On-line dynamic optimization of olefins
plants. Computers and Chemical Engineering 24 (2
/7), 533
/538.

668

V. Bansal et al. / Computers and Chemical Engineering 27 (2003) 647
/668

Pantelides, C.C. (1996). Process Modelling in the 1990s. In: Fifth world
congress of chemical engineering . San Diego, California.
Process Systems Enterprise Ltd. (2000). gPROMS advanced users
guide. Available from: http://www.psenterprise.com.
Pytlak, R. (1998). Runge
/Kutta based procedure for optimal control
of differential
/algebraic equations. Journal of Optimization Theory
and Application 97 (3), 675
/705.
Rosen, O., & Luus, R. (1991). Evaluation of gradients for piecewise
constant optimal control. Computers and Chemical Engineering 15
(4), 273
/281.
Ross, R., Bansal, V., Perkins, J. D., Pistikopoulos, E. N., Koot, G. L.
M., & van Schijndel, J. M. G. (1999). Optimal design and control
of an industrial distillation system. Computers and Chemical
Engineering 23 (SS), S875
/S878.
Ross, R., Perkins, J. D., & Pistikopoulos, E. N. (1998). A mixedinteger dynamic optimization approach to simultaneous design and
control. Paper 220e, AIChE annual meeting . Miami Beach, Florida.
Sahinidis, N. V., & Grossmann, I. E. (1991). Convergence properties
of generalized Benders decomposition. Computers and Chemical
Engineering 15 (7), 481
/491.
Samsatli, N. J., Papageorgiou, L. G., & Shah, N. (1998). Robustness
metrics for dynamic optimization models under parameter uncertainty. American Institute of Chemical Engineering Journal 44
(9), 1993
/2006.
Schweiger, C. A., & Floudas, C. A. (1997). Interaction of design and
control: optimization with dynamic models. In W. W. Hager & P.
M. Paraldos (Eds.), Optimal control: theory, algorithms and
applications (pp. 388
/435). Kluwer Academic Publishers BV.

Schweiger, C. A., Rojnuckarin, A., & Floudas, C.A. (1997). MINOPT:

users guide . Princeton University. Software Version 2.0.
Sharif, M., Shah, N., & Pantelides, C. C. (1998). On the design of
multicomponent batch distillation columns. Computers and Chemical Engineering 22 (SS), S69
/S76.
Sullivan, G. R., & Sargent, R. W. H. (1979). Development of feed
changeover policies for refinery distillation units. Industrial Engineering and Chemical Process Design and Development 18 , 113
/
124.
Vassiliadis, V. (1993). Computational solution of dynamic optimization
problems with general differential-algebraic constraints . PhD thesis.
Imperial College, University of London.
Vassiliadis, V. S., Sargent, R. W. H., & Pantelides, C. C. (1994a).
Solution of a class of multistage dynamic optimization problems.
Part I-problems with path constraints. Industrial Engineering and
Chemical Research 33 (9), 2111
/2122.
Vassiliadis, V. S., Sargent, R. W. H., & Pantelides, C. C. (1994b).
Solution of a class of multistage dynamic optimization problems.
Part II-problems with path constraints. Industrial Engineering and
Chemical Research 33 (9), 2123
/2133.
Viswanathan, J., & Grossmann, I. E. (1990). A combined penalty
function and outer-approximation method for MINLP optimization. Computers and Chemical Engineering 14 (7), 769
/780.
Viswanathan, S., Shah, N., & Venkatasubramanian, V. (2000). A
hybrid strategy for batch process hazards analysis. Computers and
Chemical Engineering 24 (2
/7), 545
/549.
White, V., Perkins, J. D., & Espie, D. M. (1996). Swithchability
analysis. Computers and Chemical Engineering 20 (4), 469
/474.