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with Global Optimization

Jie Li, Ruth Misener and Christodoulos A. Floudas

Dept. of Chemical and Biological Engineering, Princeton University, Princeton, NJ 08544

DOI 10.1002/aic.12772

Published online October 28, 2011 in Wiley Online Library (wileyonlinelibrary.com).

Scheduling of crude oil operations is an important component of overall refinery operations, because crude oil costs

account for about 80% of the refinery turnover. The mathematical modeling of blending different crudes in storage tanks

results in many bilinear terms, which transform the problem into a challenging, nonconvex, mixed-integer nonlinear

programming (MINLP) optimization model. In practice, uncertainties are unavoidable and include demand fluctuations,

ship arrival delays, equipment malfunction, and tank unavailability. In the presence of these uncertainties, an optimal

schedule generated using nominal parameter values may often be suboptimal or even become infeasible. In this article, the

robust optimization framework proposed by Lin et al. and Janak et al. is extended to develop a deterministic robust

counterpart optimization model for demand uncertainty. The recently proposed branch and bound global optimization

algorithm with piecewise-linear underestimation of bilinear terms by Li et al. is also extended to solve the nonconvex

MINLP deterministic robust counterpart optimization model and generate robust schedules. Two examples are used to

illustrate the capability of the proposed robust optimization approach, and the extended branch and bound global

optimization algorithm for demand uncertainty. The computational results demonstrate that the obtained schedules are

robust in the presence of demand uncertainty. V

C 2011 American Institute of Chemical Engineers AIChE J, 58: 2373–2396,

2012

Keywords: reﬁnery, crude oil scheduling, mixed-integer nonlinear programming, nonconvex, global optimality, robust

optimization

In recent years, reﬁneries have to exploit all potential and managing crude inventories. The presence of crude

cost-saving alternatives because of their intense competition blending gives rise to bilinear terms in the mathematical for-

arising from ﬂuctuating product demands, ever-changing mulation for scheduling, while discrete scheduling decisions

crude prices, and strict environmental regulations. Schedul- such as selecting a tank to unload or feed and the often com-

ing of crude oil operations is a critical component of the plex nonlinear nature of crude properties and qualities make

overall reﬁnery operations,1–3 because crude oil costs can such a model challenging, nonlinear, nonconvex mixed-inte-

account for about 80% of the reﬁnery turnover.4 Most reﬁn- ger nonlinear problem (MINLP).

eries blend premium crudes with low-quality crudes over The crude oil scheduling problem has received consider-

time to exploit the higher proﬁt margins of low-quality able attention with researchers developing different models

crudes. However, the low-cost crudes can lead to processing based on discrete- and continuous-time representations.3 Li

problems in crude distillation units (or CDUs) and down- et al.3 recently developed a novel unit-speciﬁc event-based

stream units, because they usually contain some less-than-de- continuous-time5–21 MINLP formulation for this problem.

sirable properties with high composition. Therefore, a key They incorporated many realistic operational features such

issue is to exploit blends of low-cost crudes and premium as single buoy mooring (SBM), multiple jetties, multiparcel

crudes to maximize proﬁt margins and minimize the opera- vessels, single-parcel vessels, crude blending, brine settling,

tional problems at the same time. Optimal scheduling of crude segregation, and multiple tanks feeding one CDU at

crude oil operations using advanced mathematical optimiza- one time and vice versa. In addition, 15 important volume-

tion techniques such as mixed-integer linear programming based or weight-based crude property indices were consid-

(MILP) can increase proﬁt margins using cheaper crudes, ered. To address this nonconvex MINLP problem, they

exploited recent advances in piecewise-linear underestima-

Additional Supporting Information may be found in the online version of this

article. tion of bilinear terms22–32 within a branch and bound algo-

Correspondence concerning this article should be addressed to C. A. Floudas at rithm for global optimization. The proposed model signiﬁ-

ﬂoudas@titan.princeton.edu.

cantly reduced the number of bilinear terms and problem

V

C 2011 American Institute of Chemical Engineers size compared to the discrete-time formulation of Reddy

et al.33 and Li et al.34 The computational results showed that separately. In their model, uncertain product demands were

the proposed branch and bound global optimization algo- represented by chance-constrained programming and fuzzy

rithm with piecewise-linear underestimation22–32 of the bilin- programming, and ship arrival delay was represented by a

ear terms was effective to address all tested examples and scenario approach. Although their model can cope with a

resulted in better integer feasible solutions. More impor- wide variety of uncertainties, the generated schedule from

tantly, these integer feasible solutions were guaranteed to be their model also results in composition discrepancy.

within 2% of global optimality. The above approaches cannot ensure the generated solu-

All of the aforementioned models assume that the parame- tion to be feasible for the nominal parameters. To overcome

ters used in the models are deterministic in nature. However, this disadvantage, Ben-Tal, Nemirovski, and coworkers42–45

frequent uncertainties in practice are unavoidable such as developed the robust optimization framework to handle

demand ﬂuctuations, ship arrival delays, crude quality speci- uncertain parameters within linear and quadratic program-

ming problems. A similar robust optimization framework

ﬁcation variations, uncertainty on crude proﬁt margin, de-

was also independently proposed by Ghaoui and co-

murrage cost, inventory cost, changeover cost and safety

workers.46,47 In their framework, various forms of parameter

stock penalty, and equipment malfunction, and tank unavail- uncertainties are explicitly addressed and the robust solution

ability. In the presence of these uncertainties, an optimal is guaranteed to be feasible for the nominal parameters. Lin

crude schedule obtained using nominal parameter values et al.,48 Janak et al.,49 Verderame and Floudas,50–52 and Li

may often be suboptimal or even become infeasible. Differ- et al.53 extended and developed the theory of the robust opti-

ent methodologies can be used to address this problem. In mization framework for general MILP problems with

general, there are two approaches to address uncertainties: bounded, bounded and symmetric, and several known proba-

reactive scheduling and preventive scheduling.35 Reactive bility distributions. Also, Bertsimas and coworkers54–56

scheduling is a process to revise the generated schedule from extended and applied a robust optimization framework for

nominal parameters when a disruption has occurred during linear and discrete programming. Recently, the robust opti-

the actual execution of the schedule. Equipment malfunction mization framework has been successfully extended and

and tank unavailability are events which are best modeled applied to addressing demand due date and demand amount

after realization by means of reactive scheduling techniques. uncertainty50 in the problem of operational planning of

Because of the ‘‘on-line’’ nature of reactive scheduling, an large-scale industrial bath plants,57 demand and processing

time uncertainty51 in the problem of integration of opera-

updated schedule from the nominal schedule must be gener-

tional planning and medium-term scheduling for large-scale

ated in a timely manner and hence heuristic approaches are

industrial batch plants,57 and demand and transportation

often utilized.36,37 Preventive scheduling seeks to accommo- uncertainty52 in multisite planning problem.56 In addition,

date future uncertainty at the scheduling stage. The uncer- they applied an alternative framework based on conditional

tainty related to demand, ship arrival time, crude speciﬁca- value-at-risk theory to address demand due date and demand

tion, crude proﬁt margin, demurrage cost, inventory cost, amount uncertainty58 in the operational planning of batch

changeover cost, and safety stock penalty can be explicitly processes,44 and demand and transportation uncertainty in

taken into account through preventive approaches such as the operational planning of multisite batch plants.59

two-stage stochastic programming, parametric programming, To the best of our knowledge, the robust optimization frame-

fuzzy programming, chance constraint programming, robust work has not yet been extended and applied for crude oil sched-

optimization techniques, and risk mitigation techniques.35 uling operations under uncertainty. In this article, we address

Among these approaches, uncertain parameters are often rep- the crude oil scheduling problem described by Li et al.3 for a

resented by scenarios or nonscenarios. For detailed reviews typical marine-access reﬁnery under demand uncertainty. The

on planning and scheduling under uncertainty, the reader is unit-speciﬁc event-based continuous-time formulation devel-

directed to Li and Ierapetritou,38 and Verderame et al.35 oped by Li et al.3 is used as the basis. The theory of robust opti-

Robust optimization focuses on developing preventive mod- mization framework is used to develop the robust counterpart

els to minimize the effects of uncertainties on the perform- optimization model where a new approach is proposed to con-

ance measure such as proﬁt and operating cost. Its main vert demand equality constraints to inequalities. Then, the

objective is to ensure that the generated solutions are robust, branch and bound global optimization algorithm from Li et al.3

while maintaining a high level of solution quality. Li et al.39 is extended to solve the proposed deterministic robust counter-

developed scenario-based models for demand and ship arrival part optimization model and generate robust schedules. The

uncertainties separately and obtained more robust schedules computational results show that the schedule obtained from the

compared to the nominal schedules. However, the number of proposed deterministic robust counterpart is robust in the pres-

scenarios exponentially increases with the number of uncer- ence of demand uncertainty.

tain parameters and hence makes their model intractable for

practical problems with large number of uncertain parameters. Problem Statement

Cao et al.40 proposed an optimization model based on chance- Consider Figure 1, which shows a schematic of crude oil

constrained programming to generate robust schedules under unloading, storage and processing in a typical marine-access

demand uncertainty during scheduling of crude oil operations. reﬁnery. It involves offshore facilities for crude unloading

Their approaches avoided the drawback of enumerating sce- such as a SBM station, onshore facilities for crude unloading

narios. However, their approach cannot be used to deal with such as B jetties, I (i ¼ 1, 2, 3,…,I) crude storage tanks, and

uncertain parameters following a discrete probability distribu- U (u ¼ 1, 2, 3,…,U) CDUs. The pipeline connecting the

tion.41 More importantly, their approach results in composi- SBM station with crude tanks is called the SBM line, and it

tion discrepancy. Recently, Wang and Rong41 developed a normally has a substantial holdup. In this study, we assume

two-stage robust optimization model for crude oil scheduling that the reﬁnery has no separate charging tanks, and hence

problem to address demand and ship arrival uncertainty crude storage tanks also act as charging tanks. Very large

2374 DOI 10.1002/aic Published on behalf of the AIChE August 2012 Vol. 58, No. 8 AIChE Journal

2. All jetties are identical.

3. Holdup of the jetty pipeline is negligible.

4. Crude mixing is perfect in each storage tank.

5. Crude changeover times are negligible.

6. During operation, CDUs never shut down.

The objective is to maximize the gross proﬁt, which is the

revenue computed in terms of crude margins minus the oper-

ating costs such as demurrage and safety stock penalties.

During the above crude oil scheduling operations, frequent

uncertainties are unavoidable such as demand ﬂuctuations

and ship arrival delays. The most common uncertainty arises

from: (1) demand, (2) ship arrival, (3) crude quality speciﬁ-

cations, and (4) some economic coefﬁcients. These uncertain

parameters can be described using discrete or continuous dis-

tributions. In some cases, only limited knowledge about the

distribution is available, for example, the uncertainty is

bounded, or the uncertainty is symmetrically distributed in a

Figure 1. Schematic of crude oil unloading, blending,

certain range. In the best situation, the distribution function

and processing.

for the uncertain parameter is given, for instance, as a nor-

[Color ﬁgure can be viewed in the online issue, which is

mal distribution with known mean and standard deviation. In

available at wileyonlinelibrary.com.]

this article, we focus on demand uncertainty which is consid-

ered as: (a) bounded, (b) symmetrical and bounded, (c) fol-

crude carriers (VLCCs) carrying multiparcels can dock at lowing a known distribution such as normal distribution, or

the SBM station and unload crudes into storage tanks. Sin- (d) following an unknown probability distribution. It should

gle-parcel vessels carrying single crude for each can berth at be noted that the random demand parameters considered in

jetties and unload crudes into storage tanks. Different types this article are assumed to be fully independent.

of crudes C (c ¼ 1, 2, 3,…,C) can be allowed to blend in

these crude storage tanks. After blending, they are fed into Deterministic Mathematical Formulation for

CDUs for processing. Scheduling of Crude Oil Operations and Branch

Given: and Bound Global Optimization Algorithm

1. V ships, their expected arrival times, their crude par- The model of Li et al.3 was developed based on unit-spe-

cels, and parcel sizes; ciﬁc event-based continuous-time representation,5–21 which

2. B Jetties, jetty-tank and SBM-tank connections, crude is different from other variants such as discrete-time,5,9 pro-

unloading transfer rates, and SBM pipeline holdup volume cess slots,2 and unit slots.60–62 The differences among those

and its resident crude; time representations are discussed by Floudas and Lin5,6 and

3. I storage tanks, their capacities, their initial crude vol- Li et al.63 In the model of Li et al.,3 they deﬁned jetties,

umes and compositions, and crude quality speciﬁcations or storage tanks (i), and CDUs (u) as units (m), and treated all

limits; identical jetties as one single resource. For each unit m, the

4. U CDUs, their processing rates, and crude quality scheduling horizon [0, H] is divided into N (n ¼ 1, 2,…,N)

speciﬁcations or limits; event points (Figure 2). They also deﬁned two binary varia-

5. Scheduling horizon H and product demands; bles to denote parcel-to-tank and tank-to-CDU connections,

6. Economic data: crude margins, demurrage, crude respectively.

changeover costs, and safety stock penalties.

8

Determine: <1 if parcel p is unloaded to

1. Unloading schedule for each ship including the tim- Xðp; i; nÞ ¼ tank i during event point n 8ðp; iÞ 2 SP;I

ings, rates, and tanks for all parcel transfers; :

0 otherwise

2. Inventory and crude concentration proﬁles of all stor-

age tanks;

3. Charging schedule for each CDU including the feed

tanks, feed rates, and timings.

Subject to the operating practices:

1. Only one VLCC can dock at the SBM station at a time.

2. The unloading sequence of VLCC parcels is known a

priori.

3. A parcel can unload to at most one storage tank at any

time, but may unload to multiple tanks over time.

4. Each tank needs 8 h to settle and remove brine after

each crude receipt.

5. A storage tank cannot receive and feed simultaneously.

6. Multiple tanks can feed a CDU simultaneously, and

vice versa.

Assumptions:

1. Only one crude resides in the SBM line at the end of

each parcel transfer. Crude ﬂow is plug ﬂow in the SBM. Figure 2. Event points deﬁnition for each unit.

AIChE Journal August 2012 Vol. 58, No. 8 Published on behalf of the AIChE DOI 10.1002/aic 2375

Table 1. Data for Example 1

Tanker Arrival Time Parcel No: (Crude, Parcel Size, kbbl)

VLCC-1 0 1: (C2, 10) 2: (C1, 300) 3: (C4, 300) 4: (C3, 340)

Initial Crude

Composition (kbbl) Crude Concentration Range in Tanks

Tank Initial Inventory (kbbl) Capacity (kbbl) Heel (kbbl) C1 or C3 C2 or C4 C1 or C3 Min-Max C2 or C4 Min-Max

T1 300 700 50 200 100 0–1 0–1

T2 300 700 50 100 200 0–1 0–1

T3 200 700 50 50 150 0–1 0–1

T4 300 700 50 130 170 0–1 0–1

T5 80 700 50 50 30 0–1 0–1

C1 C2 C3 C4 Key Comp.Range Range of Demand/8 h Demand

CDU Min–Max Min–Max Min–Max Min–Max Min–Max Min–Max (kbbl)

CDU1 0–1 0–1 0–0 0–0 0.0045–0.006 50–100 600

CDU2 0–0 0–0 0–1 0–1 0.014–0.0153 50–100 600

Parcel-Tank Tank-CDU Demurrage Changeover Safe Inventory Concentration of Margin

Min–Max Min–Max Cost (k$/8 h) Loss (k$/instance) Penalty ($/bbl/8 h) Crude Key Composition ($/bbl)

10–400 0–100 100 5 0.2 C1 0.005 3

Tanks 1, 4 store crude 1–2 (Class 1); 2–3, 5 store crude 3–4 (Class 2) C2 0.006 4.5

CDU 1 processes crudes 1–2; 2 processes crudes 3–4 C3 0.0165 5

The desire safety stock is 1200 kbbl C4 0.0145 6

<1 if tank i feeds CDU u

Yði; u; nÞ ¼ during event point n 8ði; uÞ 2 SI;U strategies can also be found in Li et al.3

:

0 otherwise Motivating example

Consider Example 1 involving one SBM pipeline, ﬁve

where, SP,I ¼ {(p, i)| parcel p that can be unloaded to tank i} storage tanks (T1–T5), and two CDUs (CDU101–CDU102).

and SI,U ¼ {(i, u)| tank i that can feed CDU u}. One VLCC carrying three crude parcels (300 kbbl C1, 300

The complete nonconvex MINLP model is presented in kbbl C4, and 350 kbbl C3, unloaded in that sequence)

Appendix A. For a detailed discussion of the model, the arrives at time zero. At time zero, the SBM pipeline is

reader is referred to Li et al.3 holding 10 kbbl C2 from the last parcel. The scheduling

horizon is about 72 h (i.e., 3 days). The nominal demands

Basic Components of Branch and Bound Global for both CDUs are 600 kbbl. Table 1 presents the complete

Optimization Algorithm data.

At each node in the branch and bound tree, a piecewise-lin- We solve this example with the model of Li et al.3 and

ear relaxation of the node is minimized, and the node is the proposed branch and bound global optimization algo-

branched to create two child nodes. After solving the piece- rithm using GAMS 22.6/CPLEX 11.0.0 on Dell OPTIPLEX

TM

wise-linear relaxation, a pool of feasible solutions (denoted as 960 of IntelVR Xeon CPU 3.0 GHz with 2 GB RAM run-

Pool-1) including the ﬁnal solve (which is the best or optimal ning Linux. The computational performance is given in

integer solution for the relaxation) is obtained. The lower Table 2. The best solution of $ 5631.707K was obtained

bound (LB) is updated with this ﬁnal solve, if the ﬁnal solve within 15.3 CPU seconds, and it is guaranteed to be within

is greater than the current LB. Each solution from the Pool-1

is used to ﬁx the current values of the binary variables, initial- Table 2. Model and Solution Statistics for Example 1

ize the continuous variables, and locally minimize the result-

Robust Solution Robust Solution

ing NLP. All generated feasible local optimal solutions from Nominal for Bounded for Normal

another pool denoted as Pool-2. If the smallest objective value Solution Uncertainty Distribution

in the Pool-2 is less than the current upper bound (UB), then Event points 3 3 3

UB is updated with this value. At each step, the nodes with GR 7 7 7

relaxations within a predetermined tolerance (denoted as e) of Binary variables 45 45 45

the current UB are eliminated. The algorithm terminates with Continuous variables 753 1007 1007

e-convergence. Comprehensive coverage of the branch and Constraints 1159 1825 1825

Bilinear terms 70 210 210

bound algorithms can be found in the textbooks of Flou- Obj (UB, K$) 5631.707 5614.974 5614.974

das.64,65 Appendix B presents an outline of the strategies that LB (K$) 5687.152 5671.139 5667.320

are used in the branch and bound global optimization algo- Gap (%) 0.97 0.99 0.92

rithm, which include piecewise-linear underestimators, branch- CPU time (s) 15.3 72.7 72.7

ing strategy, solution improvement strategy, optimality-based Y ¼ 0.05, e ¼ 0.01.

2376 DOI 10.1002/aic Published on behalf of the AIChE August 2012 Vol. 58, No. 8 AIChE Journal

Figure 3. Nominal schedule for Example 1.

1% of global optimality. The operational schedule (i.e., nom- inventory level of T3 at t ¼ 72 h reaches its minimum

inal schedule) is illustrated in Figure 3. Figures 4 and 5 capacity (50 kbbl) from Figure 4. Thus, T3 cannot feed

illustrate inventory proﬁles of tanks T1–T5 and feed rates to more crudes to CDU102. T2 can feed (12.56.25) 24

CDUs CDU101–102 from T1–T5. kbbl ¼ 150 kbbl additional crudes to CDU102. On the

Now let us consider an increase in the demands for both other hand, the inventory level of T2 at t ¼ 40.2 h is 150

CDUs from the nominal value of 600 kbbl to 705 kbbl. We kbbl, which indicates that T2 can feed maximum 100 kbbl

freeze the unloading schedule, tank-to-CDU connections, additional crudes to CDU102 during [16.2, 40.2] h. Hence,

start and end times of tank feeding CDU operations from the maximum demand of CDU102 can reach 700 kbbl. In

Figure 3 and solve the model again with the new demands a brief, we cannot simply increase the feed rates to

(i.e., 705 kbbs for both CDUs). However, we cannot gener- CDU102 from tanks T2, and T3 to meet its new demand

ate a feasible schedule. This reason is analyzed as follows. of 705 kbbl.

From Figure 3, T2 and T3 feed CDU102, and T5 does not. If we do not freeze the unloading schedule, tank to CDU

Although the feed rates to CDU102 do not reach its maxi- connections and those start and end times for tank feeding

mum feed rate (12.5 kbbl/s) at any time from Figure 5, the CDU operations from Figure 3, and the demands of

Figure 4. Inventory proﬁles of T1–T5 for Example 1 from the nominal schedule in Figure 3.

[Color ﬁgure can be viewed in the online issue, which is available at wileyonlinelibrary.com.]

AIChE Journal August 2012 Vol. 58, No. 8 Published on behalf of the AIChE DOI 10.1002/aic 2377

Min=Max cT x þ d T y

x;y

s:t: Ex þ Fy ¼ e

Ax þ By p (1)

x x x

y ¼ 0; 1

Assume that the left-hand-side coefﬁcients A and B and

the right-hand-side parameters p of the inequality constraints

are uncertain parameters. The true realization of an uncertain

parameter is represented by

a~ ¼ ð1 þ e nÞ a (2)

where a is an uncertain parameter with a~ being its true

realization, e represents a give (relative) uncertain level, and n

stands for a random variable.

In the robust optimization framework, a solution (x, y) is

called robust if (1) (x, y) is feasible for the nominal problem,

(2) whatever are the true values of the coefﬁcients and right-

hand-side parameters, (x, y) must satisfy the lth inequality

constraint with an error of at most d max[1, |pl|], where d is

Figure 5. Feed rates of T1–T5 to CDU101 and CDU102 a given infeasibility tolerance. Then, any inequality con-

for Example 1 from the nominal schedule in straint l in Eq. 1 becomes

Figure 3.

X X X

[Color ﬁgure can be viewed in the online issue, which is alm xm þ a~lm xm þ blk yk

available at wileyonlinelibrary.com.]

m62Ml m2Ml k62Kl

X

þ b~lk yk p~l þ d max½1; jpl j 8l ð3Þ

k2Kl

CDU101 and CDU102 increase to 705 kbbl, then another

where Ml and Kl are the subsets that encompass those

new schedule is generated, which is illustrated in Figure 6.

uncertain parameters for the given constraint l.

The new schedule in Figure 6 is much different from that in

Figure 3. The differences may confuse the reﬁners and dis- Bounded uncertainty

rupt plant operation. In practice, it is desirable to keep the Assume that the uncertain parameters vary in a bounded

plant operation as close as possible to the nominal schedule interval. They are represented by

(Figure 3). This example highlights the importance of gener-

ating reliable, efﬁcient, and robust schedules and hence moti- ja~lm alm j ejalm j

vates us to develop systematic and effective techniques that

b~lk blk ejblk j (4)

generate robust schedules which may accommodate demand

uncertainty. jp~l pl j ejpl j

Overview of the Robust Optimization Framework

The deterministic robust counterpart for Eq. 3 is derived

The robust optimization framework developed by Lin

as follows

et al.,48 Janak et al.,49 Verderame and Floudas,50–52 and Li

et al.53 is used to address the various forms of uncertainty in !

X X X X

this article. In the following, we present in brief the general alm xm þ blk yk þ e jalm jum þ jblk jyk

robust optimization approach, which explicitly takes into m k m2Ml k2Kl (5)

account the various forms of parameter uncertainty within

pl ejpl j þ d max½1; jpl j 8l

constraints and/or objective function.

Consider a generic deterministic MILP problem where um xm um.

2378 DOI 10.1002/aic Published on behalf of the AIChE August 2012 Vol. 58, No. 8 AIChE Journal

The deterministic robust counterpart of the original uncer- where X is a positive parameter with j ¼ exp (X2/2).

tain MILP problem can be derived as follows

Min=Max cT x þ d T y Known probability distribution

x;y;u

The true values of the uncertain parameters are obtained

s:t: Ex þ Fy ¼ e

from their nominal values by random variables

Ax þ By p

!

X X X X a~lm ¼ ð1 þ enlm Þalm

alm xm þ blk yk þ e jalm jum þ jblk jyk (6)

m k m2Ml k2Kl b~lk ¼ ð1 þ enlk Þblk (9)

pl ejpl j þ d max½1; jpl j 8l p~l ¼ ð1 þ enl Þpl

u m xm u m 8m 2 Ml

x x x

Assume that the probability distributions of the random

y ¼ 0; 1 8k variables nlm, nlk, and nl are known. Then, Eq. 3 becomes

Bounded and symmetric uncertainty

Assume that the uncertain parameters are distributed X X X

around their nominal values randomly and symmetrically alm xm þ alm ð1 þ enlm Þxm þ blk yk

represented as follows m62Ml m2Ml k62Kl

X

þ blk ð1 þ enlk Þyk pl ð1 þ enl Þ þ d max½1; jpl j 8l ð10Þ

a~lm ¼ ð1 þ enlm Þalm ; b~lk ¼ ð1 þ enlk Þblk ;

p~l ¼ ð1 þ enl Þpl k2Kl

(7)

where nlm, nlk, and nl are random variables distributed

Eq. 10 is assumed to be violated by the user-speciﬁed pa-

symmetrically in the interval [1, 1].

rameter j (0 j 1). In other words

The deterministic robust counterpart for Eq. 3 is derived

as follows 2 (

X X X X X X X

alm xm þ blk yk þ e4 jalm jum þ jblk jwlk Pr alm xm þ blk yk pl þ e alm nlm xm

m k m2Ml k2Kl m k m2Ml

3 ! )

sﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃ

ﬃ X

X X þ blk nlk yk pl nl > d max½1; jpl j j 8l ð11Þ

þjpl ju0l þ X a2lm z2lm þ b2lk v2lk þ p2l z02l 5

k2Kl

m2Ml k2Kl

where Note that if the tolerance for the constraint violation is

low, then the value of j should be similarly small.

ulm xm zlm ulm 8 m 2 Ml We aggregate the respective random variables into one

wlk yk vlk wlk 8 k 2 Kl random variable.

u0t 1 þ z0t u0t 8l X X

nl ¼ alm nlm xm þ blk nlk yk pl nl 8l (12)

The deterministic robust counterpart of the original uncer- m2Ml k2Kl

tain MILP problem can be derived as follows

x;y;u;z;v;w;z0;u0 gate random variable nl, and F1

nl to be inverse cumulative

s:t: Ex þ Fy ¼ e distribution.

Ax þ By p Fnl ðkÞ ¼ Prfnl kg ¼ 1 j 8l (13)

2

X X X X

alm xm þ blk yk þ e4 jalm julm þ jblk jwlk F1

nl ð1 jÞ ¼ f ðk; jalm jxm ; jblk jyk ; jpl jÞ 8l (14)

m k m2Ml k2Kl

3

sﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃ

X X ﬃ Combing Eqs. 12–14, the generic deterministic robust

þjpl ju0l þ X a2lm z2lm þ b2lk v2lk þ p2l z02l 5 counterpart of the probabilistic constraint can be formu-

m2Ml k2Kl lated as follows for random variables following any

distribution.

pl þ d max½1; jpl j 8l

X X

ulm xm zlm um 8m 2 Ml alm xm þ blk yk pl þ e f ðk; jalm jxm ; jblk jyk ; pl Þ

wlk yk vlk wlk 8k 2 Kl m k (15)

u0l 1 þ z0l u0l 8l d max½1; jpl j 8l

x x x

The deterministic robust optimization model for the origi-

yk ¼ 0; 1 8k nal uncertain MILP problem can be derived as follows

AIChE Journal August 2012 Vol. 58, No. 8 Published on behalf of the AIChE DOI 10.1002/aic 2379

Min=Max cT x þ d T y P P

max 0;2j pli pli

s:t: Ex þ Fy ¼ e P P P j, then the deter-

i2Il i2Il

If let alm xm blk yk þ pli þd max½1;jpl j

Ax þ By p

X X i62Il

m k

alm xm þ blk yk pl þ e f ðk; jalm jxm ; jblk jyk ; pl Þ ministic robust counterpart for Eq. 16 is represented by

m k

d max½1; jpl j 8l

x x x X X X

2j 1

yk ¼ 0; 1 8k alm xm þ blk yk pli þ max 0;

m k i62Il

j

X (20)

Unknown probability distribution pli þ d max½1; jpl j 8l

In this case, the right-hand side parameters in Eq. (1) are i2Il

X X X X The deterministic robust counterpart optimization model

alm xm þ blk yk p~li þ pli þ d max½1; jpl j 8l for the original uncertain MILP problem can be derived as

m k i2Il i62Il

follows

P (16)

where pl ¼ i pli :

Its probabilistic form with constraint violation of the user- Min=Max cT x þ d T y

speciﬁed parameter j is represented by s:t: Ex þ Fy ¼ e

( Ax þ By p

X X X

Pr alm xm þ blk yk > p~li X X X 2j 1

m k i2Il alm xm þ blk yk pli þ max 0;

) m k i62Il

j

X X

þ pli þ d max½1; jpl j j 8l pli þ d max½1; jpl j 8l

i62Il i2Il

(

X X X x x x

) Pr p~li > alm xm blk yk

m

yk ¼ 0; 1 8k

i2Il k

)

X

þ pli þ d max½1; jpl j j 8l ð17Þ

i62Il Up to this point, the robust optimization framework has

been reviewed for uncertain parameters following a bounded,

From Markov Inequality,50 the left-hand side of Eq. 17 is bounded and symmetric distribution, known probability dis-

( tribution, and unknown probability distribution. For simplic-

X X X

Pr p~li > alm xm blk yk ity, universal values for e, j, and d are adopted. However,

i2Il m k Janak et al.49 highlighted that the robust optimization frame-

) work can easily be extended for cases where e can vary

X

þ pli þ d max½1; jpl j from parameter to parameter and j, and d can vary from

i62Il constraint to constraint. Next, we extend and apply the ro-

" # bust optimization framework to address the various forms of

P

E p~li demand uncertainty present during crude oil scheduling

i2Il operations.

P P P ð18Þ

alm xm blk yk þ pli þ d max½1; jpl j

m k i62Il Robust Counterpart for Demand Uncertainty

during Scheduling of Crude Oil Operations

If the unknown distribution is approximately symmetric In the deterministic model of Li et al.,3 the deterministic

and the extremes are equidistant from the mean, for a given demand constraint is presented as follows

value of j

" # " #

X X X X

E p~li max 0; 2j pli pli (19) VU ðu; nÞ ¼ DðuÞ 8u (21)

i2Il i2Il i2Il n

( ) where VU(u,n) is total amount of crudes fed to CDU u during

X X X X

Pr p~li > alm xm blk yk þ pli þ d max½1; jpl j event point n and D(u) is the nominal demand of CDU u. Note

i2Il m k i62Il that Eq. 21 features equalities. To apply the robust optimiza-

tion framework, Eq. 21 must be converted to inequality.

" # We notice that Eq. 21 is equivalent to the following two

P P constraints:

max 0; 2j pli pli

P P

i2Il

P

i2Il X

alm xm blk yk þ pli þ d max½1; jpl j VU ðu; nÞ DðuÞ 8u (22)

m k i62Il n

2380 DOI 10.1002/aic Published on behalf of the AIChE August 2012 Vol. 58, No. 8 AIChE Journal

X

VU ðu; nÞ DðuÞ 8u (23) Note that X is a positive parameter with j ¼ exp (X2/2)

n and the violation probability is 2j.

and 23 simultaneously, then it is not difﬁcult to show that The generic robust deterministic counterpart of the proba-

we cannot generate any feasible solution to meet those ro- bilistic constraint can be formulated as follows for random

bust counterparts and Eq. 21 at nominal value simultane- variables following any distribution.

ously. To avoid this, we deﬁne a new set SC (sc ¼ 1 and 2) X

and new auxiliary variables rVU(u,n,sc). rVU ðu; n; scÞ þ e f ½k; DðuÞ DðuÞ þ d max½1; DðuÞ

X n

~

rVU ðu; n; scÞ DðuÞ 8u; sc ¼ 1 (24a) 8u; sc ¼ 1 ð27aÞ

Xn

X

~

rVU ðu; n; scÞ DðuÞ 8u; sc ¼ 2 (24b) rVU ðu; n; scÞ DðuÞ þ e f ½k; DðuÞ d max½1; DðuÞ

n n

~

where DðuÞ is the true realization of the uncertain demand 8u; sc ¼ 2 ð27bÞ

parameter.

Note that the violation probability is 2j.

The robust optimization techniques can be easily applied

to Eq. 24a,b simultaneously. Uniform continuous distribution

Bounded uncertainty If the demand parameters are uncertain and follow a uni-

form continuous distribution, then f ½k; DðuÞ ¼

If the demand parameter is uncertain and varies in a

ð1 2jÞ DðuÞ. The deterministic robust counterpart is

bounded interval [DL (u), DU (u)], then the robust counter-

represented by

parts of Eq. 24a,b are given by

X

X rVU ðu; n; scÞ þ e ð1 2jÞDðuÞ DðuÞ þ d max½1; DðuÞ

rVU ðu; n; scÞ DL ðuÞ þ d maxð1; jDðuÞjÞ 8u; sc ¼ 1 n

n

8u; sc ¼ 1 ð28aÞ

(25a)

X X

rVU ðu; n; scÞ DU ðuÞ d maxð1; jDðuÞjÞ 8u; sc ¼ 2 rVU ðu; n; scÞ DðuÞ þ e ð1 2jÞDðuÞ d max½1; DðuÞ

n n

(25b) 8u; sc ¼ 2 ð28bÞ

Normal distribution

Bounded and symmetric uncertainty

If the demand parameters follow a normal distribution,

If the demand parameters are uncertain and distributed then f ½k; DðuÞ ¼ F1 1

n ð1 jÞ DðuÞ where Fn ð1 jÞ being

around the nominal values randomly and symmetrically as the inverse standard normal cumulative distribution function.

follows The robust counterpart is represented by

X

~

DðuÞ ¼ ½1 þ e nðuÞ DðuÞ rVU ðu; n; scÞ þ e F1

n ð1 jÞ DðuÞ

n

where n(u) are random variables distributed symmetrically in DðuÞ þ d max½1; DðuÞ 8u; sc ¼ 1 ð29aÞ

the interval [1, 1]. X

The robust counterparts for Eq. 24a,b are derived as follows rVU ðu; n; scÞ DðuÞ þ e F1

n ð1 jÞ DðuÞ

n

X

rVU ðu; n; scÞ þ e DðuÞ ½ruðu; scÞ þ X rzzðu; scÞ d max½1; DðuÞ 8u; sc ¼ 2 (29b)

n

DðuÞ þ d max½1; DðuÞ 8u; sc ¼ 1 ð26aÞ The deterministic robust counterparts for other known

probability distributions are also presented in Supporting

where Information, Appendix S1.

ruðu; scÞ 1 þ rzðu; scÞ ruðu; scÞ 8u; sc ¼ 1 Unknown probability distribution

rzzðuÞ rzðuÞ rzzðuÞ 8u; sc ¼ 1

rzðuÞ 0; rzzðuÞ 0 8u; sc ¼ 1 When the demand parameters are uncertain and follow an

unknown probability distribution, then the robust counter-

parts for Eq. 24a,b are given by

X

VU ðu; n; scÞ DðuÞ þ e DðuÞ ½ruðu; scÞ X 1

n (26b) rVU ðu; n; scÞ DðuÞ d max½1; DðuÞ 8u; sc ¼ 1

þ X rzzðu; scÞ d max½1; DðuÞ 8u; sc ¼ 2 n

j

where (30a)

X

2j 1

ruðu; scÞ 1 þ rzðu; scÞ ruðu; scÞ 8u; sc ¼ 2 rVU ðu; n; scÞ max 0; DðuÞ þ d max½1; DðuÞ

j

rzzðuÞ rzðuÞ rzzðuÞ 8u; sc ¼ 2 n

AIChE Journal August 2012 Vol. 58, No. 8 Published on behalf of the AIChE DOI 10.1002/aic 2381

Note that the violation probability is 2j. The amount of crude c fed from tank i to CDU u during

Besides the above robust counterparts, we also deﬁne some event point n for each sc [VI,U,C(i,u,c,n)] is computed by,

other auxiliary variables including rVI(i,n,sc), rVI,C(i,c,n,sc), X

rVI,U(i,u,n,sc), rVI,U,C(i,u,c,n,sc), and rEI,C(i,c,n,sc), and rVI;U ði; u; n; scÞ ¼ rVI;U;C ði; u; c; n; scÞ

rSSP(sc). These variables are connected with each other and c:ði;cÞ2SI;C

rVU(u,n,sc) using the following additional constraints:

8ði; uÞ 2 SI;U ; sc ð38Þ

We ﬁrst relate rVI(i,n,sc) with the variable rVI,C(i,c,n,sc).

For each sc, the total crude volume in each tank i at the end

of event point n is equivalent to summation of the volume For each sc, the total amount of crudes [VU(u,n)] fed to

of each crude c in this tank i. each CDU u during event point n is given by,

X

X rVI;U ði; u; n; scÞ ¼ rVU ðu; n; scÞ 8u; n; sc (39)

rVI;C ði; c; n; scÞ ¼ rVI ði; n; scÞ 8i; n; sc (31) i:ði;uÞ2SI;U

c:ði;cÞ2SI;C

For each sc, the total amount of crudes fed to each CDU

For each sc, at any time, the crude c in tank i must meet u during each event point n must meet its minimum

U ðuÞ] and maximum [DU ðuÞ] processing rates.

[Dmin max

I ði; cÞ] and upper [EI ði; cÞ] fractions in this

its lower [Emin max

tank. end

U ðuÞ TU ðu; nÞ TU ðu; nÞ rVU ðu; n; scÞ

Dmin 8u; n; sc

start

I ði; cÞ rVI;C ði; c; n; scÞ 8ði; cÞ 2 SI;C ; n; sc

(40a)

(32a)

end

rVI;C ði; c; n; scÞ rVI ði; n; scÞ Emax

I ði; cÞ 8ði; cÞ 2 SI;C ; n; sc

rVU ðu; n; scÞ Dmax

U ðuÞ TU ðu; nÞ TU ðu; nÞ

start

8u; n; sc

(32b) (40b)

Each tank i has several possible event points during which

the concentration of this tank i is the same as its initial com-

sc must also meet its minimum [EminU ðu; cÞ] and maximum

[Emax

U ðu; cÞ] fractions.

position. During the possible event points

X

rVU ðu; n; scÞ Emin

U ðu; cÞ rVI;U;C ði; u; c; n; scÞ

rVI;U;C ði; u; c; n; scÞ ¼ Einit

I ði; cÞ rVI;U ði; u; n; scÞ i:ði;uÞ2SI;U

8ði; uÞ 2 SI;U ; ði; cÞ 2 SI;C ; ði; nÞ 2 SF;I ; n; sc ð33Þ 8ðu; cÞ 2 SU;C ; sc ð41aÞ

X

where SF,I denotes the possible event points during which the rVI;U;C ði; u; c; n; scÞ rVU ðu; n; scÞ Emax

U ðu; cÞ

concentration of this tank i is the same as its initial i:ði;uÞ2SI;U

composition.

8ðu; cÞ 2 SU;C ; sc ð41bÞ

At other event point on each tank i [i.e., (i, n) 62 SF,I]

rVI;U;C ði; u; c; n; scÞ ¼ rEI;C ði; c; n 1; scÞ rVI;U ði; u; n; scÞ For every sc, the desired crude qualities feeding to CDUs

8ði; uÞ 2 SI;U ; ði; cÞ 2 SI;C ; ði; nÞ 62 SF;I ; n; sc ð34Þ

must be ensured within the minimum [emin U ðu; kÞ] and maxi-

mum [emaxU ðu; kÞ] acceptable limits on properties that in the

feed to CDU u.

At the end of each event point n, X

U ðu; kÞ

emin rVI;U ði; u; n; scÞ

rVI;C ði; c; n; scÞ ¼ rEI;C ði; c; n; scÞ rVI ði; n; scÞ X

i:ði;uÞ2SI;U

X

8ði; cÞ 2 SI;C ; n; sc ð35Þ eC ðc; kÞ rVI;U;C ði; u; c; n; scÞ

i:ði;uÞ2SI;U c:ði;cÞ2SI;C

For each sc, the total amount of crudes from storage tank 8ði; uÞ 2 SI;U ; sc ð42aÞ

i to CDU u during each event point n must meet its mini-

mum [Fmin I;U ði; uÞ] and maximum [FI;U ði; uÞ] feed rates.

max X X

eC ðc; kÞ rVI;U;C ði; u; c; n; scÞ

h i

rVI;U ði; u; n; scÞ Fmax

I;U ði; uÞ T end

I;U ði; u; nÞ T start

I;U ði; u; nÞ i:ði;uÞ2SI;U c:ði;cÞ2SI;C

X

emax

U ðu; kÞ rVI;U ði; u; n; scÞ

8ði; uÞ 2 SI;U ; sc ð36aÞ i:ði;uÞ2SI;U

h i 8ði; uÞ 2 SI;U ; sc (42b)

I;U ði; uÞ TI;U ði; u; nÞ TI;U ði; u; nÞ rVI;U ði; u; n; scÞ

Fmin end start

0 1

8ði; uÞ 2 SI;U ; sc ð36bÞ X X

@ qc rVI;U;C ði; u; c; n; scÞA

U ðu; kÞ

emin

For each sc, if tank i does not feed CDU u at event point i:ði;uÞ2SI;U c:ði;cÞ2SI;C

n, then the total amount [VI,U(i,u,n)] charged should be zero. X X

eC ðc; kÞ qc rVI;U;C ði; u; c; n; scÞ

rVI;U ði; u; n; scÞ VI;U

max

ði; u; nÞ Yði; u; nÞ 8ði; uÞ 2 SI;U ; sc i:ði;uÞ2SI;U c:ði;cÞ2SI;C

2382 DOI 10.1002/aic Published on behalf of the AIChE August 2012 Vol. 58, No. 8 AIChE Journal

X X The average safety stock for each sc [SSP(sc)] is calcu-

eC ðc; kÞ qc rVI;U;C ði; u; c; n; scÞ

i:ði;uÞ2SI;U c:ði;cÞ2SI;C

lated as,

0 1

X X

emax @ qc rVI;U;C ði; u; c; n; scÞA

U ðu; kÞ P P

i:ði;uÞ2SI;U c:ði;cÞ2SI;C rVI ði; n; scÞ þ VIinit ðiÞ

i n

8ði; uÞ 2 SI;U ; sc (43b) rSSPðscÞ SS 8 sc

Nþ1

where, eC(c,k) denotes the known blending index for a (45)

property k of crude c, and qc is the density of crude c.

The inventory balance for each storage tank i at the end where, SS is the desired safety stock of crude.

of event point n for each sc can be expressed as follows, The hard bounds for those auxiliary variables are given

X below:

rVI;C ði; c; n; scÞ ¼ rVI;C ði; c; n 1; scÞ þ VP;I ðp; i; nÞ

p:ðp;cÞ2SP;C

X

EP ðp; cÞ rVI;U;C ði; u; c; n; scÞ rSSPðscÞ SS 8 sc (46)

u:ði;uÞ2SI;U

rVI;C ði; c; n; scÞ ¼ VI;C

init

ði; cÞ þ VP;I ðp; i; nÞ EP ðp; cÞ

p:ðp;cÞ2SP;C

X

rVI;U;C ði; u; c; n; scÞ 8ði; cÞ 2 SI;C ; n ¼ 1; sc

u:ði;uÞ2SI;U VImin ðiÞ rVI ði; n; scÞ VImax ðiÞ 8ði; cÞ 2 SI;C ; sc

(44b) (48a; b)

8 n o

>

> min Fmax ði; uÞ H; VIinit VImin ði; nÞ; VImax ðiÞ VImin ðiÞ if n ¼ 1

>

< I;U

( )

rVI;U ði; u; n; scÞ 8ði; uÞ 2 SI;U ; sc ð49Þ

> min FI;U ði; uÞ H; VI ði; n 1Þ VI ði; nÞ

max max min

>

> if n > 1

: VImax ðiÞ VImin ðiÞ

The deterministic robust counterpart optimization model is rVI;C ði; c; n; scÞ ¼ rEI;C ði; c; n; scÞ rVI ði; n; scÞ

denoted as ROM presented below. 8ði; cÞ 2 SI;C ; n; sc ð350 Þ

s:t: Eqs: A1A43 in Appendix A

Eqs: 25a; b; 26a; b;27a; b; or 30a; b Remarks: Cao et al.40 and Wang and Rong41 used only

for corresponding distribution Eq. 23 to convert Eq. 21 to inequality. The corresponding

Eqs: 3145; and 4649 deterministic robust counterparts with different distributions

Eqs: A45A54 and Eqs: A55A61 from the robust framework are presented in Supporting In-

in Appendix A formation, Appendix S2. The deterministic robust counter-

part optimization model of Cao et al.40 and Wang and

The resulting mathematical model ROM is a nonconvex Rong41 (ROM-CWR) always maximizes the total amount

MINLP, and the sources of nonconvexities are the distinct fed to each CDU for the objective of proﬁt maximization

bilinear terms (i.e., Eqs. A15, A16, 34 and 35) regardless of speciﬁc demands of CDUs, as illustrated

later.

VI;U;C ði; u; c; nÞ ¼ EI;C ði; c; n 1Þ VI;U ði; u; nÞ

8ði; uÞ 2 SI;U ; ði; cÞ 2 SI;C ; ði; nÞ 62 SF;I ; n ðA150 Þ Global Optimization Approach

In the model ROM, additional bilinear terms (i.e.,

VI;C ði; c; nÞ ¼ EI;C ði; c; nÞ VI ði; nÞ 8ði; cÞ 2 SI;C ; n Eqs. 34,35 or 340 ,350 ) are introduced. These bilinear

(A160 ) terms are relaxed using only the McCormick convex

and concave envelopes. The McCormick convex and

rVI;U;C ði; u; c; n; scÞ ¼ rEI;C ði; c; n 1; scÞ rVI;U ði; u; n; scÞ concave envelopes for the bilinear terms (i.e., Eqs. 34,

35 or 340 , 350 ) in the model ROM are derived as

8ði; uÞ 2 SI;U ; ði; cÞ 2 SI;C ; ði; nÞ 62 SF;I ; n; sc ð340 Þ follows

AIChE Journal August 2012 Vol. 58, No. 8 Published on behalf of the AIChE DOI 10.1002/aic 2383

rVI;U;C ði; u; c; n; scÞ

8

>

> rEI;C ði; c; n 1; scÞ rVI;U

min

ði; u; n; scÞ þ rEmin

I;C ði; c; n 1; scÞ rVI;U ði; u; n; scÞ rEI;C ði; c; n 1; scÞ rVI;U ði; u; n; scÞ

min min

>

>

< rEI;C ði; c; n 1; scÞ rV min ði; u; n; scÞ þ rEmax ði; c; n 1; scÞ rVI;U ði; u; n; scÞ rEmax ði; c; n 1; scÞ rV min ði; u; n; scÞ

I;U I;C I;C I;U

> rEI;C ði; c; n 1; scÞ rVI;U

> max

ði; u; n; scÞ þ rE min

ði; c; n 1; scÞ rV ði; u; n; scÞ rE min

ði; c; n 1; scÞ rVI;U ði; u; n; scÞ

max

>

> I;C I;U I;C

:

rEI;C ði; c; n 1; scÞ rVI;U ði; u; n; scÞ þ rEI;C ði; c; n 1; scÞ rVI;U ði; u; n; scÞ rEI;C ði; c; n 1; scÞ rVI;U

max max max max

ði; u; n; scÞ

8ði; uÞ 2 SI;U ; ði; cÞ 2 SI;C ; n ð50Þ

8

>

> rEI;C ði; c; n; scÞ rVImin ði; n; scÞ þ rEmin

I;C ði; c; n; scÞ rVI ði; n; scÞ rEI;C ði; c; n; scÞ rVI ði; n; scÞ

min min

>

>

< rEI;C ði; c; n; scÞ rV min ði; n; scÞ þ rEmax ði; c; n; scÞ rVI ði; n; scÞ rEmax ði; c; n; scÞ rV min ði; n; scÞ

I I;C I;C I

rVI;C ði; c; n; scÞ

>

> rEI;C ði; c; n; scÞ rVI ði; n; scÞ þ rEI;C ði; c; n; scÞ rVI ði; n; scÞ rEI;C ði; c; n; scÞ rVI ði; n; scÞ

max min min max

>

>

:

rEI;C ði; c; n; scÞ rVImax ði; n; scÞ þ rEmax

I;C ði; c; n; scÞ rVI ði; n; scÞ rEI;C ði; c; n; scÞ rVI

max max

ði; n; scÞ

8ði; cÞ 2 SI;C ; n ð51Þ

denoted as RROM is deﬁned as follows

s:t: Eqs: A1A14; A17A43 in Appendix A

Eqs: B1B2 in Appendix B

Eqs: 25a; b; 26a; b; 27a; b; or 30a; b

for corresponding distribution

Eqs: 3133; 3645; 46 49; and 5051

Eqs: A45A54 and Eqs: A55A61

in Appendix A

those variables rEI,C(i,c,n,sc), rVI(i,n,sc), and rVI,U(i,u,n,sc)

in the model RROM.

A pool of feasible solutions including the ﬁnal solve from

the model RROM is used to ﬁx the current values of the

binary variables, initialize the continuous variables using

their current values, and locally minimize the resulting NLP.

The objective function for NLP changes to the following

XXXX

PROFIT ¼ CPROF ðcÞ VI;U;C ði; u; c; nÞ

i u c n

X

TCW ðvÞ PEN SSP H

v

XX

CSET zðu; nÞ

u n

XXXXX

þ CPROF ðcÞ rVI;U;C ði; u; c; n; scÞ

i u c n sc

X

PEN rSSPðscÞ H ð52Þ

sc

The LP minimization and maximization problems for

tightening the lower and UBs for variables EI,C(i,c,n),

VI(i,n), and VI,U(i,u,n) can be stated as follows

s:t: Eqs: A1A14; A17A43 in Appendix A

Eqs: B3B4 in Appendix B

Eqs: 25a; b; 26a; b; 27a; b; or 30a; b

for corresponding distribution

Eqs: 3133; 3645; 4649; and 5051

Eqs: A45A54 and Eqs: A55A61

in Appendix A Figure 7. Flow chart of the extended branch and bound

0 Xðp; i; nÞ; Yði; u; nÞ 1 global optimization algorithm from Li et al.3

2384 DOI 10.1002/aic Published on behalf of the AIChE August 2012 Vol. 58, No. 8 AIChE Journal

Table 3. Model and Solution Statistics for Example 2 ðROMUÞ Max z obbt

Robust Robust s:t: Eqs: A1A14; A17A43 in Appendix A

Solution for Solution for Eqs: B3B4 in Appendix B

Nominal Bounded Normal Eqs: 25a; b; 26a; b; 27a; b; or 30a; b

Solution Uncertainty Distribution

for corresponding distribution

Event points 3 3 3 Eqs: 3133; 3645; 4649; and 5051

GR 2 4 3

Binary variables 160 160 160 Eqs: A45A54 and Eqs: A55A61

Continuous variables 1189 2865 2577 in Appendix A

Constraints 5258 9076 8884 0 Xðp; i; nÞ; Yði; u; nÞ 1

Bilinear terms 192 576 576

Obj (UB, K$) 4795.037 4780.727 4789.280

LB (K$) 4884.673 4868.617 4882.344 where z_obbt becomes VI(i,n), EI,C(i,c,n), and VI,U(i,u,n)

Gap (%) 1.84 1.81 1.92 respectively to update VImin ði; nÞ, VImax ði; nÞ, Emin I;C ði; c; nÞ,

CPU time (s) 4063 51600 5630

Emax

I;C ði; c; nÞ, and V max

I;U ði; u; nÞ accordingly. The entire proce-

Y ¼ 0.50, e ¼ 0.02. dure of the branch and bound global optimization algorithm

for ROM is illustrated in Figure 7.

Figure 8. Robust schedule for Example 1 from model ROM with demand uncertainty following bounded

uncertainty.

Figure 9. Inventory proﬁles of T1–T5 for Example 1 from the robust schedule in Figure 8.

[Color ﬁgure can be viewed in the online issue, which is available at wileyonlinelibrary.com.]

AIChE Journal August 2012 Vol. 58, No. 8 Published on behalf of the AIChE DOI 10.1002/aic 2385

We use model ROM to generate the robust schedule

(Figure 8) within 72.7 CPU seconds and with the objective

of $ 5614.974K, which deviates only by 0.298% from that

of the nominal schedule. Note that the objective for the

robust schedule is very close to that of nominal schedule.

From the robust schedule (Figure 8), CDU101 processes 600

kbbl, and CDU102 processes 600 kbbl. Figures 9 and 10

illustrate the inventory proﬁles of T1–T5 and feed rates to

CDU101 and CDU102, respectively. Note that T1 and T4

can feed CDU101, and T2, T3, and T5 can feed CDU102.

From Figure 9, we observe that T1 has 210 kbbl additional

crudes that can be charged to CDU101, although T4 reaches

its minimum capacity at the end of scheduling horizon. Let

us examine Figure 10, the feed rates of T1 and T4 to

CDU101 are 3.97 kbbl/s and 3.68 kbbl/s, respectively, in

[29.2, 72] h. As the maximum feed rate to CDU101 is 12.5

kbbl/s, the feed rate of T1 to CDU101 can increase to 8.82

kbbl/s during [29.2, 72] h. The maximum additional amount

of crudes from T1 that can be charged to CDU101 is

max[210kbbl, (8.823.97) 42.8 kbbl] ¼ 207.5 kbbl. Thus,

any demand of CDU101 within [600, 720] kbbl can be satis-

ﬁed by simply adjusting feed rate of T1 to CDU101 with the

robust schedule in Figure 8. It is not difﬁcult to conclude

that any demand of CDU101 within [420, 600] kbbl can also

Figure 10. Feed rates to CDU101 and CDU102 for Exam- be satisﬁed by simply adjusting feed rates of T1 and T4 to

ple 1 from the robust schedule in Figure 8. CDU101 with the robust schedule in Figure 8. A similar

[Color ﬁgure can be viewed in the online issue, which conclusion can be made for CDU102. In Supporting Infor-

is available at wileyonlinelibrary.com.] mation, Appendix S3, we show that the schedule in Figure 8

is feasible for any demand realization within the range [480,

Computational Studies 720] kbbl by simply adjusting the feed rates from T1–T5 to

The proposed deterministic robust counterpart optimiza- CDU101 and CDU102.

tion formulations are applied to two examples. The complete Normal Distribution. We consider uncertainty with a

normal distribution in the demands of both CDU101 and

data for Example 2 are given in Supporting Information,

CDU102. The uncertainty level is e ¼ 15%; the infeasibil-

Tables S1–S3. They are solved using GAMS 22.6/CPLEX

TM ity tolerance is d ¼ 0%; and the reliability level j ¼ 10%.

11.0.0 on Dell OPTIPLEX 960 of Intel V R Xeon CPU 3.0

We solve model ROM and obtain the robust schedule as

GHz with 2 GB RAM running Linux. The computational

shown in Figure 11 within 72.7 CPU seconds. The corre-

results are presented in Tables 2 and 3.

sponding objective is $ 5614.974K, which is only 0.298%

different than the objective of the nominal schedule. From

Example 1 Figure 11, each CDU processes exact 600 kbbl of crudes.

Let us revisit Example 1 of Section ‘‘Motivating Exam- The inventory levels of T1–T5 and feed rates to CDUs are

ple’’. The nominal schedule with nominal demands of 600 illustrated in Supporting Information, Figures S1 and S2. A

kbbl for both CDU101 and CDU102 is given in Figure 3. similar analysis as bounded uncertainty can be done to con-

The objective is $ 5631.707K. clude that the inventory levels in some tanks do not reach

Bounded Uncertainty. The demand parameters of both their maximum and minimum capacities and the feed rates

CDU101 and CDU102 are assumed to be uncertain and vary in from some tanks to CDUs do not reach maximum and min-

a bounded interval [480,720] kbbl. When the demands of imum limits either. Therefore, demand uncertainty follow-

CDU101 and CDU102 increase to 705 kbbl, the nominal sched- ing normal distribution can be accommodated from the

ule is infeasible, as shown in Section ‘‘Motivating Example’’. robust schedule (Figure 11) by simply adjusting feed rates

Figure 11. Robust schedule for Example 1 from model ROM with demand uncertainty following normal distribution.

2386 DOI 10.1002/aic Published on behalf of the AIChE August 2012 Vol. 58, No. 8 AIChE Journal

Figure 12. Robust schedule for Example 1 from ROM-CWR with demand uncertainty following bounded uncertainty.

that the schedule is feasible by simply adjusting the feed This example is Example 21 from Li et al.3,34 It is the

rates from T1–T5 to CDU101 and CDU102 with a proba- largest industrial-scale problem involving one SBM pipeline,

bility of 90% in the presence of the 15% uncertainty in the three jetties, eight storage tanks (T101–T108), and three

demands of both CDU101 and CDU102. It is interesting to CDUs (CDU101–CDU103). The scheduling horizon is about

note that the same schedule is obtained with bounded 336 hrs (i.e., 14 days). The nominal demands for CDU101,

uncertainty. CDU102, and CDU103 are 1000 kbbl, 1000 kbbl, and 1000

The robust schedule for other known probability distribu- kbbl, respectively. The nominal schedule is illustrated in Fig-

tions such as uniform distribution and poisson distribution ure 13 with the objective of $ 4795.037K. When the

can also obtained from model ROM. demands of CDU101, CDU102, and CDU103 increase to

Remarks: We solve the deterministic robust counterpart 1100 kbbl, the nominal schedule is infeasible.

model ROM-CWR (see Supporting Information, Appendix Bounded Uncertainty. The demand parameters of

S2) and generate a schedule (Figure 12) with the objective CDU101, CDU102, and CDU103 are assumed to be uncertain

of $7248.618K. From Figure 12, it can be calculated that and vary in a bounded interval [850, 1150] kbbl. The model

the total amount fed to CDU101 and CDU102 are 785.00 ROM involves 160 binary variables, 2865 continuous variables,

kbbl and 825.58 kbbl respectively, which are greater than 9076 constraints, and 576 bilinear terms. The robust schedule

the nominal demand (600 kbbl). It is not difﬁcult to con- (Supporting Information, Figure S5) from model ROM is

clude that each CDU processes the maximum amount of obtained within 51,600 CPU seconds and the objective is $

crude mixture. As the objective of the model ROM-CWR is 4780.727K, which is guaranteed to be within 2% of global

to maximize the total proﬁt, the total amount fed to each optimality. More importantly, the objective of $ 4780.727K

CDU is maximized regardless of the speciﬁed demand for is only 0.257% different from that of nominal schedule. The

each CDU. Supporting Information, Figures S3 and S4 illus- inventory levels of T1–T8 and feed rates to CDUs are depicted

trate the inventory proﬁles of T1–T5 and feed rates to in Supporting Information, Figures S6 and S7. Similar to

CDU101 and CDU102. Example 1, it can be concluded that the inventory levels in

Figure 13. Nominal schedule for Example 2 from the proposed branch and bound global optimization algorithm of

Li et al.3

AIChE Journal August 2012 Vol. 58, No. 8 Published on behalf of the AIChE DOI 10.1002/aic 2387

Figure 14. Robust schedule for Example 2 from model ROM with demand uncertainty following normal distribution.

some tanks do not reach their maximum and minimum capaci- global optimization algorithm proposed by Li et al.3 was suc-

ties and the feed rates from some tanks to CDUs do not reach cessfully extended to solve the deterministic robust counter-

maximum and minimum limits either. Therefore, we can sim- part optimization model. The computational results show that

ply adjust feed rates to CDUs to accommodate demand uncer- the generated schedule is more robust than the nominal sched-

tainty based on the robust schedule. ule. In the future, we will extend the robust optimization

Normal Distribution. We also consider uncertainty framework to address other forms of uncertainty in ship

with a normal distribution in the demands. The uncertainty arrival, quality speciﬁcation and some economic coefﬁcients.

level is e ¼ 8%; the infeasibility tolerance is d ¼ 0% and

the reliability level j ¼ 5%. In the model ROM, we have

160 binary variables, 2577 continuous variables, 8884 con- Acknowledgments

straints, and 576 bilinear terms. The robust schedule (Figure The authors gratefully acknowledge support from the National Science

14) is obtained within 5630 CPU seconds and the objective Foundation (CMMI-08856021). Ruth Misener is further thankful for her

National Science Foundation Graduate Research Fellowship.

is $ 4789.280K, which is guaranteed to be within 2% of

global optimality. The objective function is also near to that

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AIChE Journal August 2012 Vol. 58, No. 8 Published on behalf of the AIChE DOI 10.1002/aic 2389

Appendix A: Deterministic Mathematical Positive variables

Formulation of Li et al.3 EI,C(i,c,n) ¼ composition of crude c in tank i at the end of event

point n

SSP ¼ average safety stock at the end of each event point

Notation Tstart (n) ¼ start time of event point n on jetties

B

Sets B (n) ¼ end time of event point n on jetties

Tend

TCW(v) ¼ demurrage cost of vessel v

VP ¼ VLCC parcels

I;U (i,u,n) ¼ start time that tank i feeds CDU u during event point n

Tstart

JP ¼ jetty parcels

I;U (i,u,n) ¼ end time that tank i feeds CDU u during event point n

Tend

SF,I ¼ set of pairs (tank i, event point n) that the concentration Tstart (p) ¼ start time for parcel p unloading

P

P (p) ¼ end time for parcel p unloading

of tank i is the same as its initial composition during Tend

P;I (p,i,n) ¼ start time that parcel p is unloaded to tank i during

the possible event point n Tstart

SP,I ¼ set of pairs (parcel p, tank i) that tank i can receive event point n

P;I (p,i,n) ¼ end time that parcel p is unloaded to tank i during

parcel p Tend

SI,C ¼ set of pairs (tank i, crude c) that tank i can hold crude c event point n

SI,U ¼ set of pairs (tank i, CDU u) that tank i can feed CDU u Tstart (u,n) ¼ start time of event point n on CDU u

U

SU,C ¼ set of pairs (CDU u, crude c) that CDU u can process

U (u,n) ¼ end time of event point n on CDU u

Tend

crude c VP,I(p,i,n) ¼ crude amount transferred from parcel p to tank i during

Parameters event point n

VI(i,n) ¼ crude volume in tank i at the end of event point n

Dn ¼ 1 if a parcel is unloaded in multiple event points VI,C(i,c,n) ¼ volume of crude c in tank i at the end of event point n

CIVS ¼ inventory cost ($/unit/h) VI,U,C(i,u,c,n) ¼ amount of crude c fed from tank i to CDU u during

CPEN ¼ safety stock penalty ($/unit/h) event point n

CPROF(c) ¼ marginal proﬁt ($/unit volume) from crude c VI,U(i,u,n) ¼ amount of crude that tank i feeds to CDU u during

CSEA ¼ demurrage or sea-waiting cost event point n

CSET ¼ cost (k$) per changeover VU(u,n) ¼ total amount of crudes fed to CDU u during event point n

CULD ¼ unloading cost ($/hr)

Dmin

U (u) ¼ minimum allowable crude processing rate of CDU u

Dmax

U (u) ¼ maximum allowable crude processing rate of CDU u

D(u) ¼ demand of each CDU u Constraints

Emin

I;C (i,c) ¼ lower limit on the composition of crude c in tank i

Emin ¼ lower limit on the composition of crude c in tank i at The event point (n þ 1) on unit m must start after the

I;C (i,c,n)

event point n event point n on this unit m ends.

I;C (i,c) ¼

Emax upper limit on the composition of crude c in tank i

I;C (i,c,n) ¼

Emax upper limit on the composition of crude c in tank i at TBstart ðn þ 1Þ TBend ðnÞ 8n (A1a)

event point n

EP(p,c) ¼ fraction of crude c in parcel p TIstart ði; n þ 1Þ TIend ði; nÞ 8i; n (A1b)

Emin

U (u,c) ¼ minimum allowable composition of crude c in feed to CDU u

Emax (u,c) ¼ maximum allowable composition of crude c in feed to CDU u

U

eC(c,k) ¼ index of property k in crude c TUstart ðu; n þ 1Þ TUend ðu; nÞ 8u; n (A1c)

emin

U (u,k) ¼ minimum allowable index of property k in CDU u X X

emax

U (u,k) ¼ maximum allowable index of property k in CDU u Xðp; i; nÞ ¼ 1 8p; Dn ¼ 0 (A2a)

Fmin

I;U (i,u) ¼ minimum feeding rate of crude from tank i to CDU u n

i:ðp;iÞ2SPI

Vmin

I;U (i,u,n) ¼ minimum feeding amount of crudes from tank i to

CDU u at event point n X

Xðp; i; nÞ 1 8p; n; Dn ¼ 1 (A2b)

I;U (i,u) ¼

Fmax maximum feeding rate of crude from tank i to CDU u

I;U (i,u,n) ¼

Vmax i:ðp;iÞ2SP;I

maximum feeding amount of crudes from tank i to X

CDU u at event point n Xðp; i; nÞ B 8i; n; B > 1 (A3)

Fmin

P;I (p,i) ¼ minimum unloading rate of crude from parcel p to tank i

p:ðp;iÞ2SP;I

Fmax

P;I (p,i) ¼ maximum unloading rate of crude from parcel p to tank i p2JP

Vmax

P;I (p,i,n) ¼ maximum unloading amount of crude from parcel p to X X

tank i at event point n xeðp; nÞ 2 Xðp; i; nÞ Xðp; i; n þ 1Þ

H ¼ scheduling horizon i:ðp;iÞ2SP;I i:ðp;iÞ2SP;I

SS ¼ desired safety stock

ST ¼ minimum time for crude settling and brine removal 8p; n \ N; Dn ¼ 1 (A4a)

TARR(p) ¼ expected arrival time of parcel p X X

Vinit

I (i) ¼ initial crude volume in tank i xeðp; nÞ Xðp; i; nÞ Xðp; i; n þ 1Þ

Vinit

I;C (i,c) ¼ initial amount of crude c in tank i

i:ðp;iÞ2SP;I i:ðp;iÞ2SP;I

Vinit

P (p) ¼ initial crude volume of parcel p

Tmin

ULD (v) ¼ stipulated departure time in the logistics contract for 8p; n \ N; Dn ¼ 1 (A4b)

each vessel v

Vmin (i) ¼ minimum allowable crude inventory in tank i X

I

Vmin (i,n) ¼ minimum allowable crude inventory in tank i at event xeðp; nÞ Xðp; i; nÞ 8p; n \ N; Dn ¼ 1 (A4c)

I

point n i:ðp;iÞ2SP;I

Vmax

I (i) ¼ maximum allowable crude inventory in tank i X

Vmax

I (i,n) ¼ maximum allowable crude inventory in tank i at event xeðp; nÞ ¼ 1 8p; Dn ¼ 1 (A5)

point n n

Binary variables h i

VP;I ðp; i; nÞ Fmin

P;I ðp; iÞ TP;I ðp; i; nÞ TP;I ðp; i; nÞ

end start

X(p,i,n) ¼ 1 if parcel p is unloaded to tank i during event point n

Y(i,u,n) ¼ 1 if tank i is charging CDU u during event point n 8ðp; iÞ 2 SP;I ; n (A6a)

0–1 Continuous variables h i

xe(p,n) ¼ 1 if parcel p is completed at the end of event point n VP;I ðp; i; nÞ Fmax

P;I ðp; iÞ T end

P;I ðp; i; nÞ T start

P;I ðp; i; nÞ

z(u,n) ¼ 1 if a tank switch on CDU u takes place at the end of

event n 8ðp; iÞ 2 SP;I ; n (A6b)

2390 DOI 10.1002/aic Published on behalf of the AIChE August 2012 Vol. 58, No. 8 AIChE Journal

X

VP;I ðp; i; nÞ ¼ VPinit ðpÞ Xðp; i; nÞ 8ðp; iÞ 2 SP;I ; Dn ¼ 0 VI;U ði; u; nÞ ¼ VU ðu; nÞ 8u; n (A22)

(A7a) i:ði;uÞ2SI;U

end

U ðuÞ TU ðu; nÞ TU ðu; nÞ VU ðu; nÞ

Dmin 8u; n ðA23aÞ

start

VP;I ðp; i; nÞ VP;I

max

ðp; i; nÞ Xðp; i; nÞ 8ðp; iÞ 2 SP;I ; Dn ¼ 1

(A7b) end

VU ðu; nÞ Dmax

U ðuÞ TU ðu; nÞ TU ðu; nÞ

start

8u; n

X X

VP;I ðp; i; nÞ ¼ VPinit ðpÞ 8p; Dn ¼ 1 (A8) (A23b)

i:ðp;iÞ2SP;I n X

VU ðu; nÞ Emin

U ðu; cÞ VI;U;C ði; u; c; nÞ

TPstart ðpÞ start

TP;I ðp; i; nÞ þ H½1 Xðp; i; nÞ 8ðp; iÞ 2 SP;I ; n i:ði;uÞ2SI;U

X

TPend ðpÞ TP;I

end

ðp; i; nÞ H½1 Xðp; i; nÞ 8ðp; iÞ 2 SP;I ; n VI;U;C ði; u; c; nÞ VU ðu; nÞ Emax

U ðu; cÞ

i:ði;uÞ2SI;U

(A9b)

8ðu; cÞ 2 SU;C (A24b)

TPstart ðp þ 1Þ TPend ðpÞ 8p 2 VP (A10)

X X X

U ðu; kÞ

emin VI;U ði; u; nÞ eC ðc; kÞ

TPstart ðp0 Þ TPend ðpÞ 8p; p0 2 JP; TARR ðpÞ\TARR ðp0 Þ; B ¼ 1 i:ði;uÞ2SI;U i:ði;uÞ2SI;U c:ði;cÞ2SI;C

(A11) VI;U;C ði; u; c; nÞ 8ði; uÞ 2 SI;U (A25a)

X

VI;C ði; c; nÞ ¼ VI ði; nÞ 8i; n (A12) X X

c:ði;cÞ2SI;C eC ðc; kÞ VI;U;C ði; u; c; nÞ emax

U ðu; kÞ

i:ði;uÞ2SI;U c:ði;cÞ2SI;C

X

VI ði; nÞ Emin

I ði; cÞ VI;C ði; c; nÞ 8ði; cÞ 2 SI;C ; n (A13a) VI;U ði; u; nÞ 8ði; uÞ 2 SI;U (A25b)

i:ði;uÞ2SI;U

VI;C ði; c; nÞ VI ði; nÞ Emax

I ði; cÞ 8ði; cÞ 2 SI;C ; n 0 1

X X

(A13b)

U ðu; kÞ

emin @ qc VI;U;C ði; u; c; nÞA

i:ði;uÞ2SI;U c:ði;cÞ2SI;C

VI;U;C ði; u; c; nÞ ¼ Einit

I ði; cÞ VI;U ði; u; nÞ

X X

(A14) eC ðc; kÞ qc VI;U;C ði; u; c; nÞ

8ði; uÞ 2 SI;U ; ði; cÞ 2 SI;C ; ði; nÞ 2 SF;I ; n

i:ði;uÞ2SI;U c:ði;cÞ2SI;C

(A15) X X

8ði; uÞ 2 SI;U ; ði; cÞ 2 SI;C ; ði; nÞ 62 SF;I ; n eC ðc; kÞ qc VI;U;C ði; u; c; nÞ emax

U ðu; kÞ

i:ði;uÞ2SI;U c:ði;cÞ2SI;C

VI;C ði; c; nÞ ¼ EI;C ði; c; nÞ VI ði; nÞ 8ði; cÞ 2 SI;C ; n 0 1

X X

(A16) @ qc VI;U;C ði; u; c; nÞA 8ði; uÞ 2 SI;U

i:ði;uÞ2SI;U c:ði;cÞ2SI;C

Xðp; i; nÞ þ Yði; u; nÞ 1 8ðp; iÞ 2 SP;I ; ði; uÞ 2 SI;U

(A17) (A26b)

X

Yði; u; nÞ 2 8i; n (A18a) X

u:ði;uÞ2SI;U VU ðu; nÞ ¼ DðuÞ 8u (A27)

X n

Yði; u; nÞ 2 8u; n (A18b) start

TP;I ðp; i; n þ 1Þ TP;I

end

ðp; i; nÞ 8ðp; iÞ 2 SP;I ; n \ N (A28)

i:ði;uÞ2SI;U

h i start

TP;I ðp; i0 ; n þ 1Þ TP;I

end

ðp; i; nÞ H ½1 Xðp; i; nÞ

VI;U ði; u; nÞ I;U ði; uÞ

Fmax end

TI;U ði; u; nÞ start

TI;U ði; u; nÞ

8ðp; iÞ 2 SP;I ; ðp; i0 Þ 2 SP;I ; n \ N; Dn ¼ 1 (A29)

8ði; uÞ 2 SI;U ðA19aÞ

start 0

h i TP;I ðp ; i; n þ 1Þ TP;I

end

ðp; i; nÞ H ½1 Xðp; i; nÞ

I;U ði; uÞ TI;U ði; u; nÞ TI;U ði; u; nÞ VI;U ði; u; nÞ

Fmin 8ðp; iÞ 2 SP;I ; ðp0 ; iÞ 2 SP;I ; p 6¼ p0 ; n \ N

end start

(A30)

8ði; uÞ 2 SI;U (A19b) start

TP;I ðp; i0 ; n þ 1Þ TP;I

end

ðp; i; nÞ þ H½2 Xðp; i; nÞ

VI;U ði; u; nÞ max

VI;U ði; u; nÞ Yði; u; nÞ 8ði; uÞ 2 SI;U Xðp; i0 ; n þ 1Þ

(A20) 8ðp; iÞ 2 SP;I ; ðp; i0 Þ 2 SP;I ; n \ N; Dn ¼ 1 (A31)

X

VI;U ði; u; nÞ ¼ VI;U;C ði; u; c; nÞ 8ði; uÞ 2 SI;U

c:ði;cÞ2SI;C TBstart ðnÞ TP;I

start

ðp; i; nÞ þ H ½1 Xðp; i; nÞ

(A21) 8ðp; iÞ 2 JP; ðp; iÞ 2 SP;I ; n \ N; B > 1 (A32a)

AIChE Journal August 2012 Vol. 58, No. 8 Published on behalf of the AIChE DOI 10.1002/aic 2391

TBend ðnÞ TP;I

start

ðp; i; nÞ H½1 Xðp; i; nÞ TCW ðvÞ CSEA TPend ðpÞ TARR ðpÞ TULD

min

ðvÞ

8ðp; iÞ 2 JP; ðp; iÞ 2 SP;I ; n \ N; B > 1 ðA32bÞ 8ðv; pÞ 2 SLV;P (A42)

start

TI;U ði; u; n þ 1Þ TI;U

end

ði; u; nÞ 8ði; uÞ 2 SI;U ; n \ N P P

VI ði; nÞ þ VI ðiÞ

init

(A33) SSP SS i n

(A43)

Nþ1

start

TP;I ðp; i; n þ 1Þ end

TI;U ði; u; nÞ H ½1 Yði; u; nÞ

8ðp; iÞ 2 SP;I ; ði; uÞ 2 SI;U ; n \ N (A34)

Objective

start

TI;U ði; u0 ; n þ 1Þ end

TI;U ði; u; nÞ H½1 Yði; u; nÞ XXXX

8ði; uÞ 2 SI;U ; ði; u Þ 2 SI;U ; u 6¼ u0 ; n \ N

0

(A35) PROFIT ¼ CPROF ðcÞ VI;U;C ði; u; c; nÞ

i u c n

X XX

TUstart ðu; nÞ TI;U

start

ði; u; nÞ H ½1 Yði; u; nÞ TCW ðvÞ CPEN SSP H CSET zðu; nÞ (A44)

v u n

8ði; uÞ 2 SI;U ; n ðA36aÞ

Hard Bounds

TUstart ðu; nÞ TI;U

start

ði; u; nÞ þ H ½1 Yði; u; nÞ

8ði; uÞ 2 SI;U ; n ðA36bÞ 0 xeðp; nÞ 1 8p; n (A45)

end

ði; u; nÞ H ½1 Yði; u; nÞ 0 zðu; nÞ 1 8u; n (A46)

8ði; uÞ 2 SI;U ; n (A37a) SSP SS (A47)

end

ði; u; nÞ þ H½1 Yði; u; nÞ I;C ði; c; nÞ ¼ 0; EI;C ði; c; nÞ ¼ 1

Emin max

8ði; cÞ 2 SI;C ; n

8ði; uÞ 2 SI;U ; n (A37b) (A48)

start

TI;U ði; u; n þ 1Þ TP;I

end

ðp; i; nÞ þ ST Xðp; i; nÞ VImin ði; nÞ ¼ VImin ðiÞ; VImax ði; nÞ ¼ VImax ðiÞ 8i; n

H ½1 Xðp; i; nÞ 8ðp; iÞ 2 SP;I ; ði; uÞ 2 SI;U ; n \ N (A38) (A49)

X TARR ðpÞ TPstart ðpÞ H 8p (A50a)

VI;C ði; c; nÞ ¼ VI;C ði; c; n 1Þ þ VP;I ðp; i; nÞ EP ðp; cÞ

X

p:ðp;cÞ2SP;C

TARR ðpÞ TPend ðpÞ H 8p (A50b)

VI;U;C ði; u; c; nÞ 8ði; cÞ 2 SI;C ; n > 1 (A39a)

u:ði;uÞ2SI;U

start

TP;I ðp; i; nÞ H; TP;I

end

ðp; i; nÞ H 8ðp; iÞ 2 SP;I ; n

X (A51a;b)

VI;C ði; c; nÞ ¼ VI;C

init

ði; cÞ þ VP;I ðp; i; nÞ EP ðp; cÞ

p:ðp;cÞ2SP;C

X TBstart ðnÞ H; TBend ðnÞ H 8n (A52a;b)

VI;U;C ði; u; c; nÞ 8ði; cÞ 2 SI;C ; n ¼ 1 (A39b)

u:ði;uÞ2SI;U start

TI;U ði; u; nÞ H; TI;U

end

ði; u; nÞ H 8ði; uÞ 2 SI;U ; n

X

TUend ðu; nÞ TUstart ðu; nÞ ¼ H 8u (A40) (A53a;b)

n

zðu; nÞ Yði; u; nÞ Yði; u; n þ 1Þ 8ði; uÞ 2 SI;U ; n \ N TUstart ðu; nÞ H; TUend ðu; nÞ H 8u; n (A54a;b)

(A41a)

(A41b) First, the value of VImax ði; nÞ is given by

8 init P

>

> VI ðiÞ þ VPinit ðpÞ if Dn ¼ 0 and n ¼ 1

>

>

>

>

p:ðp;iÞ2SP;I

>

< VPinit ðpÞþVIinit ðiÞVImax ðiÞ

( )

VI ði; nÞ ¼

max

P 8i (A55)

>

> min VI ðiÞ; VI ðiÞ þ

max init

VP ðpÞ

init

if Dn ¼ 1 and n ¼ 1

>

>

>

>

>

: max

p:ðp;iÞ2SP;I

VI ðiÞ if n > 1

Initialization: Emin max

2392 DOI 10.1002/aic Published on behalf of the AIChE August 2012 Vol. 58, No. 8 AIChE Journal

8 8 9

>

> >

> >

>

>

> >

< >

=

>

> init

ði;cÞ init

ði;cÞ

>

> max V init ðiÞþ

VI;C

P ;

VI;C

if VIinit ðiÞ > 0 and Dn ¼ 0

>

> > VP ðpÞ

init V max ði;nÞ

>

>

> >

>

I I

>

>

< : p:ðp;iÞ2SP;I ; p:ðp;cÞ62SP;C ;

EI;C ði; c; nÞ ¼

min ðpÞþV ðiÞV ðiÞ 8ði; cÞ 2 SI;C ; n ¼ 1

init init max

8 V P I I 9

>

> < =

>

>

> ði;cÞ ði;cÞ

init init

>

> max V init ðiÞþ P

VI;C

;

VI;C

if VIinit ðiÞ > 0 and Dn ¼ 1

>

> : I VPinit ðpÞ VI ði;nÞ;

max

>

>

>

:

p:ðp;iÞ2SP;I ; p:ðp;cÞ62SP;C

0 if VIinit ðiÞ ¼ 0

(A56a)

(

I;C ði;c;n1ÞVI ði;n1Þ

Emin min

if VImax ði; nÞ > 0

I;C ði; c; nÞ ¼

Emin 8ði; cÞ 2 SI;C ; n > 1

VImax ði;nÞ (A56b)

0 if VImax ði; nÞ ¼ 0

8 init

½EI;C ði;cÞ1½VImin ðiÞ

r

>

> þ1 if VImin ðiÞ > 0

>

> ½VI ðiÞþVP ðpÞ

r

>

min init

>

>

init

if VImin ðiÞ ¼ 0 and max VPinit ðpÞ ¼ 0 X

p:ðp;iÞ2SP;I ;p:ðp;cÞ2SP;C

I;C ði; c; nÞ

Emax ¼ 8ði; cÞ 2 SI;C ; n; r ¼ 1

>

> VPinit ðpÞþVIinit ðiÞVImax ði;nÞ

>

> p:ðp;iÞ2SP;I

>

> 1 if VImin ðiÞ ¼ 0 and max VPinit ðpÞ > 0

>

: p:ðp;iÞ2SP;I ;p:ðp;cÞ2SP;C

p:ðp;cÞ2SP;C

(A57)

8 8 init P 9

>

> >

> VI;C ði;cÞþ VPinit ðpÞ >

>

>

> >

> p:ðp;iÞ2SP;I ;p:ðp;cÞ2SP;C >

>

>

> < =

>

> VPinit ðpÞþVIinit ðiÞVImax ði;nÞ

P V init ði;cÞþV max ði;nÞV init ðiÞ

>

> min ; I;C I I

if VIinit ðiÞ > 0

>

> >

> VIinit ðiÞþ VPinit ðpÞ VImax ði;nÞ >

>

>

> >

> ;p:ðp;cÞ2S >

>

>

< : p:ðp;iÞ2S P;I P;C

;

V init ðpÞþV init ðiÞV max ði;nÞ

I;C ði; c; nÞ ¼

P I I

Emax

>

> 1 if VIinit ðiÞ ¼ 0 and max VPinit ðpÞ > 0

>

> p:ðp;iÞ2SP;I ;p:ðp;cÞ2SP;C

>

>

>

> VPinit ðpÞþVIinit ðiÞVImax ði;nÞ

>

>

>

>0 if VIinit ðiÞ ¼ 0 and VPinit ðpÞ ¼ 0

>

> max

>

: p:ðp;iÞ2SP;I ;p:ðp;cÞ2SP;C

VPinit ðpÞþVIinit ðiÞVImax ði;nÞ

8 8 init P 9

>

> < VI;C ði;cÞþ VPinit ðpÞ =

>

> P

p:ðp;iÞ2SP;I ;p:ðp;cÞ2SP;C

init

VI;C ði;cÞþVImax ði;nÞVIinit ðiÞ

>

> min V init ðiÞþ ; if VIinit ðiÞ > 0

>

> : I VPinit ðpÞ VImax ði;nÞ ;

< p:ðp;iÞ2SP;I ;p:ðp;cÞ2SP;C

I;C ði; c; nÞ ¼

Emax

>

> 1 if VIinit ðiÞ ¼ 0 and max VPinit ðpÞ > 0

>

> p:ðp;iÞ2SP;I ;p:ðp;cÞ2SP;C

>

> init

>

> if VIinit ðiÞ ¼ 0 and VP ðpÞ ¼ 0

:0 max

p:ðp;iÞ2SP;I ;p:ðp;cÞ2SP;C

I;C ði; c; nÞ ¼

Emax

8 8 Emax ði;c;n1ÞV min ði;n1Þþ P 9

VPinit ðpÞ

>

> >

> I;C I >

>

>

> >

> p:ðp;iÞ2SP;I ;p:ðp;cÞ2SP;C >

>

>

> >

> >

>

> > ðpÞþV ði;n1ÞV ði;nÞ >

init min max

>

> <

V P P I I

; =

>

> VI ði;n1Þþ

min VP ðpÞ

init

>

> min if VImin ði; n 1Þ > 0

>

> >

>

p:ðp;iÞ2SP;I ;p:ðp;cÞ2SP;C >

>

>

> >

> VPinit ðpÞþVImin ði;n1ÞVImax ði;nÞ >

>

>

< >

> >

>

>

: I;C

E max

ði;c;n1ÞV min

I ði;n1ÞþV max

I ði;nÞV min

I ði;n1Þ >

;

> VI ði;nÞ

max

>

>

>

> if VImin ði; n 1Þ ¼ 0 and VPinit ðpÞ > 0

>

>

1 max

>

> p:ðp;iÞ2SP;I ;p:ðp;cÞ2SP;C

>

> VPinit ðpÞþVImin ði;n1ÞVImax ði;nÞ

>

>

>

>

>

> I;C ði; c; n 1Þ

Emax if VImin ði; n 1Þ ¼ 0 and max VPinit ðpÞ ¼ 0

>

: p:ðp;iÞ2SP;I ;p:ðp;cÞ2SP;C

VPinit ðpÞþVImin ði;n1ÞVImax ði;nÞ

AIChE Journal August 2012 Vol. 58, No. 8 Published on behalf of the AIChE DOI 10.1002/aic 2393

I;C ði; c; nÞ ¼

Emax

8 8 max P 9

>

> >

>

EI;C ði;c;n1ÞVImin ði;n1Þþ VPinit ðpÞ >

>

>

> >

> >

;>

;p:ðp;cÞ2S

>

> < P P;I

p:ðp;iÞ2S P;C

=

>

> V min ði;n1Þþ V init ðpÞ

>

> min I P

if VImin ði; n 1Þ > 0

>

> >

>

p:ðp;iÞ2S P;I ;p:ðp;cÞ2S P;C >

>

< >

> >

>

: Emax

I;C ði;c;n1ÞVI ði;n1ÞþVI

min max

ði;nÞVImin ði;n1Þ ;

> VI ði;nÞ

max

>

>

>

> if VImin ði; n 1Þ ¼ 0 and VPinit ðpÞ > 0

>

>

1 max

>

> p:ðp;iÞ2SP;I ;p:ðp;cÞ2SP;C

>

> init

>

: Emax ði; c; n 1Þ if VImin ði; n 1Þ ¼ 0 and max VP ðpÞ ¼ 0

I;C

p:ðp;iÞ2SP;I ;p:ðp;cÞ2SP;C

max

VP;I ðp; i; nÞ ¼ min VP;I

max

ðp; iÞ H; Vpinit 8ðp; iÞ 2 SP;I ; n

I;C ði; c; nÞ.

ﬁnal Emax

(A60)

max

The value of VP;I ðp; i; nÞ is computed by

min

The values of VI;U ði; u; nÞ and VI;U

max

ði; u; nÞ are given by:

8 min

> VI;U ði; u; nÞ ¼ 0 8n

>

> n o

< max

VI;U ði; u; nÞ ¼ min Fmax

I;U ði; uÞ H; VI VI ði; nÞ; VI

init min max

ðiÞ VImin ðiÞ if n ¼ 1

max 8ði; uÞ 2 SI;U (A61)

>

> FI;U ði; uÞ H; VImax ði; n 1Þ VImin ði; nÞ

>

: VI;U

max

ði; u; nÞ ¼ min if n > 1

VImax ðiÞ VImin ðiÞ

The entire nonconvex MINLP problem denoted as MP is Appendix B: Branch and Bound Global

presented as follows: Optimization Algorithm

s:t: Eqs: A1A43 Piecewise-Linear Underestimators

Eqs: A45A54 and Eqs: A55A61 In the branch and bound global optimization algorithm,

variables EI,C(i,c,n) are uniformly partitioned and the nf4r

The resulting mathematical model MP is a nonconvex formulation30 is used to piecewise-underestimate each of the

MINLP and the sources of nonconvexities are the distinct bilinear terms in the model. The details about nf4r formula-

bilinear terms (i.e., Eqs. A15 and A16) presented as follows: tion can be found in the paper of Gounaris et al.30 and

Misener and Floudas.25

VI;U;C ði; u; c; nÞ ¼ EI;C ði; c; n 1Þ VI;U ði; u; nÞ The relaxation of the bilinear terms (Eqs. A15,A16) using

8ði; uÞ 2 SI;U ; ði; cÞ 2 SI;C ; ði; nÞ 62 SF;I ; n ðA150 Þ the nf4r formulation is given by,

8

> P

GR

>

> V ði; u; c; nÞ E ði; c; n 1Þ V min

ði; u; nÞ þ EI;C ði; c; n 1; gr 1Þ DVI;U ði; u; c; n; grÞ

>

>

I;U;C I;C I;U

>

> gr¼1

>

>

>

> VI;U;C ði; u; c; nÞ EI;C ði; c; n 1Þ VI;U max

ði; u; nÞþ

>

>

>

> n h io

>

> P

GR

>

> E ði; c; n 1; grÞ DV ði; u; c; n; grÞ ðV max

ði; u; nÞ V min

ði; u; nÞÞ k ði; c; n 1; grÞ

< gr¼1 I;C I;U I;U I;U I;C

>

> P

GR

>

> VI;U;C ði; u; c; nÞ EI;C ði; c; n 1Þ VI;U

min

ði; u; nÞ þ EI;C ði; c; n 1; grÞ DVI;U ði; u; c; n; grÞ

>

>

>

> gr¼1

>

>

>

> VI;U;C ði; u; c; nÞ EI;C ði; c; n 1Þ VI;U

max

ði; u; nÞþ

>

>

>

> n h io

>

> P

GR

>

: EI;C ði; c; n 1; gr 1Þ DVI;U ði; u; c; n; grÞ ðVI;Umax

ði; u; nÞ VI;U

min

ði; u; nÞÞ kI;C ði; c; n 1; grÞ

gr¼1

2394 DOI 10.1002/aic Published on behalf of the AIChE August 2012 Vol. 58, No. 8 AIChE Journal

8

> P

GR

>

> VI;C ði; c; nÞ EI;C ði; c; nÞ VImin ði; nÞ þ EI;C ði; c; n; gr 1Þ DVI ði; c; n; grÞ

>

>

>

> gr¼1

>

> VI;C ði; c; nÞ EI;C ði; c; nÞ VImax ði; nÞþ

>

>

>

> GR

P

>

>

>

< EI;C ði; c; n; grÞ DVI ði; c; n; grÞ ðVImax ði; nÞ VImin ði; nÞÞ kI;C ði; c; n; grÞ

gr¼1

8ði; cÞ 2 SI;C ; n (B2)

>

> P

GR

>

> VI;C ði; c; nÞ EI;C ði; c; nÞ VImin ði; nÞ þ EI;C ði; c; n; grÞ DVI ði; c; n; grÞ

>

>

>

> gr¼1

>

> VI;C ði; c; nÞ EI;C ði; c; nÞ VImax ði; nÞþ

>

>

>

> GR

P

>

> EI;C ði; c; n; gr 1Þ DVI ði; c; n; grÞ ðVImax ði; nÞ VImin ði; nÞÞ kI;C ði; c; n; grÞ

:

gr¼1

When the number of grid points is equal to 2, the nf4r formulation is reduced to McCormick convex and concave envelopes

as follows,

VI;U;C ði; u; c; nÞ

8

>

> EI;C ði; c; n 1Þ VI;U

min

ði; u; nÞ þ Emin

I;C ði; c; n 1Þ VI;U ði; u; nÞ EI;C ði; c; n 1Þ VI;U ði; u; nÞ

min min

>

>

< E ði; c; n 1Þ V min ði; u; nÞ þ Emax ði; c; n 1Þ V ði; u; nÞ Emax ði; c; n 1Þ V min ði; u; nÞ

I;C I;U I;C I;U I;C I;U

8ði; uÞ 2 SI;U ; ði; cÞ 2 SI;C ; n

>

> EI;C ði; c; n 1Þ VI;U ði; u; nÞ þ EI;C ði; c; n 1Þ VI;U ði; u; nÞ EI;C ði; c; n 1Þ VI;U ði; u; nÞ

max min min max

>

>

:

EI;C ði; c; n 1Þ VI;U

max

ði; u; nÞ þ Emax

I;C ði; c; n 1Þ VI;U ði; u; nÞ EI;C ði; c; n 1Þ VI;U ði; u; nÞ

max max

(B3)

8

>

> EI;C ði; c; nÞ VImin ði; nÞ þ Emin

I;C ði; c; nÞ VI ði; nÞ EI;C ði; c; nÞ VI ði; nÞ

min min

>

>

< E ði; c; nÞ V min ði; nÞ þ Emax ði; c; nÞ V ði; nÞ Emax ði; c; nÞ V min ði; nÞ

I;C I I;C I I;C I

VI;C ði; c; nÞ 8ði; cÞ 2 SI;C ; n (B4)

>

> E ði; c; nÞ V max

ði; nÞ þ E min

ði; c; nÞ V ði; nÞ E min

ði; c; nÞ V max

ði; nÞ

>

>

I;C I I;C I I;C I

:

EI;C ði; c; nÞ VImax ði; nÞ þ Emax

I;C ði; c; nÞ V I ði; nÞ E max

I;C ði; c; nÞ V I

max

ði; nÞ

The piecewise-linear relaxation of problem MP (see branching and branching on VI(i,n) where (i, n) contributes

Appendix A) is denoted as problem (RMP) and deﬁned as to the greatest discrepancy between the auxiliary and origi-

follows, nal problem variables:

8 9

ðRMPÞ Min PROFIT < X =

s:t: Eqs: A1A14; A17A43; and max V^I;C ði; c; nÞ E^I;C ði; c; nÞ V^I ði; nÞ 8i; n

B1B2 or B3B4 i;n :c:ði;cÞ2S ;

I;C

Eqs: A45A54 and Eqs: A55A61

(B5)

where, (V^I , V^I;C , and E^I;C ) are the optimal solutions gener-

Branching Strategy ated from the piecewise-linear relaxation for a given node.

After solving a relaxation of each node using the piece- The branching point on VI(i,n) is 10% away from its optimal

wise-linear underestimator, the variable VI(i,n) is selected for solution:

8

^ if 1:1 V^I ði; nÞ\ 12 VImin ði; nÞ þ VImax ði; nÞ

branching < 1:1 VI ði; nÞ

>

VIpoint ði; nÞ ¼ 0:9 V^I ði; nÞ if 0:9 V^I ði; nÞ > 1 V min ði; nÞ þ V max ði; nÞ (B6)

>

: 1 min 2 I I

2 VI ði; nÞ þ VI ði; nÞ

max

otherwise

Solution Improvement Strategy discrepancy. Then, the binary variables from solution S1 is

34

The reﬁnement strategy from Li et al. is used to improve ﬁxed to get a NLP. This alternating series of MILP and NLP

the quality of each solution from Pool-2. Let S denote any continues, until the solutions of successive NLPs converge.

solution from Pool-2. First, the compositions of tanks from S All improved solutions for Pool-2 form another solution pool

are extracted and ﬁxed in the MINLP to get an MILP. A so- (denoted as Pool-3). The best solution in Pool-3 is selected

lution S1 to this MILP is a schedule with no composition as the ﬁnal UB.

AIChE Journal August 2012 Vol. 58, No. 8 Published on behalf of the AIChE DOI 10.1002/aic 2395

Optimality-Based Tightening Lower and Upper Bounds Additional Strategy

The lower and UBs for variables EI,C(i,c,n), VI(i,n), and When solving an MILP relaxation using the piecewise-lin-

VI,U(i,u,n) can be further tighten by solving LP minimization ear underestimators at each node, the relative convergence of

and maximization problems with Eqs. A1–A44 and McCor- this MILP relaxation is adjusted based on the difference

mick convex and concave envelopes (i.e., Eqs. B3 and B4) between the best lower and UBs in the tree. It is required to

to relax the bilinear terms (i.e., Eqs. A15 and A16). The be less than some ratio denoted as c (e.g., 0.05) of the cur-

minimization and maximization problems can be stated as rent relative gap between the LB and UB bounds. In other

follows words,

UB LB

s:t: Eqs: A1A14; and A17A43; Relative Gap ¼ c (B7)

A45A54; A55A61; and B3B4 LB

0 Xðp; i; nÞ; Yði; u; nÞ 1

ðMPUÞ Max z obbt Note that as the MILP relaxation at each node may not be

s:t: Eqs: A1A14; and A17A43; A45A54; solved to optimality, the ‘‘best estimate’’ is always considered

A55A61; and B3B4 as the results of each node in the branch and bound tree.

0 Xðp; i; nÞ; Yði; u; nÞ 1

where z_obbt becomes VI(i,n), EI,C(i,c,n), and VI,U(i,u,n),

respectively, to update VImin ði; nÞ; Emin I;C ði; c; nÞ VI

max

ði; nÞ; Manuscript received Apr. 18, 2011, revision received July 19, 2011, and ﬁnal

EI;C ði; c; nÞ; and VI;U ði; u; nÞ accordingly.

max max

revision received Sept. 9, 2011.

2396 DOI 10.1002/aic Published on behalf of the AIChE August 2012 Vol. 58, No. 8 AIChE Journal

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