Practical Chemical Process Optimization Book

Springer Optimization and Its Applications 197
Ioannis K. Kookos
Practical
Chemical Process
Optimization
With MATLAB® and GAMS®
Springer Optimization and Its Applications
Volume 197
Series Editors
Panos M. Pardalos , University of Florida
My T. Thai , University of Florida
Honorary Editor
Ding-Zhu Du, University of Texas at Dallas
Advisory Editors
Roman V. Belavkin, Middlesex University
John R. Birge, University of Chicago
Sergiy Butenko, Texas A&M University
Vipin Kumar, University of Minnesota
Anna Nagurney, University of Massachusetts Amherst
Jun Pei, Hefei University of Technology
Oleg Prokopyev, University of Pittsburgh
Steffen Rebennack, Karlsruhe Institute of Technology
Mauricio Resende, Amazon (United States)
Tamás Terlaky, Lehigh University
Van Vu, Yale University
Michael N. Vrahatis, University of Patras
Guoliang Xue, Arizona State University
Yinyu Ye, Stanford University
Aims and Scope
Optimization has continued to expand in all directions at an astonishing rate.
New algorithmic and theoretical techniques are continually developing and the
diffusion into other disciplines is proceeding at a rapid pace, with a spot light
on machine learning, artificial intelligence, and quantum computing. Our
knowledge of all aspects of the field has grown even more profound. At the
same time, one of the most striking trends in optimization is the constantly
increasing emphasis on the interdisciplinary nature of the field. Optimization
has been a basic tool in areas not limited to applied mathematics, engineering,
medicine, economics, computer science, operations research, and other
sciences.
The series Springer Optimization and Its Applications (SOIA) aims to

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Ioannis K. Kookos
Practical Chemical Process

Optimization
With MATLAB® and GAMS®
Ioannis K. Kookos
Department of Chemical Engineering
University of Patras
Patras, Greece
ISSN 1931-6828 ISSN 1931-6836 (electronic)

Springer Optimization and Its Applications
ISBN 978-3-031-11297-3 ISBN 978-3-031-11298-0 (eBook)
https://doi.org/10.1007/978-3-031-11298-0
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To my beloved children
Kostas and Georgia
for the happiness you have offered
to me by simply watching you grow!
Preface
This course book on chemical process optimization offers an undergraduate

introduction to the systematic optimization of chemical processing systems.
The aim of this book is to provide readers with a practical introduction to the
terms, concepts, algorithms, and application of the optimization theory to
systems that are of interest to chemical and bio-chemical engineering practice.
Optimization theory is a vast subject with many excellent books available.
However, the level of the mathematics involved makes the subject difficult
for the average chemical engineering student while most examples involve
purely mathematical problems.
After working in the field of process synthesis and optimization for almost
30 years, the author of the book has discovered that, although an understand-
ing of the mathematical proofs is beneficial, it is of little (if any) help when it
comes down to solving practical, engineering problems. It is particularly
unlikely that a chemical engineer will develop algorithms for solving optimi-
zation problems in their professional life. As a result, there is limited potential
in devoting a whole course on the mathematical properties and proofs related
to the several classes of optimization problems. Having said that, it is also
important to stress that chemical engineers must have a basic understanding of
the philosophy and the limitations of the existing solution algorithms. They
must be able to anticipate when a specific formulation will be easy to solve and
must be able to comment on the results and “read” correctly the solution
obtained using commercial software. Readers who are keen in developing
their own algorithms can use this book as a “gentle” or “informal” introduction
to optimization theory or as a source of interesting case studies.
The book is organized in seven chapters. The first chapter introduces the
general form of optimization problems and then concentrates on single-
variable, unconstrained optimization problems. Chapter 2 presents the gener-
alization of the theory presented in Chap. 1 to the case of multivariable
unconstrained optimization. Chapter 3 introduces the constrained, nonlinear
optimization with both equality and inequality constraints. Chapter 4 presents
the simplex methodology for solving linear programming problems. Chapter 5
vii
viii Preface
introduces the modeling of decisions and logical conditions which gives rise to
mixed-integer programming problems and introduces the Branch and Bound
algorithm for solving complex problems. In Chap. 6, the GAMS® software is
introduced through some interesting recreational applications. Chapter 7
includes several classical and interesting case studies from chemical and
bio-chemical engineering.
The book is based heavily on the use of MATLAB® (www.mathworks.com)
for solving the case studies presented in Chaps. 1, 2, 3, 4, and 5 and MATLAB
Optimization ToolboxTM is introduced from the very first chapter of the book.
Appendix A offers a gentle and short introduction to MATLAB. Although
MATLAB’s built-in optimization routines have been developed over the
years, they are not as efficient as most of the specialized solvers available
from other sources. To solve the more demanding case studies in Chaps. 6 and
7, use is made of GAMS software (www.gams.com).
Patras, Greece Ioannis K. Kookos

Contents
1 Preliminary Concepts and Definitions . . . . . . . . . . . . . . . . . . . . . . . . 1

1.1 An Introductory Example . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
1.2 Commonly Encountered Problems in Optimization . . . . . . . . . . . 4
1.3 Optimization of Functions of a Single Variable . . . . . . . . . . . . . . 5
1.4 Convex Functions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11
1.5 Applications . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13
1.6 The Numerical Solution of Single Variable Optimization
Problems: Newton’s Method . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30
Learning Summary . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36
Terms and Concepts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38
Problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38
2 Multidimensional Unconstrained Optimization . . . . . . . . . . . . . . . 53
2.1 From Single Variable to Multivariable Optimization . . . . . . . . . . 53
2.2 Algorithms for Multivariable Unconstrained Optimization . . . . . 62
2.3 Application Examples . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 71
2.4 Parameter Estimation: Nonlinear Least Squares . . . . . . . . . . . . . 84
Problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 93
3 Constrained Optimization . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 101
3.1 Introduction to Constrained Optimization . . . . . . . . . . . . . . . . . . 101
3.2 Equality Constrained Problems . . . . . . . . . . . . . . . . . . . . . . . . . . . 102
3.4 Inequality Constrained Problems . . . . . . . . . . . . . . . . . . . . . . . . . . 114
3.5 General Nonlinear Programming Problems . . . . . . . . . . . . . . . . . 121
3.6 Numerical Solution of Nonlinear Programming
Problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 124
ix
x Contents

Problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 157
4 Linear Programming . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 165
4.1 Introduction to Linear Programming . . . . . . . . . . . . . . . . . . . . . . 165
4.2 Examples of LP Formulations from the Chemical
Industry . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 166
4.3 Graphical Solution of Linear Programming Problems . . . . . . . . . 172
4.4 The Simplex Method: Basic Definitions and Steps . . . . . . . . . . . . 176
4.5 Solving LP Problems in MATLAB® . . . . . . . . . . . . . . . . . . . . . . . . . 182
4.6 Classical LP Formulations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 187
4.7 Interior Point Methods for Solving LP Problems . . . . . . . . . . . . . 210
Problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 214
5 Integer and Mixed Integer Programming Problems . . . . . . . . . . . . 219
5.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 219
5.2 Examples of Integer Programming Formulations . . . . . . . . . . . . 219
5.3 Solving Integer Programming Problems Using
the Branch and Bound Method . . . . . . . . . . . . . . . . . . . . . . . . . . . 238
5.4 Solving MILP Problems in MATLAB® . . . . . . . . . . . . . . . . . . . . . . 248
5.5 Solving MINLP Problems Using the B&B and Outer
Approximation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 251
Problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 265
6 Solving Optimization Problems in GAMS® . . . . . . . . . . . . . . . . . . . . 273
6.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 273
6.2 Elements of a GAMS® Model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 274
6.3 Two Recreational Problems Solved in GAMS® . . . . . . . . . . . . . . . 289
Problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 302
7 Representative Optimization Problems in Chemical
Engineering Solved in GAMS1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 307
7.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 307
7.2 Optimization of a Multiple-Effect Evaporation System . . . . . . . . 307
7.3 Complex Chemical Reaction Equilibrium . . . . . . . . . . . . . . . . . . . 313
7.4 Optimal Design of a Methanol-Water Distillation
Column . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 317
7.5 A Representative Optimal Control Problem . . . . . . . . . . . . . . . . . 325
Contents xi
7.6 Optimal Design of a Renewable Energy

Production System . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 339
7.7 Metabolic Flux Analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 355
7.8 Optimal Design of Proportional-Integral-Derivative
(PID) Controllers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 362
7.9 The Control Structure Selection Problem . . . . . . . . . . . . . . . . . . . 385
Problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 390
Appendix A: Introduction to MATLAB® . . . . . . . . . . . . . . . . . . . . . . . . . . 395

Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 395
Controlling the Flow . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 411
Vectorization . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 416
Basic Numerical Calculations in MATLAB® . . . . . . . . . . . . . . . . . . . . . . 418
Literature and Notes for Further Study . . . . . . . . . . . . . . . . . . . . . . . . . . 431
Index . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 435
Chapter 1
Preliminary Concepts and Definitions
1.1 An Introductory Example
Consider the situation where you have been asked to design a vertical, cylin-
drical storage tank with torispherical heads (see Fig. 1.1). The only information
that you have been provided with is the operating pressure of the tank (from
which you can deduce the thickness of the shell) and the volume of the tank.
The question is how to proceed and present a practical solution to this
seemingly simple problem. The first thing to realize is that the problem at
hand has two degrees of freedom which are the tank diameter d and the tank
height h. The meaning is that once you specify the diameter and the height of
the tank, then the design is practically finished. Any combination of d and h that
satisfy the volume constraint:

πd2
h=V ð1:1Þ
4
is a feasible solution to the problem. However, there are an infinite number of

combinations between d and h that satisfy the constraint on the capacity of
the tank. Which one should we select? Clearly to take a decision, we need a
performance criterion.
A performance criterion can be used to evaluate alternative solutions, and
based on this property of the performance criterion, we can compare and rank
alternative solutions. Furthermore, we can develop a solution strategy to locate
the best possible solution. So, the problem comes down to selecting a criterion
of performance.
Cost is of paramount importance when building or operating a chemical
plant. Let us assume that we have decided to design the tank that is cheaper to
construct (storage tanks normally do not have operating costs involved). The
© The Author(s), under exclusive license to Springer Nature Switzerland 1

AG 2022
I. K. Kookos, Practical Chemical Process Optimization, Springer Optimization
and Its Applications 197, https://doi.org/10.1007/978-3-031-11298-0_1
2 1 Preliminary Concepts and Definitions
Fig. 1.1 A vertical,

cylindrical storage tank
h
d
purchase cost of chemical process equipment can usually be expressed through

the following well-known formula:
n
C w
= ð1:2Þ
C0 w0
where C is the purchase cost of our equipment, C0 is the cost of equipment of

the same type (including design, material of construction, and operating con-
ditions) but of different size, and w is the characteristic size of the particular
equipment which affects the cost (such as the heat transfer area for heat
exchangers, the weight for pressure vessels, the volume for storage tanks,
etc.). w0 and C0 refer to a particular case for which we know the characteristic
size of the equipment (w0) and the cost (C0). n obtains values which are close to
0.6 in most cases.
By getting the advise of any undergraduate book on chemical process
design, we quickly find out that the characteristic size of storage tanks is the
mass (or the weight) of the tank. We therefore have to express the mass of the
tank as a function of the two degrees of freedom. The mass is simply the
volume of the metal used times its density. So we need to determine the
volume of the metal. The volume is the surface area multiplied by the thickness
t. The mass of the cylindrical part is:
wcylinrical = area × thickness × density = ðπd hÞ × t × ρM ð1:3Þ
where ρM is the density of the metal used to construct the tank. For each head
we similarly have that:

πd2
whead = area × thickness × density = a × K × t × ρM ð1:4Þ
4
1.1 An Introductory Example 3
where a is the ratio between the area of the torispherical dished (ASME) end
sections of the tank and the cross-sectional area of the cylindrical part of the
tank (a circle with diameter d, in which case a ≈ 1.124). K is the ratio between
the thickness of the end sections and the cylindrical part of the tank (which, for
dished heads, is approximately equal to 1.77). We therefore observe that
aK ≈ 2. The overall mass of the tank is therefore:
2
πd
w = πdhtρM þ 2αK tρM
4
or:

w = π dh þ d2 tρM ð1:5Þ
We may at this point summarize what we have found so far in a mathemat-

ical way as follows:
n
w
minimize over d,h,w C 0
w0
subject to ð1:6Þ

w = π dh þ d2 tρM
2
πd
V= h
4
0≤d
0≤h
We ask the question whether we know how to solve the mathematical

problem (1.6) that summarizes, in a compact way, our physical problem. The
answer is most probably negative (you need to study this book before you can
give a positive answer).
We can express the problem in a more general, abstract (mathematical)
form. We first observe that there are three variables appearing in our
formulation: d, h, and w. We can arrange them as the elements of a vector,
say vector x:
2 3 2 3
x1 d
6 7 6 7
x = 4 x2 5 = 4 h 5 ð1:7Þ
x3 w
We can proceed further and define the following functions of x:
C0 n
f ðxÞ : R3 ° R, f ðxÞ = x ð1:8Þ
wn0 3

h1 ðxÞ : R3 ° R, h1 ðxÞ = x3 - π x1 x2 þ x21 tρM ð1:9Þ
π 2
h2 ðxÞ : R3 ° R, h2 ðxÞ = V - x x ð1:10Þ
4 1 2
g1 ðxÞ : R3 ° R, g1 ðxÞ = - x1 ð1:11Þ
g2 ðxÞ : R3 ° R, g2 ðxÞ = - x2 ð1:12Þ
these are the equality and inequality constraints of the problem. Then we may
write (1.6) as:
C0 n
min x
x wn0 3
s:t: ð1:13Þ

h1 ðxÞ = x3 - π x1 x2 þ x21 tρM = 0
h2 ðxÞ = 4V - πx21 x2 = 0
g 1 ðx Þ = - x 1 ≤ 0
g 2 ðx Þ = - x 2 ≤ 0
or, to use the standard notation in mathematical programming and process

optimization:
min f ðxÞ
x
s:t: ð1:14Þ
hðxÞ = 0
gðx Þ ≤ 0
where h = [h1 h2]T and g = [g1 g2]T. This is the general form of a nonlinear
programming problem or simply NLP.
1.2 Commonly Encountered Problems in Optimization
When all functions appearing in (1.14) are linear, i.e., a constant times a
variable, then one obtains the following problem:
min c T x
x
s:t: ð1:15Þ
Ax - b = 0
Bx - d ≤ 0
0≤x
1.3 Optimization of Functions of a Single Variable 5
where c, b, and d are constant vectors and A and B are constant matrices.
Formulation (1.15) is known as a linear programming problem (or simply LP)
and is the class of optimization problems for which we do have today very
efficient algorithms to attack. The requirement for the vector x to have only
non-negative elements is traditional to the formulation of the LP problems. A
related problem is that of the quadratic programming problem in which the
objective function is quadratic:
1
min c T x þ xT Qx
x 2
s:t: ð1:16Þ
Ax - b = 0
Bx - d ≤ 0
0≤x
where Q is a constant matrix. When we do not have inequality constraints, we

end up with an equality constrained problem, while when we do not have
equality constraints, we end up with an inequality constrained problem. When
we only have bound constraints on x, then we have a bound constrained
problem. When we do not have any constraints at all, we end up with an
unconstrained optimization problem:
min f ðxÞ ð1:17Þ

x
In the general case, x 2 Rn and f:Rn → R. In the simplest possible case, x is scalar,
i.e., x 2 R and f:R → R (i.e., f is a real valued function of a single variable).

x2R
We will start from the study of problem (1.18), which you most probably have
seen already, and then move backward to finally discuss problem (1.14).
1.3 Optimization of Functions of a Single Variable
We start our journey with the simplest possible problem in optimization, i.e.,
the minimization of a real valued function of a single variable:

x2R
We will make use of the definition of the stationary point and the Taylor’s
approximation of a function around a point. We need to remind ourselves these
definitions. A stationary point of f(x) (a terminology that was borrowed from

mechanics) is any point x0 for which:

df
=0 ð1:20Þ
dxx0
If f(x) has continuous partial derivatives of all orders, then the value of f(x)
around x (at a distance δ from x) is given by the following Taylor series:

df 1 d2 f 2
f ðx þ δ Þ = f ðx Þ þ δ þ 2 δ þ o jδj2 ð1:21Þ
dx x 2 dx x
where the o(|δ|2) is the remainder and denotes that o(ζ) approaches zero faster
than ζ as ζ approaches zero, i.e., |o(ζ)|/ζ → 0 as ζ → 0. Starting from (1.21), we
can define the following linear and quadratic approximations of f(x) which are
more accurate when |δ| → 0:

df
f ðx þ δÞ = f ðxÞ þ δ ð1:22aÞ
dx x

df 1 d2 f 2
f ðx þ δÞ = f ðxÞ þ δ þ δ ð1:22bÞ
dx x 2 dx2 x
We now come to the definition of the minimum: we consider a function

f:S → R. We give the following definitions:
• f has a local minimum value at a point x0 if f(x) ≥ f(x0) for all x ≠ x0 lying in an
open interval around x0.
• f has a strict local minimum value at a point x0 if f(x) > f(x0) for all x ≠ x0 lying
in an open interval around x0.
If the conditions f(x) ≥ f(x0) and f(x) > f(x0) hold for all x ≠ x0 in S, then x0 is
called a global minimum and a strict global minimum, correspondingly. In what
follows, we will be using the idea of the local minimum to denote the “mini-
mum” of a function. The distinction between local and global minimum,
although important from the theoretical point of view, is of little practical
importance as determining a local minimum is the best we can achieve in
practice in realistic problems.
Let’s now assume that f(x) has a local minimum at x0. Then the situation will
be similar (at least locally) to the situation shown in Fig. 1.2. For all x close to x0
with x < x0, f(x) > f(x0), and f(x) is decreasing. When f(x) is decreasing, its
derivative is negative (to the left of x0). For all x close to x0 with x > x0,
f(x) > f(x0), and f(x) is increasing. When f(x) is increasing, its derivative is
positive (to the right of x0). It then follows that the derivative must be zero at
x0, but this is only a necessary condition. However, we can conclude from
Fig. 1.2 f(x) around a

local minimum
(1.22b) that when the first derivative is zero, the local behavior of f(x) can be
determined from its second derivative.
More specifically, the second derivative has to be positive for f(x) to increase
as we move away from x0 and negative for f(x) to decrease as we move away
from x0. The following are sufficient conditions, i.e., conditions that guarantee
that x0 is a local minimizer:

df d2 f
1: If = 0 & > 0,then x0 is a strict local minimum: ð1:23aÞ
dxx0 dx2 x0

df d2 f
2: If = 0 & 2 < 0,then x0 is a strict local maximum: ð1:23bÞ
dxx0 dx x0

df d2 f
3: If = 0 & 2 = 0, then the criterion fails: ð1:23cÞ
dxx0 dx x0
In case 3, x0 can be a local minimum, a local maximum, or a saddle point.

Consider, for instance, the functions f1 = x3, f2 = x4, and f3 = -x4. At x0 = 0, we
have that the first and second derivatives are equal to zero in all cases.
However, f1 has a saddle point at x = x0, and f2 has a minimum at x = x0, but
f3 has a maximum at x = x0. Based on these three functions, we may also
demonstrate why the requirement that the second derivative is non-negative is
only a necessary (but not sufficient) condition for optimality. As the criterion
fails, we need to rely on the higher-order derivatives or on the study of the first
derivative around x0 (the derivative needs to change sign for an extremum to
exist). The good news is that when the second derivative is positive at the
stationary point x0, then we can conclude our investigation (i.e., we only need
to examine the second derivative at a single point and not in a region).
Let’s now return to our introductory example of the storage tank. We may
transform our problem to an unconstrained problem by first using (1.1) to
eliminate h from (1.5):

1 4V
w=π þ d2 tρM ð1:24Þ
d π
and finally substitute w into (1.2) to obtain:

h in n
C 4V 1 1
min f ðdÞ = 0n ðπtρM Þn þ d2 = a β þ d2 ð1:25Þ
d w0 π d d
where a = C 0 ðπtρM Þn =wn0 and β = 4 V/π are constants. We note that we can
proceed and search for the minimum without any information regarding the
particular value of the constant a appearing in our model. We will therefore
n
search for the optimal value of the function f ðdÞ = f ðadÞ = dβ þ d2 . We will use
MATLAB® to plot the function before getting into the algebra. We will first
evaluate the value of the function for a single value of the tank diameter, and to
simplify the algebra, we select V = π/4 (or β = 1):
>> clear % remove all variables from the workspace

>> beta=1; % assign a value to beta
>> n=0.6; % assign a value to n
>> d=1; % select a value for the diameter
>> f=(beta/d+d^2)^n % calculate f from Eq(1.25)
f = 1.5157
We see how easy it is to perform all the calculations in MATLAB. However,

calculating the performance criterion or objective function f for a single value of
the diameter is not very informative. Let’s repeat the calculation with more
values assigned to d (it is reminded that the dot symbol . used before the
division and before raising to a power denotes that the intended calculation is
performed on an element by element basis):
>> d=[0.1; 1; 5]; % select more value for the diameter

>> f=(beta./d+d.^2).^n; % calculate f from Eq(1.25)
>> f
f = 3.9835
1.5157
3.8196
We now see that the cost function depends strongly on the value of the
diameter. To investigate the complete variation of the objective function, we
may plot the function for several values of d in the interval [0.1, 3] and observe
the results:
>> d=linspace(0.1,3,101); % select 101 values uniformly

distributed
>> f=(beta./d+d.^2).^n;
>> plot(d,f) % plot the results
>> xlabel('Diameter (d)')
>> ylabel('Objective function f')
>> grid on
>> axis([0 3 1 4])
The results are presented in Fig. 1.3. Clearly the objective function has a
minimum in the interval 0.1 < d < 3. To find the minimum analytically, we set
x = d and apply (1.2):
Fig. 1.3 Objective function as a function of the tank diameter (β = 1)

n n - 1 h i
df d 1 1 d 1
= β þ x2 = n β þ x2 β þ x2
dx dx x x dx x
or:
n - 1
df 1 1
= n β þ x2 2x - β 2 = 0 ð1:26Þ
dx x x
MATLAB can also be used to determine the first derivative:
>> clear
>> syms d n beta f; % define the symbolic variables d,n,β & f
>> f=(beta/d+d^2)^n; % give function
>> diff(f,d) % calculate first derivative
ans =
n*(2*d - beta/d^2)*(beta/d + d^2)^(n - 1)
Going back to solving the equation, we note that as d must always be

positive, it follows that the first parenthesis in Eq. (1.26) is always positive.
Then the expression in the second parenthesis in (1.26) must be zero, and it
follows that:
p ffiffiffiffiffi
x=d= 3
β=2 = 0:7937 ð1:27Þ
To rest our case, we need to determine the second derivative and to show that
it is indeed positive:
n - 1 n - 1
d df 1 d 1 1 d 1
= n β þ x2 2x - β 2 þ n 2x - β 2 β þ x2
dx dx x dx x x dx x
or:
n - 1 n - 2
d2 f 1 1 1 2 1
= n β þ x 2
2 þ 2β þ n ð n - 1 Þ 2x - β β þ x 2
dx2 x x3 x2 x
and, as the second term in the right hand side is zero, we finally obtain:
n - 1
d2 f 1 1
= n β þ x 2
2 þ 2β ð1:28Þ
dx2 x x3
1.4 Convex Functions 11
We can easily conclude that the second derivative is always positive if d is

positive. The second (as well as any other derivative) of the function can also
be calculated in MATLAB:
>> diff(f,d,n) % calculate n-th derivative
We have, therefore, located analytically the minimum that is shown in

Fig. 1.3, and we have derived an analytical expression for the minimum. But
we are not finished yet as we need to derive an expression for the height of the
tank. To this end, we go back to Eq. (1.1) and substitute the optimal value of d:
p ffiffiffiffiffiffi
h= 3
4β ð1:29Þ
We can also determine the ratio of the height to the diameter:

p 3
ffiffiffiffiffiffi
h 4β
=p ffiffiffiffiffiffiffiffi =2 ð1:30Þ
d 3
β=2
1.4 Convex Functions
We have so far discussed the existence and the calculation of the local minima
of functions of a single variable. We need to emphasize the fact that the
conditions for locating a minimum are only valid locally (in a region around a
local minimum) and not global properties. This is depicted in Fig. 1.4 where a
case of two local minima in S, x1 and x2, is shown. x2, as can be seen by
inspection, is also the global minimum in S. There is, however, a case in
which a local minimum can be proven to be the global minimum, i.e.,
f(x0) < f(x) for every x in S. This can be guaranteed if f(x) is a convex function.
Fig. 1.4 A case with two

local minima (x1 & x2) – x2
is also the global minimum
Fig. 1.5 The definition of

a convex or concave
upward function of a real
variable
We start by presenting the definition of convexity for functions of a single

variable and then present a method for checking whether a function is convex
or not. We furthermore present a property of convex functions which is proven
to be of particular importance in the chapters that follow.
A real-valued function defined on an interval S is called convex (or concave
upward) if the line segment between any two points on the graph of the
function (say (x1, f(x1)) and (x2, f(x2))) lies above or on the graph as shown in
Fig. 1.5, or:
8x1 , x2 &t 2 ½0, 1,f ðtx1 þ ð1 - t Þx2 Þ ≤ tf ðx1 Þ þ ð1 - t Þf ðx2 Þ ð1:31Þ
A differentiable function of one variable is convex on an interval around x0 if its

graph lies above all of its tangents, which has the following mathematical
interpretation:

df
f ðxÞ ≥ f ðx0 Þ þ ðx - x 0 Þ ð1:32Þ
dxx0
By comparing (1.32) with (1.22), it is easy to derive the local criterion for
convexity:

d2 f
≥0 ð1:33Þ
dx2 x0
If (1.33) holds for all x in S (as it does for f(x) = x2), then the function is convex
everywhere, and any local minima is also the global minimum.
Examples of convex functions are the following:
• eax, for any a > 0
• e f(x), if f(x) is convex
• xn, for n < 0 or n > 1, for positive x
• ax + b, for any a and b
1.5 Applications 13
Fig. 1.6 Structure of a

crystalline solid (known as
face-centered cubic
structure or FCC)
Proving that a function of a single variable is convex is usually done using

(1.33). Despite the remarkable properties of convex functions, real problems
are almost never convex, and convexity boils down to be a mathematical
concept with little, if any, use in real problems (apart from the case of LP and
QP problems).
1.5 Applications
Example 1.1 Calculations in Crystalline Solids

An impressive application of optimization theory in materials science is that of
energy calculations in crystalline solids. A crystalline solid is a solid in which
the atoms bond with each other in a regular pattern to form a periodic
collection of atoms. In Fig. 1.6, the structure of the copper crystal is shown
which is known to have a face-centered cubic (FCC) structure. The potential
energy E per atom in a crystalline solid, as a function of the interatomic
distance r, can be described by the following general equation:
A B
E ðr Þ = - þ ð1:34Þ
rn rm
where A and n are constants associated with the attractive forces developed,
while B and m are constants associated with the repulsive forces. It is reminded
that the force developed between the atoms is calculated with principles of
classical mechanics and is the negative of the derivative of the potential energy:
dE ðr Þ
F ðr Þ = - ð1:35Þ
dr
The interatomic distance at equilibrium is determined by the minimization of

the potential energy which, according to (1.20) and (1.35), corresponds to zero
net force between the atoms in the structure.
A particular example is that of Ne, which below 24.5 K is a crystalline solid
with FCC structure (Kasap, S.O., Principles of Electronic Materials and Devices,
4th ed., McGraw Hill). Kasap proposes the following model for the (per atom)
interatomic potential:
h n m i
σ σ
E ðr Þ = - 2ε A -B ð1:36Þ
r r
with n = 6, m = 12, A = 14.45, B = 12.13, σ = 0.274 nm, and ε = 0.003121 eV

(this is actually a general model first proposed in 1924 by John Lennard-Jones
known as LJ-12-6 potential). E(r) is expressed in eV/atom.
We will now show how we can calculate the equilibrium interatomic sepa-
ration in the Ne crystal and how to estimate the bonding energy per atom in
solid Ne. We will also calculate the density of solid Ne (atomic mass = 20.18).
We first use MATLAB to plot the potential:
clear
A=14.45;
B=12.13;
e=0.003121; % eV
sigma=0.274; % nm
r=linspace(0,3*sigma,1001);
E=-2*e*(A*(sigma./r).^6-B*(sigma./r).^12);
plot(r/sigma,E/(2*e),'LineWidth',1)
axis([0.9 3 -5 1])
grid on
xlabel('Intermolecular separation (r/\sigma)')
ylabel('potential (E/2\epsilon)')
1.5 Applications 15
Fig. 1.7 Interatomic potential as a function of separation
The results are presented in Fig. 1.7, from which we immediately observe
the existence of a minimum in potential energy. To derive the analytic expres-
sions, we calculate the first and second derivative:
dE ðr Þ
d σ n d σ m
= - 2ε A -B
dr dr r dr r
h m - 1 i d σ
σ n-1
= - 2ε nA r - mB σr
dr r
or:
dE ðr Þ h n m i
σ σ 1
= 2ε nA - mB ð1:37Þ
dr r r r
and:
n h n m i o
d 2 E ðr Þ d dE ðr Þ d σ σ 1
2
= = 2ε nA - mB
dr dr dr dr r r r
h n m i h n m i
1 d σ σ σ σ d 1
= 2ε nA - mB þ nA - mB
r dr r r r r dr r
nh n m i h n m io
σ σ σ σ d 1
= 2ε n2 A - m2 B þ nA - mB
r r r r dr r
or:
d 2 E ðr Þ h m n i
σ σ 1
2
= 2ε ðm þ 1ÞmB - ðn þ 1ÞnA ð1:38Þ
dr r r r2
We then calculate the separation distance by finding r that makes the first
derivative equal to zero:
dE ðr Þ h n m i n m
σ σ 1 σ σ
= 2ε nA - mB = 0 ) nA = mB
dr r r r r r
or:
1=ðn - mÞ
r nA
= = 1:0902 ð1:39Þ
σ mB
n m
Using the fact that nA σr = mB σr , the second derivative at the optimum
separation becomes:
d 2 E ðr Þ
εA σ nþ2
= 2nð m - nÞ >0 ð1:40Þ
dr 2 σ2 r
Things would have been simpler if we had used MATLAB to perform the
algebra:
>> clear all

>> syms A B sigma e n m E r;
>> E=-2*e*(A*(sigma/r)^n-B*(sigma/r)^m);;
>> diff(E,r,1)
ans = -2*e*((B*m*sigma*(sigma/r)^(m - 1))/r^2 -

(A*n*sigma*(sigma/r)^(n - 1))/r^2)
>> simplify(diff(E,r,1))
ans = -(2*e*(B*m*(sigma/r)^m - A*n*(sigma/r)^n))/r
(continued)
1.5 Applications 17
>> simplify(diff(E,r,2))
ans = (2*e*(B*m*(sigma/r)^m - A*n*(sigma/r)^n + B*m^2*(sigma/r)

^m - A*n^2*(sigma/r)^n))/r^2
We will now use Fig. 1.6 to calculate the density of the crystal. From Fig. 1.6
and simple geometric arguments, we have that:
pffiffiffi pffiffiffi
2a2 = 4r 20 ) a = r 0 2 = 1:0902 2σ ð1:41Þ
The mass of an Ne atom is the molecular mass divided by the Avogadro number
(NA). From careful examination of Fig. 1.6, we conclude that there are four
atoms in one cell. As the density is the mass per volume, we have that:
4mwNe
ρNe =
N A a3
4 20:18 mol
g
= pffiffiffi 3 - 7 3
6:02214076 × 1023 mol 1:0902 2 0:274 nm
1 3 10 cm
nm
g
= 1:778
cm3
Example 1.2 Minimum Energy Consumption for a Natural Gas Compression

System
In this example, we consider the system of two compressors operating in
series so as to compress natural gas (practically methane) from an initial
pressure P0 to a desired pressure Pf (see Fig. 1.8). After the first compressor,
there is an intercooler located with the aim to lower the temperature to the
initial temperature T0.
P w
T w
P P
N T T
P
C-101 T
E-101
C-102
Fig. 1.8 A natural gas (methane) compression system

The power W consumed by a compressor to compress a gas from initial

pressure Pin and absolute temperature Tin to a final pressure Pout is determined
in undergraduate thermodynamics books and is given by:
a
1 RT in Pout cp =cv - 1
W =N -1 , a= >0 ð1:42Þ
e a Pin cp =cv
where N is the molar flow rate of the gas, R is the ideal gas constant, e (<1) is
the fractional efficiency with respect to a reversible adiabatic compression, and
cP (cv) is the constant pressure (volume) heat capacity. As the temperature in
the suction of both compressors is the same, we have:
a a
W 1 P 1 Pf
w = NRT 0 = -1 þ -1
a P0 a P
e
or:
a a
1 P Pf
w= þ -2 ð1:43Þ
a P0 P
This is a function of one variable (the pressure P of the intermediate stream).

To investigate the possibility of a minimum to exist, we calculate the first
derivative:
a a
dw 1 P Pf
= - ð1:44Þ
dP P P0 P
We set the derivative equal to zero to find:

pffiffiffiffiffiffiffiffiffiffi
P = P 0 Pf ð1:45Þ
We may note that the ratio of the delivery to suction pressure (known as
compression ratio) for the two compressors is:
pffiffiffiffiffiffiffiffiffiffi rffiffiffiffiffi
P P0 P f Pf Pf P
= = = pffiffiffiffiffiffiffiffiffi
ffi= f ð1:46Þ
P0 P0 P0 P0 P f P
i.e., at the optimum point, the compression ratios of the two compressors are
equal. To make sure that the solution given by (1.45) corresponds to a mini-
mum, we calculate the second derivative to validate that it is indeed positive
everywhere:
rffiffiffiffiffi
d2 w 2a Pf
= >0 ð1:47Þ
dP2 P f P0 P0
1.5 Applications 19
Fig. 1.9 Two CSTR in

series system with first
order reaction (isothermal V V
conditions)
F F F
C C C
Example 1.3 Minimum Reactor Volume for a First-Order Reaction

In this application, we will consider a classical chemical engineering system.
The first-order reaction R → P (R is the reactant and P the product) is taking
place in two continuous stirred tank reactors (CSTR) with volumes V1 and V2,
as shown in Fig. 1.9. The reaction is first order with respect to the reactant
concentration with reaction rate constant k. The feed stream to the system has
volumetric flow rate F, and the reactant concentration is C0. The concentration
of the reactant in the first reactor is C, and in the second is Cf. As we aim at
achieving a specific conversion of the reactant, the concentration in the second
reactor Cf is known and constant. Our aim is to determine the volumes of the
two reactors and the concentration in the first one that minimize the overall
reactor volume in the system.
In order to determine the combination of the two reactor volumes, we first
write the material balance for the reactant in reactor 1:
FC 0 - FC - V 1 kC = 0 ð1:48Þ
and in reactor 2:
FC - FC f - V 2 kC f = 0 ð1:49Þ
We then solve both material balances for the volumes:

F C0 - C
V1 = ð1:50Þ
k C

F C - Cf
V2 = ð1:51Þ
k Cf
The total volume is the sum of the volumes of the two reactors:

F C0 - C F C - Cf F C0 C
V ðC Þ = V 1 þ V 2 = þ = þ -2 ð1:52Þ
k C k Cf k C Cf
We observe that the total volume is a function of the concentration in the

first reactor only. To determine the minimum volume, we calculate the first
derivative:

dV ðC Þ F d C 0 C F 1 C
= þ -2 = - 02 ð1:53Þ
dC k dC C C f k Cf C
If we set the first derivative equal to zero and solve for the concentration, we
obtain:
pffiffiffiffiffiffiffiffiffiffi
C= C0Cf ð1:54Þ
We then calculate the second derivative to check whether it is actually a

minimum:

d2 V d dV F d 1 C0 F C0
= = - =2 >0 ð1:55Þ
dC 2 dC dC k dC C f C2 k C3
We could of course have performed all calculations in MATLAB:
>> clear
>> syms C F k C0 Cf V positive;
>> V=(F/k)*(C0/C+C/Cf-2);
>> diff(V,C)
ans = -(F*(C0/C^2 - 1/Cf))/k
>> solve(diff(V,C)==0,C)
ans = C0^(1/2)*Cf^(1/2)
>> diff(V,C,2)
ans = (2*C0*F)/(C^3*k)
As the second derivative is positive for all C in [C0, Cf], the solution deter-
mined by (1.54) corresponds to a global minimum.
We substitute the solution given by (1.54) to Eqs. (1.50) and (1.51) to
determine the volumes:
rffiffiffiffiffi
F C0
V1 = V2 = -1 ð1:56Þ
k Cf
It follows that at the optimal solution, the two volumes are equal.
1.5 Applications 21
S: substrate
X: cells P: product
D=F/V V
Feed
F F
S S
X
P
Product
Fig. 1.10 A continuous bioreactor
Example 1.4 Optimal Operation of a Continuous Bioreactor

In this example, we study a different type of a CSTR reactor. This time, we
consider a bioreactor with constant volume V that is operated continuously.
The bioreactor is shown in Fig. 1.10. The feed is sterile (free of microorgan-
isms) and has volumetric flow rate F and substrate concentration S0. The
volume is constant, and under mild assumptions, this results to the conclusion
that the product volumetric flow rate is equal to the feed volumetric flow rate.
The biomass (cell mass) is denoted by X and the product concentration by P.
The rate of production of biomass is denoted by rX, the rate of production of the
product by rP, and the rate of consumption of substrate by rS. At steady-state
conditions, we may write the three material balances:
Biomass : - FX þ Vr X = 0 ð1:57Þ
Substrate : FS 0 - FS - Vr S = 0 ð1:58Þ
Product : - FP þ Vr P = 0 ð1:59Þ
The production rate of the biomass is usually expressed through the defini-
tion of the specific production rate, denoted by μ:
rX = μX ð1:60Þ
In many cases, as it is, for example, the case of bioethanol production, there
is an inhibition effect caused by the product. The specific production rate is
described by a classical Monod equation with an additional term to account for
the inhibition:
rX S
μ= = μ max e - P=P max ð1:61Þ
X Ks þ S
μmax is the maximum specific production rate, Ks the saturation constant, and
Pmax a constant related to the inhibition by the product.
The rate of product formation can be considered, for growth-associated
product formation, analogous to the rate of biomass production, i.e.:
r P = arX = aμX ð1:62Þ
When Eq. (1.60) is substituted into (1.57), an interesting result is obtained:
- FX þ VμX = 0
or:
F
D= =μ ð1:63Þ
V
where D is called the dilution rate. From (1.63), it follows that for a continuous
bioreactor, the dilution rate is equal to the specific biomass production rate.
Using this result, (1.58) becomes:
μX
F ðS 0 - S Þ - V =0
Y X=S
or:
X
S = S0 - ð1:64Þ
Y X=S
where we have used the yield coefficient YX/S which can be defined as the ratio
of rX to rS. If we now substitute (1.62) and (1.63) into (1.59), we also obtain:
- FP þ VaμX = 0
or:
1.5 Applications 23
P = aX ð1:65Þ
where a is a constant. We finally substitute (1.63), (1.64), and (1.65) into

(1.61):
S0 - X
Y X=S
D = μ max e - aX=P max ð1:66Þ
K S þ S0 - X
Y X=S
We have achieved to eliminate all variables and express the dilution rate as a
function of the biomass concentration.
The productivity of bioreactors is defined as the mass of the product
produced per unit reactor volume and per unit time. In the case of a continuous
bioreactor, the mass of the product produced is the flow rate of the product
stream F times the concentration of the product. If we then divide by the
reactor volume, we obtain the productivity Π:
F P
Π= =D P ð1:67Þ
V
We then use Eqs. (1.65) and (1.66) to obtain:
S0 - X
Y X=S
Π = μ max e - aX=P max aX ð1:68Þ
K S þ S0 - X
Y X=S
The productivity can also be expresses as a function of S (or P if necessary):
S
ΠðS Þ = ξ e - aY X=S S=P max ðS0 - S Þ ð1:69Þ
Ks þ S
where:
aY X=S S 0
ξ = μ max e P max aY X=S ð1:70Þ
Our aim is to maximize the productivity of the bioreactor Π. This is equiv-

alent to minimizing –Π. Calculating the first derivative of –Π with respect to X is
lengthy, and we therefore present the result directly:
2
aY S
d ð - ΠÞ 4
aY X=S S
d S S ðS 0 - S Þ d X=S
¼ -ξ e P max ðS 0 - S Þ þ e P max
dS dS K s þ S K s þ S dS
3
S d ðS 0 - S Þ 5
aY X=S S
þ e P max
Ks þ S dS
or:
dð - ΠÞ S ðS0 - SÞ aYP X=S S Ks aY X=S 1

= -ξ e max þ - ð1:71Þ
dS Ks þ S SðK s þ S Þ P max ðS 0 - S Þ
Setting the derivative equal to zero is equivalent to the expression inside the
brackets to be equal to zero, from which we obtain (the algebra is again lengthy
but involves only basic operations):
αS 3 þ βS 2 þ γS þ δ = 0 ð1:72Þ
where:
aY X=S aY X=S
α= , β=1 þ ðK s - S 0 Þ,
P max P max

aY X=S
γ = Ks 2 - S Þ , δ = - K s S0
P max 0
Solving a third-order polynomial is not as simple as solving a second-order

polynomial (the procedure is similar but messy). Deriving simple formulas for
the optimum is therefore deemed impossible, and we need to apply the results
on a case-by-case basis. To this end, we consider the following numerical
example (numerical values correspond roughly to bioethanol production):
1 g g g g
μ max = 0:41 , K s = 0:4 , a = 2:44 , Y X=S = 0:1 , S0 = 100 ,
h L g g L
g
P max = 35
L
Let’s perform the calculations in MATLAB and generate the plot of productivity
as a function of the substrate concentration.
>> miumax=0.41; % 1/h

>> Ks=0.40; % g/L
>> a=2.44; % g P /g S
>> Yxs=0.1; % g X /g S
>> S0=100; % g/L
>> Pmax=35; % g/L
>> X=linspace(0.1,Yxs*S0,10001);
>> S=S0-X/Yxs; % Eq. (1.64)
>> P=a*X; % Eq. (1.65)
>> D=miumax*(S./(Ks+S)).*exp(-P/Pmax); % Eq. (1.63) & (1.61)
>> figure(1)
>> plot(D,P,'k-.','Linewidth',1.5)
(continued)
1.5 Applications 25
>> hold on
>> plot(D,X,'k-','Linewidth',1.5)
>> plot(D,S,'k--','Linewidth',1.5)
>> axis([0 0.45 0 30])
>> figure(2)
>> plot(S,D.*P,'k-','Linewidth',1.5)
>> grid on
>> alpha=a*Yxs/Pmax; % Eq. (1.72)
>> beta=1+alpha*(Ks-S0);
>> gamma=Ks*(2-alpha*S0);
>> delta=-Ks*S0;
>> roots([alpha beta gamma delta])
ans = -37.8671
-15.6546
9.6791
The results are presented in Figs. 1.11 and 1.12. The substrate concentration
at the optimum is approximately 9.68 g/L. To determine the dilution rate, we
can substitute into Eqs. (1.64), (1.65), and (1.66):
Fig. 1.11 Biomass, substrate, and product concentration as a function of dilution rate
Fig. 1.12 The volumetric productivity as a function of substrate concentration
>> Sopt=max(ans)
Sopt = 9.6791
>> Xopt=Yxs*(S0-Sopt)
Xopt = 9.0321
>> Popt=a*Xopt
Popt = 22.0383
>> Dopt=miumax*Sopt*exp(-Popt/Pmax)/(Ks+Sopt)
Dopt = 0.2098
We conclude that the optimum dilution rate is 0.21 1/h.

It is interesting to report the results for the case without product inhibition.
In this case Pmax → +1 and (1.72) simplifies to:
S 2 þ 2K s S - K s S 0 = 0 ð1:720 Þ
Analytic solution can be obtained in this case (note that S is non-negative), and
the optimum substrate concentration is given by:
pffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffi
S = Ks 1 þ S0 =K s - 1 ð1:73Þ
1.5 Applications 27
Example 1.5 Optimal Operation of a Solid Oxide Fuel Cell

In this example, we study a different type of reactor that produces electrical
energy instead of chemicals called a fuel cell (see Fig. 1.13). A fuel, such as
hydrogen, and an oxidizing agent, such as oxygen, are fed to the anode and the
cathode of the cell, respectively, where they react under well-controlled con-
ditions to “produce” water and electrical energy. The voltage E developed at an
external load depends strongly on the operating current I of the cell.
Electrochemists prefer to use the current density j (current per unit area of
the cell, I = jA, where A is the area of the cell) when studying fuel cells. The
voltage developed at almost zero current can be calculated from equilibrium
thermodynamics and for the water formation reaction is around 1 V (depends
on temperature). As current is produced from the cell, irreversibilities kick in,
and the voltage drops. The observed voltage drop is abrupt at the beginning
and linear thereafter. Finally, at large current densities, the voltage drops again
abruptly as current approached the limiting current density jL. The linear drop
in the voltage is usually associated with Ohmic losses while the sudden drop in
large currents with the depletion of the reactants close to the reaction sites.
In Fig. 1.14, a characteristic voltage-current density curve is shown in which
the model predictions are compared to experimental values (Huang C., et al.,
Journal of Power Sources, 195, p. 5176, 2010). The mathematical model used is
the following:

RT j
E ðj Þ = E 0 - R Ω j þ ln 1 - ð1:74Þ
2F jL
– –
o
O2– E
– –
o
I=jA
Fig. 1.13 The main parts of a fuel cell

Fig. 1.14 Comparison of experimental results (o) with model predictions for a solid oxide
fuel cell. (Experimental results from Huang et al., 2010)
where E0 is the voltage at zero current (E0 = 0.85 V), RΩ is the (area specific)
Ohmic resistance (RΩ = 0.145 Ωcm2), R is the ideal gas constant
(R = 8.3144 VC/(mol K)), Τ is the absolute temperature (873 K for the data
shown in Fig. 1.14), and F is the Faraday’s constant (96,485 C/mol). jL is the
limiting current density (3.85 V).
We consider the case where our goal is to extract the maximum power. The
power density P (w/cm2) is the product of the voltage and the current density:

RT j
PðjÞ = E ðjÞ j = E 0 j - RΩ j þ
2
ln 1 - j ð1:75Þ
2F jL
We note that:
dð - PÞ dE
= -E-j ð1:76Þ
dj dj
and:
1.5 Applications 29

dE d RT j RT 1
= E - RΩ j þ ln 1 - = - RΩ - ð1:77Þ
dj dj 0 2F jL 2F ðjL - jÞ
Putting everything together we obtain:

dð - PÞ j j
= - E 0 þ 2RΩ j - f ln 1 - þf ð1:78Þ
dj jL ðj L - j Þ
where f = RT/(2F). Finding an analytic expression for the current density at

which the first derivative is zero is impossible. We calculate the second
derivative to check whether the extremum (if one exists) is actually a
minimum:
d 2 ð - PÞ 1 jL
= 2RΩ þ f þf >0 ð1:79Þ
dj 2 ð j L - j Þ ðj L - j Þ2
It follows that as j < jL, the second derivative is always positive. Before closing
this section, in Fig. 1.15, the variation of the power density as a function of the
Fig. 1.15 Power density as a function of current density

current density is presented, from which we note that there is indeed a clear
maximum (which, however, we cannot determine analytically).
1.6 The Numerical Solution of Single Variable

Optimization Problems: Newton’s Method
Let’s summarize what we have learned from trying to solve some representa-
tive examples of single variable optimization. The optimization problem is
transformed to a problem of solving a possibly nonlinear equation that is
obtained when applying optimality conditions (1.23). We begin with the objec-
tive function f(x) which we seek to minimize, and we end up with searching for
the values of x that are roots of its first derivative. However, as we have seen,
solving a nonlinear equation is far from easy, even when the equation involves
a single variable only. We therefore have to rely on numerical techniques for
solving the resulting nonlinear equation. We will therefore complete this
chapter by reviewing the basics about the most well-known methodology for
solving nonlinear equations which is the Newton’s method.
In what follows, we will be using the symbol F to denote the first derivative
of f and the symbol H for the second derivative of f (or the first derivative of
F), i.e.:
df ðxÞ
F ðx Þ = ð1:80Þ
dx
d2 f ðxÞ dF ðxÞ
H ðx Þ = = ð1:81Þ
dx2 dx
Solving the problem of finding an extremum (or extrema) of f is equivalent to

solving the nonlinear equation:
F ðx Þ = 0 ð1:82Þ
We may write Taylor’s linear approximation for F(x):

dF
F ðx þ δxÞ ≈ F ðxÞ þ δx = F ðxÞ þ HðxÞδx ð1:83Þ
dx x
We then equate the linear approximation to zero and use the definition of H(x)
to obtain:
HðxÞδx = - F ðxÞ ð1:84Þ
or, as this is a simple scalar linear equation:

1.6 The Numerical Solution of Single Variable Optimization Problems: Newton’s. . . 31
1
δx = - F ðxÞ ð1:85Þ
H ðx Þ
The step calculated by (1.85) is called a Newton’s step. It is called a step as

Newton’s method needs to be applied in an iterative fashion. We begin at
iteration 0 by guessing a value for x. However, as it is extremely unlikely that
we can guess the correct solution, we will have F(x0) = ε0 ≠ 0 (superscript
0 denotes the iteration counter, and ε denotes the error). We calculate H(x0)
and then the Newton step through (1.85) (for that to be possible, we must have
H(x) > 0, as H(x) = 0 makes impossible to determine the step and H(x) < 0 will
direct the algorithm toward a maximum). Then, we can determine our new
estimate of the solution by adding the step to our current position:
x1 = x0 þ δx1 ð1:86Þ
We then proceed in this way and determine:
1
δxkþ1 = - F xk ð1:87Þ
H ðx Þ
k
and:
xkþ1 = xk þ δxkþ1 ð1:88Þ
until F(xk) becomes sufficiently close to zero, or:

k
F x < e F ð1:89Þ
where eF is a sufficiently small number (depends on the application and the

size of x). Alternatively, we can stop when the step is small enough:
kþ1
δx < ex ð1:90Þ
This is a basic Newton’s algorithm and is not very successful in practical

applications unless we have a very good idea on the exact location of the
solution. The problem lies in the unconditional acceptance of the Newton’s
step in (1.88). Do we have any guarantee that f(xk+1) < f(xk)? The answer is,
unfortunately, negative unless our function has some very special characteris-
tics. Exact conditions can be found in the suggested literature as we will try not
to dive into the mathematical details. We will restrict ourselves into proposing
a very rudimentary but practical technique, for modifying the Newton step if
necessary. We may use the following simple idea:
f xk+δxk
f xk F xk x–xk
fx
f xk
f xk+ δxk
xk xk+ δxk xk+δxk
Fig. 1.16 Naïve backtracking algorithm (note that taking a full Newton step results in an
increased value of f(x), while one backtracking step results in a decreased value)
n
1
xkþ1 = xk þ δxkþ1 , n is smallest n : f xkþ1 < f xk is satisfied ð1:91Þ
2
In other words, we start with n = 0 and check whether f has been decreased
(see Fig. 1.16). If this turns out not to be the case, we set n = n + 1 and
backtrack from our previous trial position. This is repeated until we discover
the first point (smaller n) that results in a lower value for f relative to f(xk).
We can allow ourselves to backtrack a finite number of times; otherwise, as
n increases xk+1 → xk, and the algorithm must terminate. When we are stack in
our rudimentary algorithm, there is a way out: to try a different starting point
x0. The algorithms that handle the size of the step taken at each iteration in an
efficient (robust and still fast) implementation of the Newton’s method are
rather sophisticated. We will return to this point when studying unconstrained
optimization in many directions where the issue of backtracking is vital to the
Newton’s method. It is important to note that single-variable optimization is
performed (without relying in most cases on derivative information) by using
local interpolation with quadratic or cubic polynomials or the bisection
algorithm.
Before closing this paragraph, it is important to note that there are two other
options for setting the size of the Newton step. The first is the simplest and uses
a constant factor (usually smaller than 1) that multiplies the full Newton step.
This is very simple and can be efficient in some cases but needs a trial-and-
error approach to find what is the appropriate factor in each case study. The
other extreme is to handle the scale factor as the optimization variable and try
to locate the exact optimal value. This is called exact line search and can be
extremely costly to perform. The inexact line search that we describe in

Eq. (1.91) can be equally efficient and much less costly (in terms of function
evaluations).
We will now build our naïve implementation of Newton’s method and try to
solve the fuel cell problem that we have left open in the previous section. We
will then use MATLAB to solve the same problem. We first define the function
(Eq. 1.75) (a minus sign is added to account for the fact that we are solving a
minimization problem), its first derivative (Eq. 1.78), and its second derivative
(Eq. 1.79) as inline functions:
>>clear
>>f0=inline('-x*(0.85-0.145*x+0.0376*log(1-x/3.85))')
>>f1=inline('-0.85+2*0.145*x-0.0376*log(1-x/3.85)+0.0376*x/
(3.85-x)')
>>f2=inline('2*0.145+0.0376/(3.85-x)+0.0376*3.85/(3.85-x)
^2')
f0 = Inline function:
f0(x) = -x*(0.85-0.145*x+0.0376*log(1-x/3.85))
f1(x) = -0.85+2*0.145*x-0.0376*log(1-x/3.85)+0.0376*x/
(3.85-x)
f2(x) = 2*0.145+0.0376/(3.85-x)+0.0376*3.85/(3.85-x)^2
The symbol x is used instead of j for the current density as j is a reserved

symbol in MATLAB ( j = (-1)½). We can now assign a value to x and then
evaluate the function and its derivatives:
>> x=3.6;
>> f=feval(f0,x) ; % response f = -0.8107
>> F=feval(f1,x) ; % response F = 0.8383
>> H=feval(f2,x) ; % response H = 2.7566
>> NewtonStep=-F/H; % response NewtonStep = -0.3041
>> x=x+NewtonStep ; % response x = 3.2959
The tangent at x = 3.6 is shown in Fig. 1.17 and is given by the following
equation (k = 0):

F xk þ δxkþ1 = F xk þ H xk δxkþ1 = 0:8383 þ 2:7566 δxkþ1 ð1:92Þ
Equating this to zero and solving for δx1 gives δx1 = -0.3041, and finally the
new estimate of the solution is x1 = x0 + δx1 = 3.6–0.3041 = 3.2959 (point at
which the tangent at x0 becomes zero in Fig. 1.17). As the objective becomes
Fig. 1.17 Steps of the Newton methodology when applied to the fuel cell case study
smaller (more negative), the Newton step is accepted. We determine the new
tangent at this new point:

>> F=feval(f1,x) ; % response F = 0.4024
>> H=feval(f2,x) ; % response H = 0.8294
>> NewtonStep=-F/H; % response NewtonStep = -0.4851
>> x=x+NewtonStep ; % response x = 2.8108
This concludes iteration 2, and the results obtained in the intermediate

iterations are summarized in Table 1.1. The method converges in the sixth
iteration where the derivative becomes close to 10-10. The steps followed in
solving the fuel cell case study are organized in a general-purpose m-file which
is presented in Table 1.2. Understanding the details of the m-file is not partic-
ularly important, and you are advised against using this m-file for anything but
for validating your hand calculations or solving examples similar to the fuel cell
or the bioreactor.
In MATLAB®, the command fminbnd is available for performing single-
variable optimization. fminbnd is not based on derivative information (it is
Table 1.1 Results of applying Newton method to the fuel cell case study
k f(xk–1) F(xk–1) H(xk–1) δxk xk
0 3.6000
1 -0.8107 +0.8383 +2.7566 -0.3041 +3.2959
2 -0.9862 +0.4024 +0.8294 -0.4851 +2.8108
3 -1.1052 +0.1161 +0.4602 -0.2522 +2.5586
4 -1.1205 +0.0076 +0.4059 -0.0186 +2.5400
5 -1.1206 2.6826 10-5 +0.4031 -6.6558 10-5 +2.5399
6 -1.1206 3.337510-10
Table 1.2 Implementation of the Newton algorithm (to be used only for training)
based on a combination of the Golden section method and the cubic interpo-
lation method), and therefore only the function is required, which is a signif-
icant advantage. Its general syntax is as follows:
We can solve the fuel cell case study in MATLAB as follows:
>> options=optimset('display','iter');
>> f0=inline('-x*(0.85-0.145*x+0.0376*log(1-x/3.85))');
>> xopt=fminbnd(f0,0.1,3.6,options)
Func-count x f(x) Procedure

1 1.43688 -0.896739 initial
2 2.26312 -1.10559 golden
3 2.77376 -1.10917 golden
4 2.53754 -1.12056 parabolic
5 2.53588 -1.12056 parabolic
6 2.5398 -1.12056 parabolic
7 2.53991 -1.12056 parabolic
8 2.53987 -1.12056 parabolic
9 2.53994 -1.12056 parabolic
Optimization terminated:
the current x satisfies the termination criteria using OPTIONS.TolX
of 1.000000e-04
xopt = 2.5399
The procedure takes nine iterations to locate the optimum which agrees
with the one found using the Newton’s method.
Learning Summary
The most general class of optimization with continuous variables is the NLP
problem:
min f ðxÞ
x
s:t:
hðx Þ = 0
gðx Þ ≤ 0
Learning Summary 37
When all functions are linear, then the LP problem is obtained:
min c T x
x
s:t:
Ax - b = 0
Bx - d ≤ 0
0≤x
When there are no (inequality or equality) constraints, we end up with an

unconstrained optimization problem:
min f ðxÞ
x
where x is a vector. In the simplest possible case, x is scalar:
min f ðxÞ
x2R
In this chapter, we show that the minimum of functions of a single variable is

always a stationary point:

df
=0
dxx0
The Taylor’s second-order approximation of a twice differentiable f(x) is:

df 1 d2 f
f ð x Þ = f ðx 0 Þ þ ð x - x 0 Þ þ 2 ðx - x0 Þ2 þ o jx - x0 j2
dx x0 2 dx x0
The definition of the local minimum: let D be the domain of f. f has a strict
local minimum value at a point x0 if f(x) > f(x0) for all x lying in an open interval
around x0. The conditions that need to be satisfied at an extremum are
(sufficient conditions):

df d2 f
1: If = 0& > 0, then x0 is a strict local minimum:
dxx0 dx2 x0

df d2 f
2: If = 0& 2 < 0, then x0 is a strict local maximum:
dx x0 dx x0

df d2 f
3: If = 0& = 0, then the criterion fails:
dxx0 dx2 x0
Terms and Concepts
You must be able to discuss the concepts of:

Concave up or convex function
Extremum
Linear programming
Maximum (local)
Minimum (local)
Nonlinear programming problem
Quadratic programming
Stationary point
Taylor approximation
Unconstrained optimization and the optimality conditions for single variable
cases
Problems
1.1 Consider the reaction scheme R → P → W which is realized in a constant

volume V and constant temperature T well-mixed batch reactor. Initially
only reactant R is loaded into the reactor with concentration CR,0. The rate
at which the reactant R is consumed is first order with respect to the
reactant concentration:
r1 = - k1 C R
where CR is the reactant concentration and k1 is the reaction rate con-

stant. The desired product is consumed to produce an unwanted
by-product W with a rate that is first order with respect to the product
concentration:
r2 = - k2 C P
where CP is the desired product concentration and k2 is the reaction rate

constant. Develop the material balances of the components R and P and
show that their solution is given by:
C P ðt Þ k 1 - k1 t
= e - e - k2 t
C R,0 k2 - k1
Determine the time that the maximum concentration of the desired

product is achieved.
Problems 39
1.2 The potential energy is many ion pairs (such as Na+-Cl-) can be described
by the following potential or bonding energy (in eV per pair)
α β
E ðr Þ = - þ
r rν
where α, β, and ν are constants (ν = 8 most commonly) and r is the

separation (center to center) distance. Determine an expression to calcu-
late the separation distance and the bonding energy. Prove that this
corresponds to a global minimum. Use the values a = 4.03 10-28,
β = 6.97 10-96, and ν = 8 (for which case, the separation distance is
expressed in m and the bonding energy in J).
1.3 Consider the case of a cylindrical pipe used to transfer a fluid with
temperature Ti. The pipe is insulated (see Fig. P1.3) with insulation
material (with thermal conductivity k) with inside radius ri and outside
radius ro (i is used to denote inside surface of insulating material and
subscript o to denote the outside surface of the insulating material). The
resistance to heat loss in the film inside the pipe and the metal wall is
negligible compared to the resistance to the insulating material and
outside film of air. The temperature of air is T1, and the outside heat
transfer coefficient is ho while the temperature of the outside surface of
the insulating material is To.
The heat loss of the pipe is a function of the outside radius of the
insulation:
q_ = Ao U o ðT i - T 1 Þ
To
qloss ri
ro
h , T∞
k
hi , Ti
Fig. P1.3 An insulated pipe

where Ao = 2πroL is the outside area available to heat transfer and Uo is

the overall heat transfer coefficient with respect to the outside heat
transfer area. Their product is given by:

1 r 1 1 1
≈ ln o þ
Ao U o ri 2πLk 2πr o L ho
(a) Explain why increasing the outside radius (i.e., the thickness of the
insulation) may result in an increase in the heat transfer losses.
(b) Calculate the critical thickness of the insulation by determining the
conditions at which losses are maximized (prove that it is actually a
maximum).
1.4 We continue with Problem 1.3. Consider now the case where instead of a
cylindrical pipe you have a spherical storage tank. What are the condi-
tions of the critical thickness of insulation? It is reminded that the heat
losses in this case are given by:
q_ = Ao U o ðT i - T 1 Þ
1 r - ri 1 1
≈ o þ
Ao U o 4πkr o r i 4πr 2o ho
(a) Explain why increasing the outside radius (i.e., the thickness of the
insulation) may result in an increase in the heat transfer losses.
(b) Calculate the critical thickness of the insulation by determining the
conditions at which losses are maximized (prove that it is actually a
maximum).
1.5 We return to Problem 1.3. Define the Biot number as Bi = hri/k and the
dimensional heat loss as:
q_
Q=
2πLk ðT i - T 1 Þ
Show that
1
Q=
ln ro
ri þ ri
ro Bi1
Use MATLAB to produce Fig. P1.5. What conclusion can be drown from
Fig. P1.5?
Problems 41
Fig. P1.5 Dimensionless heat loss as a function of dimensionless insulation thickness and Bi
number
Use the data: ri = 3 cm, Ti = 80 °C, T1 = 20 °C, h = 3 W/(m2 K),

k = 0.18 W/(m K). Determine what needs to be the thickness of the
insulation so as to have a decrease in the heat loss (Ans. maximum heat
loss at ro = 6 cm or thickness of 3 cm, ro/ri ≈ 4.9 for a decrease to be
observed or thickness 11.7 cm!).
Fig. P1.6 A storage tank

with conical basis
1.6 A storage tank with conical basis and a flat top (see Fig. P1.6) has a radius
r equal to the height h of the conical basis. The cylindrical part has a
height H. If the volume of the tank needs to be equal to V = 9π, find the
dimensions of the tank that minimize the outer surface of the tank. It is
reminded that the volume Vc and the lateral surface Sc of a cone are
given by:
π 2 pffiffiffiffiffiffiffiffiffiffiffiffiffiffiffi
Vc = r h, Sc = πr r 2 þ h2
3
1.7 Snell’s law is a formula used to describe the relationship between the
angles of incidence and refraction, when referring to light passing
through a boundary between two different isotropic media, such as
water and air. The refraction index, n, of a transparent medium is defined
as the ratio of speed of light in vacuum to the speed of light in that
medium u. If the speed of light in air is u1 (refraction index n1 = c/u1)
and in water is u2, prove that:
n1 sin θ1 = n2 sin θ2
Problems 43
Fig. P1.7 Snell’s law
where the angles θ1 and θ2 are defined in Fig. P1.7. Use the idea that light
will follow the path that minimizes the time needed to travel from the eye
to the fish!
1.8 A wind turbine (WT) is shown in Fig. P1.8 which has a sweep area AWT. A
WT extracts energy by “slowing down” the wind (transforming the kinetic
energy of the wind to a kinetic energy of the blades). A 100% efficient WT
would need to stop completely the wind—but then the rotor would have
to be a solid disk, and it would not turn. A wind turbine with just one
rotor blade will not work either, as most of the wind passing through the
area swept by the WT blade would miss the blade completely. Let’s
assume that the upstream and downstream velocities of the wind are u0
and u1 and that the velocity of the wind at the turbine is the mean
between these two: u = (u0 + u1)/2. Perform the following step to
prove the Betz limit on the energy that can be extracted from the wind
(Betz’s law):
(a) Calculate the maximum energy that can be extracted from the wind if
the wind “slows down” from u0 to u1 (change in the kinetic energy
ΔΕK).
(b) Calculate the mass flow rate of the wind through the sweep area of
the WT using the velocity of the wind at the turbine.
(c) Substitute the mass flow rate into the equation for the change in the
kinetic energy, and prove that the maximum change in the kinetic
energy is realized when u1 = u0/3.
(d) Substitute this result to show that the maximum fraction of the
kinetic energy of the incoming wind that can be recovered is equal
to 16/27 (or 59.26%).
1.9 The reaction A $ B is taking place in two identical CSTRs in series that
operate in the same temperature. The reaction rate is given by:
Fig. P1.8 Α wind turbine

CB
r = k CA -
KE
where CA is the concentration of the reactant A in kmol/m3, CB is the

concentration of the product B in kmol/m3, k = exp(17.2–5800/T ) is the
reaction rate constant in 1/min, KE = exp(-24.7 + 9000/T ) is the
equilibrium constant, and T is the absolute temperature. The concentra-
tion of the feed is 10 kmol A/m3, the volumetric flow rate of the feed is
F = 1 m3/min, and the conversion is 95%. Propose a mathematical
formulation that can be used to determine the optimal temperature that
minimizes the total volume of the two reactors. Use MATLAB to find the
minimum.
1.10 In the process control course you have calculated the unit step response
of a prototype second order system with transfer function:
Problems 45
ω2n
G ð sÞ =
s2 þ 2ζωn s þ ω2n
where ωn is the natural frequency and ζ is the damping ratio. When ζ < 1,
it follows that the unit step response is:
" #
ζ
yðt Þ = 1 - en- ζωn t cos ðωd t Þ þ pffiffiffiffiffiffiffiffiffiffiffiffiffi sin ðωd t Þ
1 - ζ2
where:
qffiffiffiffiffiffiffiffiffiffiffiffiffi
ω d = ωn 1 - ζ2
The unit step response of a second-order underdamped system with

ζ = 0.2 is shown in Fig. P1.9. From the figure, we note that the unit step
response exhibits local minima and maxima at ωnt1, ωnt2, ωnt3, etc.
Determine their exact location and the ratio (y(ωnt3) - 1)/(y(ωnt1) -
1) (amplitude decay ratio DR). How would you define t = t3 - t1, and
what is its physical meaning?
Fig. P1.9 Unit step response of a prototype second-order system with ζ = 0.2
1.11 The impulse response of a linear system is the response to an impulse to

the input of the system. As impulse is the derivative of the unit step input,
the impulse response is the derivative to the unit step response. There-
fore, you have already calculated the impulse response of a prototype
second-order system with ζ < 1 in Problem 1.10. Calculate the maxima
and minima of the impulse response, and find their relationship with the
characteristics of the unit step response.
1.12 Consider the first-order system:
dxðt Þ
þ axðt Þ = buðt Þ, xð0Þ = x0 = 1
dt
with a, b > 0 and the feedback control law u(t) = -kx(t). Our aim is to
find the value of k so that the following criterion is minimized:
Z 1
J ðk Þ = x2 ðt Þ þ ru2 ðt Þ dt, r ≥ 0
0
Prove that the minimum is achieved at the root of the following quadratic
equation that guarantees stability:

α
rk2 þ 2 rk - 1 = 0
b
Validate your results in MATLAB by selecting a = b = r = 1.

Note: prove first that the dynamics of the closed loop system is x-
(t) = x0e-(a + kb)t, and then perform the integration.
1.13 Consider the case where you are given the potential mathematical model
of a process:
y = ax
where a is a parameter to be determined. Consider also that we have been

given a set of n experimental measurements consisting of pairs (xi, yi),
i = 1,2,. . .,n. Define the residuals:
r i = axi - yi , i = 1,2,⋯,n
and the vectors:

2 3 2 3 2 3
r1 x1 y1
6r 7 6x 7 6y 7
6 27 6 27 6 27
R = 6 7, X = 6 7, Y =6 7
4⋮5 4⋮5 4⋮5
rn xn yn
Problems 47
Prove that the problem of:

Xn Xn
min
a
J ðaÞ = r2 =
i=1 i i=1
ðaxi - yi Þ2
has the solution:
X T Xa = X T Y
1.14 A batch reactor of active volume V = 1 m3 is used to perform a first-order

reaction A → B with reaction rate r = kC, where k is the rate constant and
C is the concentration of the reactant A. The reactor is initially loaded with
pure A and is operated isothermally, and the downtime for cleaning,
loading, and uploading the reactor is 1 h. If the reaction rate constant is
k = 1 1/h and the initial concentration C0 = 10 kmol/m3, determine the
final concentration and the batch time that maximizes the annual pro-
ductivity of the product B.
Hint: show that the amount of product produced in 1 year is:
ty
PB = V ðC 0 - C Þ
t batch þ t downtime
where tbatch is the time needed to achieve the final concentration C in the
batch reactor, which is given by:

1 C
t batch = ln 0
k C
ty is the annual operating time in h.

1.15 The reaction A $ B is performed under constant temperature in a plug
flow reactor (PFR). The reactor feed is pure reactant A, and the reaction
rate is given by:
r = kf C A - kb C B
where kf = 20exp(-600/T) (in 1/min) is the reaction rate constant of the

forward reaction, kb = 40exp(-1500/T ) (in 1/min) the reaction rate
constant of the backward reaction, and T the absolute temperature. Show
that the volumetric flow rate F of the feed in m3/min and the reactor
volume V in m3 are related to the conversion achieved through the
following equation:
ZX
V dX 1 kf
= = ln
F k f - ðkf þ kb ÞX kf þ kb kf - ðkf þ kb ÞX
0
For a given conversion X = 0.8, develop a methodology to calculate the

temperature in the range 25–150 °C that minimizes the ratio V/F. Use
MATLAB to find the temperature that will minimize the reactor volume.
1.16 There are many cases in optimization problems in chemical engineering
in which, although they are practically single-variable optimization prob-
lems, they cannot be expressed as explicit functions of a single variable. A
classical example is the design of binary distillation columns for constant
relative volatility systems for which the Fenske, Underwood, and Gilliland
(FUG) method can be used. In this method, the feed to a distillation is
completely defined in terms of feed molar flow rate F, feed composition z,
and feed thermal condition q. The top and bottom product compositions
(xD and xB) are also given together with the (constant) relative volatility
a of the binary mixture. Additional thermophysical properties include the
heat of vaporization at the column and at the bottom of the column (ΔhD,
ΔhB) and the vapor density ρv at the top of the column. The application of
the FUG method is achieved in the following steps:
(a) Calculation of the minimum reflux ratio rrmin and the minimum
number of equilibrium trays Nmin:
h i
1 xD 1 - xD
rr min = -α
α-1 z 1-z
h i
ln 1 -xDxD 1 -xBxB
N min =
ln α
(b) The only optimization variable λ, which is the ratio between the
actual reflux ratio (rr) to the minimum reflux (rrmin), is selected,
and the actual reflux ratio and the actual number of theoretical
trays NT are estimated:
N T - NT, min
3 rr - rr min 0:5668
= 1-
NT þ 1 4 rr þ 1
(c) The height of the column is estimated based on an assumed tray

efficiency Eo and tray spacing TS:
Problems 49

NT - 1
H = 1:2 TS
Eo
(d) The diameter of the column DC is estimated (based on the vapor

velocity uV and the net tray area Anet):
2
uV = pffiffiffiffiffi
ρV
uV ρV Anet = mw ð1 þ rÞDC
πD2C
0:88 = Anet
4
(e) The heat load of the reboiler QB and condenser QD are calculated
followed by the calculation of the heat transfer area of the reboiler
and the condenser (AB, AD), by assuming that the product of the heat
transfer coefficient and the logarithmic mean temperature difference
are approximately equal to 100 kW/m2:
QB = ð1 þ rrÞD ΔhB
100AB = QB
QD = ð1 þ rrÞD ΔhD
100AD = QD
(f) The equipment cost is estimated:
0 1
1B C
C EQ = @20,000 H 0:81 D1:05 þ 700 H 0:97 D1:45 þ 8000A0:65 þ 8000A0:65 B A
3 |fflfflfflfflfflfflfflfflfflfflfflfflfflffl{zfflfflfflfflfflfflfflfflfflfflfflfflfflffl}
C C
|fflfflfflfflfflfflfflfflfflfflffl{zfflfflfflfflfflfflfflfflfflfflffl}
C C
|fflfflfflfflfflffl{zfflfflfflfflfflffl}
D
|fflfflfflfflfflffl{zfflfflfflfflfflffl}
shell trays condenser reboiler
(g) The cost of the utilities (practically the heating steam) is estimated
using the operating time ty and the unitary utility cost clps:
QB
C UT ≈ t c
Δhlps y lps
(h) Finally, the total, approximate annual cost (TAC) is estimated:
TAC = C EQ þ C UT
The model presented above is implemented in MATLAB as shown in

Table P1.16. The m-file accepts the ratio λ of the actual to minimum reflux
ration as input parameters and finally calculates the total annual cost. The
reader is encouraged to understand all details of the calculations. Then,
the program must be used to obtain the optimum value of λ for a number
of values of the relative volatility and then develop an approximate
equation for selecting λ as a function of a. A common rule of thumb is
that λ ≈ 1.2. Do you agree with that? When do you propose using a
slightly larger of a slightly lower value? Is the optimum sensitive to the
value of λ?
Table P1.16 Implementation of the FUG method for designing binary distillation columns
for constant relative volatility systems
Problems 51
Now you have become an expert in the field of optimizing distillation

columns for separating ideal binary mixtures. Can you improve the model
used by relating the thermophysical properties used to the actual binary
pair used? Later in this book, we will see how we can design and optimize
distillation columns using detailed models, but for the time being, this
exercise is a useful introduction to the practice of process optimization!
Chapter 2
Multidimensional Unconstrained
Optimization
2.1 From Single Variable to Multivariable Optimization
In the previous chapter, we discussed single-variable optimization problems

and reviewed the conditions for solving problems of the general form:
min f ðxÞ ð2:1Þ

x2R
while in this chapter, we will consider its generalization:
minn f ðxÞ ð2:2Þ

x2R
The similarity is striking, and as we will see shortly, this similarity will help us
derive the optimality conditions and solution methodologies.
A key concept in developing the optimization theory for problem (2.1) was
the first and second derivative and the (linear and quadratic) Taylor approx-
imation of a function of a single variable. The immediate question to answer is:
What is the generalization of these concepts to a function of several variables?
Let’s consider a function of two variables f:R2 → R, i.e. f(x1,x2). What is the
definition of the first derivative? As we have two variables, we need to consider
two first derivatives, one with respect to x1 and one with respect to x2. This
operation follows directly from the operation that we apply when we calculate
the derivative of a function of a single variable. The only difference is that when
we calculate the derivative with respect to x1, we treat x2 as constant, i.e., we
perform the operation:

AG 2022
54 2 Multidimensional Unconstrained Optimization
d ∂f
f ðx1 , x2 Þjx2 = constant = ð2:3Þ
dx1 ∂x1
and we use the symbol ∂ to denote the operation of partial differentiation. Of

course, we have as many partial derivatives as variables, and we stack them in
a column vector called the gradient of f. We use the nabla symbol ∇ to denote
the vector of partial derivatives:
23
∂f
6 ∂x1 7
∇f = gradðf Þ = 6
4 ∂f 5
7 ð2:4Þ
∂x2
In the case of n variables, we obtain:

23
∂f
6 ∂x1 7
6 7
6 ∂f 7
6 7
∇f = gradðf Þ = 6 7
6 ∂x2 7 ð2:5Þ
6⋮ 7
6 7
4 ∂f 5
∂xn
The generalization of the second derivative is the Hessian matrix which is a

square and symmetric matrix of all combinations of second derivatives:
2 3
∂ ∂f ∂ ∂f ∂ ∂f
6 ∂x1 ∂x1 ⋯
6 ∂x1 ∂x2 ∂x1 ∂xn 7
6 7
7
6 ∂ ∂f ∂ ∂f ∂ ∂f 7
6 ⋯ 7
H = 6 ∂x2 ∂x1 ∂x2 ∂x2 ∂x2 ∂xn 7 ð2:6Þ
6 7
6⋮ ⋮ ⋱ ⋮ 7
6 7
4 ∂ ∂f ∂ ∂f

∂ ∂f 5
⋯
∂xn ∂x1 ∂xn ∂x2 ∂xn ∂xn
The next, and most important, step is to present the generalization of the
Taylor approximation. Let’s remind ourselves the form of the quadratic
approximation around x0 for the case of a function of a single variable:

df 1 d2 f
f ðxÞ = f ðx0 Þ þ ð x - x Þ þ ð x - x Þ ðx - x 0 Þ ð2:7Þ
dxx0 0
2 0
dx2 x0
In the case of a multivariable function, the corresponding Taylor approxima-

tion follows directly from (2.7):
2.1 From Single Variable to Multivariable Optimization 55
1
f ðxÞ = f ðx0 Þ þ ∇T f ðx0 Þðx - x0 Þ þ ðx - x0 ÞT Hðx0 Þðx - x0 Þ ð2:8Þ
2
In the case of two variables, this simplifies to:

" #
∂f ∂f x1 - x0,1
f ðx 1 , x 2 Þ = f ð x 0 Þ þ
∂x1 ∂x2 x0 x2 - x0,2
2 3
∂ ∂f ∂ ∂f " #
6 ∂x1 ∂x1 ∂x1 ∂x2 7
1 6 7 x1 - x0,1
þ ½ x1 - x0,1 x2 - x0,2 6 7
2 4 ∂ ∂f ∂ ∂f 5 x2 - x0,2
∂x2 ∂x1 ∂x2 ∂x2 x0
ð2:9Þ
For convex functions, there is a useful property that follows directly from
(1.32):
f ðxÞ ≥ f ðx0 Þ þ ∇T f ðx0 Þðx - x0 Þ ð2:10Þ
A stationary point of f(x) is a point at which all partial derivatives become

simultaneously equal to zero:
∇f ðx0 Þ = 0 ð2:11Þ
If we restrict attention to stationary points, then from (2.8), the local behavior
of f(x) is determined from the Hessian matrix:
1
f ð x Þ - f ðx 0 Þ ≈ ðx - x 0 ÞT H ðx 0 Þðx - x 0 Þ ð2:12Þ
2
If f(x0) is a (strict) local minimum, then it follows that f(x) – f(x0) > 0 and
therefore:
ðx - x0 ÞT Hðx0 Þðx - x0 Þ > 0 ð2:13Þ
If this holds true, then H(x0) is called a positive definite matrix (p.d.). A matrix is
positive definite if and only if all of its eigenvalues are positive. We may,
therefore, calculate the eigenvalues of the Hessian matrix and determine
whether it is a local minimum or not. If f(x0) is a (strict) local maximum, then
the Hessian matrix is negative definite (n.d., i.e., all its eigenvalues are nega-
tive). If the Hessian happens to be positive definite everywhere, then the
results are global as the function is convex and (2.10) holds true. To summa-
rize, the sufficient conditions for a local minimum in the case of a differentiable
function of many variables are:
∇ f ðx 0 Þ = 0 ð2:14Þ
&ðx - x0 ÞT Hðx0 Þðx - x0 Þ > 0 or Hðx0 Þ is p:d: ð2:15Þ
Let’s now consider the following function of two variables:
f ðx, yÞ = x3 þ y3 þ 2x2 þ 4y2 þ 6 ð2:16Þ
f(x,y):R2 → R. The surface generated in MATLAB® is shown in Fig. 2.1. The

following commands have been used:
>> clear
>> syms x y;
>> fmesh(x.^3+y.^3+2*x.^2+4*y.^2+6, [-1.5 0.5 -3.5 0.5])
In Fig. 2.2, the contour plots of the same function are given and have also
been generated in MATLAB:
Fig. 2.1 Surface plot of f(x,y) = x3 + y3 + 2x2 + 4y2 + 6 generated in MATLAB

Fig. 2.2 Contour plot of f(x,y) = x3 + y3 + 2x2 + 4y2 + 6 generated in MATLAB
>> fcontour(x.^3+y.^3+2*x.^2+4*y.^2+6, [-1.5 0.5 -3.5

0.5],'LevelList',6.03:0.15:50/3)
From the surface and the contours, we note that there are four stationary
points. To determine them, we calculate the gradient:

xð3x þ 4Þ
∇f ðx, yÞ = ð2:17Þ
yð3y þ 8Þ
The stationary points are (0,0), (0,-8/3), (-4/3,0), and (-4/3,-8/3). We will
study these points one by one, but we first calculate the Hessian:

6x þ 4 0
Hðx, yÞ = ð2:18Þ
0 6y þ 8
We could have performed all these algebraic calculations in MATLAB:

>> clear all

>> syms x y;
>> f=x^3+y^3+2*x^2+4*y^2+6
f=
x^3 + 2*x^2 + y^3 + 4*y^2 + 6
>> g=gradient(f)
g=
3*x^2 + 4*x
3*y^2 + 8*y
>> H=hessian(f)
H=
[ 6*x + 4, 0]
[ 0, 6*y + 8]
A. Point (0,0). The gradient is zero while the hessian is:

6x þ 4 0 4 0
Hð0, 0Þ = = ð2:19Þ
0 6y þ 8 ð0, 0Þ 0 8
To determine the eigenvalues, we need to solve the system of linear equations:
jλI2 - Hðx, yÞj = 0 ð2:20Þ
where I2 is the 2-by-2 unit matrix. However, as the hessian is diagonal, the
solutions follow immediately, and the eigenvalues are λ1 = +4 > 0 and
λ2 = +8 > 0. As both eigenvalues are positive, the hessian is positive definite,
and point (0,0) is a local minimum. The corresponding value of the function is
f(0,0) = 6. Locally, the function can be approximated by:

1 x 1 2
f ðx, yÞ ≈ f ð0, 0Þ þ ½ x y Hð0, 0Þ =6 þ 4x þ 8y2 ð2:21Þ
2 y 2
and the contour lines ( f(x,y) = c) are:

2
x 2 y c-6
þ pffiffiffi = c0 = ð2:22Þ
2 2 8
(this is an equation of an ellipse with major axis parallel to the x-axis—when

the eigenvalues are equal, it becomes the equation of a circle). This justifies the
form of the contour lines around the point (0,0) shown in Fig. 2.2.
B. Point (0,-8/3). The gradient is zero while the hessian is:

6x þ 4 0 4 0
Hð0, - 8=3Þ = = ð2:23Þ
0 6y þ 8 ð0, - 8=3Þ 0 -8
As the hessian is again diagonal, the eigenvalues follow immediately and are
λ1 = 4 > 0 and λ2 = -8 < 0. As one eigenvalues is positive and one is negative,
the hessian is indefinite (a square matrix is indefinite if and only if it has at least
one positive eigenvalue and at least one negative eigenvalue), and point (0,-8/
3) is neither a local maximum or a local minimum. When a point is a stationary
point and the hessian matrix is indefinite, then the point is a saddle point (the
general form of the surface and the contour lines around a saddle point are
shown in Figs. 2.3 and 2.4). Locally, the function can be approximated by:
" #
h i x
1 8 8
f ðx, yÞ ≈ f ð0, - 8=3Þ þ x yþ H 0, - 8
2 3 3 yþ
3 ð2:24Þ
2
418 1 8
= þ 4x2 - 8 y þ
27 2 3

2
x 2 y þ 83 c - 418
- pffiffiffi = c0 = 27
ð2:25Þ
2 2 8
Fig. 2.3 Surface around the minimum (0,0) (left) and one saddle point (0, - 8/3) (right) of
the function f(x, y) = x3 + y3 + 2x2 + 4y2 + 6
Fig. 2.4 Contours around the minimum (0,0) (left) and one saddle point (0, - 8/3) (right) of
the function f(x, y) = x3 + y3 + 2x2 + 4y2 + 6
(which is the standard form of the equation of a hyperbola with center (0,–8/
3)). This justifies the form of the contour lines around the point (0,–8/3) shown
in Fig. 2.2 that resemble the case shown in Figs. 2.3 and 2.4. Point (-4/3,0) has
the same characteristics as point (0,–8/3).
C. Point (-4/3,–8/3). The gradient is zero while the hessian is:

6x þ 4 0 -4 0
H ð - 4=3, - 8=3Þ = = ð2:26Þ
0 6y þ 8 ð - 4=3, - 8=3Þ 0 -8
The hessian is again diagonal, and the eigenvalues follow immediately and are
λ1 = -4 < 0 and λ2 = -8 < 0. As both eigenvalues are negative, point (-4/3,–
8/3) is a local maximum. Locally, the function can be approximated by:
3 2
4
h i xþ
1 4 8 4 8 6 3 7
f ðx, yÞ ≈ f ð - 4=3, - 8=3Þ þ xþ yþ H - , - 4 5
2 3 3 3 3 8
yþ
2 2
3
50 1 4 8
= þ -4 x þ -8 y þ
3 2 3 3
ð2:27Þ

2 2
y þ 43 y þ 83 50
-c
þ pffiffiffi = c0 = 3
ð2:28Þ
2 2 8
We close this section by reminding ourselves of another important result

from calculus. Consider the differential function f(x) and a particular x0 for
∇f x
δx
fx θ
Fig. 2.5 Product of the gradient vector and a unit vector
which f(x0) = c. Obviously, the contour line f(x) = c passes through x0 as shown
in Fig. 2.5. Consider now any unit vector δx emanating from x0. Any vector that
satisfies the unit length criterion has its end point on the unit circle with center
at x0. Let us now calculate the linear approximation of f(x) around x0 as shown:
f ðx0 þ δxÞ = f ðx0 Þ þ ∇T f ðx0 Þ δx ð2:29Þ
The dot product of two vectors can be calculated as the product of their
magnitudes and the cosine of their angle θ (see Fig. 2.5). We write (2.29) as
follows:
f ðx0 þ δxÞ - f ðx0 Þ = ∇T f ðx0 Þ δx = ∇T f ðx0 Þ kδxk cos θ ð2:30Þ
However, δx is a unit vector and therefore (as the norm of any vector is a
scalar):
f ðx0 þ δxÞ - f ðx0 Þ

= cos θ ð2:31Þ
∇T f ð x 0 Þ
cosθ is maximum when θ = 0, i.e., when δx is collinear and has the same
direction as the gradient vector, then the change in f(x) is maximized. When
θ = -π, then cosθ is minimum, i.e., when δx is parallel with the gradient and has
direction opposite to the direction of the gradient vector, then the change in
f(x) is minimized. When θ = ±π/2, then the change in f(x) is zero (i.e., we stay
on the same contour at least locally). We therefore conclude that if we are at a
point x0 in Rn, then:
• The direction of +∇f(x0) is the direction of fastest increase in f(x) at x0.

• The direction of -∇f(x0) is the direction of fastest decrease in f(x) at x0.
• +∇f(x0) and -∇f(x0) are perpendicular to the tangent of f(x) at x0.
From the last one, we may also derive the conditions that must satisfy the
tangent plane to a surface at a point x0:
∇T f ð x 0 Þ ð x - x 0 Þ = 0 ð2:32Þ
In addition, we may also conclude that all x satisfying the inequality:
∇T f ð x 0 Þ ð x - x 0 Þ > 0 ð2:33Þ
belong to the half space of directions of increasing objective function. In

addition, all x satisfying the inequality:
∇T f ð x 0 Þ ð x - x 0 Þ < 0 ð2:34Þ
belong to the half space of directions of decreasing objective function.
2.2 Algorithms for Multivariable Unconstrained

Optimization
Our objective is to devise methods for solving the optimization problem:

x2R
The optimality conditions are:
∇f ðx0 Þ = 0 ð2:36Þ
&Hðx0 Þ is positive definite ð2:37Þ
The method to locate any x that satisfies (2.36) will be of iterative nature.
We start by writing the quadratic approximation of f(x) around a point that we
have arrived at iteration k:
1 T
f xk þ δxk = f xk þ ∇T f xk δxk þ δxk H xk δxk ð2:38Þ
2
where δxk = x–xk. We take the derivative with respect to δxk to obtain an
approximation for the gradient:
2.2 Algorithms for Multivariable Unconstrained Optimization 63

∇f xk þ δxk = ∇f xk þ H xk δxk ð2:39Þ
Using (2.36) and (2.39), we obtain the following iterative methodology for
calculating the step at iteration k:

H xk δxk = - ∇f xk ð2:40Þ
This is a system of linear equations as H(xk) is a constant matrix, and -∇f(xk) is

a constant vector. To solve the system, the condition det(H(xk)) ≠ 0 must be
satisfied. In addition, for the algorithm to move toward a decreasing direction
for the function, the hessian matrix must be positive definite. Based on
Eq. (2.40), we can propose the following algorithm, which is the generalization
of the Newton’s method in multidimensional functions:
Step 0: Select an initial estimate of the solution x0 2 Rn, at iteration k = 0.

Step 1: Calculate f(xk), ∇f(xk) and H(xk).
Step 2: Determine the Newton step δxk by solving (2.40) to obtain
xk+1 = xk + δxk.
Step 3: If ||∇f(xk)|| < ε, then STOP; else set k = k + 1, and return to Step 1.
As we know from the previous chapter, this is the basic Newton’s method
which has no guarantee to locate the (local) optimal solution. However, before
moving further, we will examine the general performance of the method when
applied to representative functions.
We first examine the following function (see also Fig. 2.6):
2
f ðxÞ = 10 x21 - x2 þ ðx1 - 1Þ2 þ 4 ð2:41aÞ
which has the following gradient and hessian matrix:

" #
40 x21 - x2 x1 þ 2x1 - 2
∇f ðxÞ = ð2:41bÞ
- 20 x21 - x2

120x21 - 40x2 þ 2 - 40x1
Hðx, yÞ = ð2:41cÞ
- 40x1 20
The initial point chosen is x0 = [-1 3]T. We calculate the gradient and the
hessian at the initial point:
Fig. 2.6 Contour and surf plots generated in MATLAB for f(x,y) given by (2.41)
" #
0 40 x21 - x2 x1 þ 2x1 - 2 76
∇f x = =
- 20 x21 - x2 40

120x21 - 40x2 þ 2 - 40x1 2 40
H x0 = =
- 40x1 20 40 20
We then calculate the full newton step:

" #" # " #
1 0:5 -1 76 1 -2
δx0 = - H - 1 x0 ∇f x0 = =
39 -1 0:05 40 39 - 74
" #
0:0513
=-
1:8974
and the new point:

-1
0 0 -1 0:0513 - 1:0513
x =x -H
1 0
x ∇f x = - =
þ3 1:8974 þ1:1026
The value of the objective function is decreased significantly as f(x0) = 48 and

f(x1) = 8.2078. These steps can be performed efficiently in MATLAB:
>> clear all

>> f=inline('10*(x(1)^2-x(2))^2+(x(1)-1)^2+4');
>> g=inline('[40*(x(1)^2-x(2))*x(1)+2*x(1)-2; -20*(x(1)^2-x
(2))]');
>> H=inline('[120*x(1)^2-40*x(2)+2 -40*x(1);-40*x(1) 20]');
>> x=[-1,3]';
>> dx=-inv(H(x))*g(x)
dx = -0.0513
-1.8974
>> x=x+dx
x = -1.0513
1.1026
>> f(x)
ans = 8.2078
Repeating the same process for a second time, we obtain the following:
>> dx=-inv(H(x))*g(x)
dx = 1.9488
-4.0948
>> x=x+dx
x = 0.8975
-2.9922
>> f(x)
ans = 148.2397
We note that in the second iteration, f(x2) = 148.2397 > f(x1) = 8.2078! The
reader is advised to use MATLAB to perform the remaining steps shown in
Fig. 2.7. The unexpected behavior of the Newton’s algorithm should be noted.
Let’s now study an additional example:
Fig. 2.7 Steps of Newton method when minimizing Eq. (2.41)

qffiffiffiffiffiffiffiffiffiffiffiffiffi qffiffiffiffiffiffiffiffiffiffiffiffiffi
1 þ x21 þ 1 þ x22
f ðx Þ = ð2:42aÞ
2 x1 3
pffiffiffiffiffiffiffiffiffiffiffiffiffi
6 1 þ x21 7
∇f ðxÞ = 64 x2
7
5 ð2:42bÞ
pffiffiffiffiffiffiffiffiffiffiffiffiffi
1 þ x2 2
2 1 3

6 1 þ x2 3=2
0
7
6 1 7
HðxÞ = 6 7 ð2:42cÞ
4 1 5
0 3=2
1 þ x2 2
The surface of the function is shown in Fig. 2.8. Let’s start from x0 = [5 5]T.
We determine the value of the function, the gradient, and the hessian:
pffiffiffiffiffiffi
f x0 = 2 26

0 5 1
∇f x = pffiffiffiffiffiffi
26 1
pffiffiffiffiffiffiffiffiffiffiffiffiffi pffiffiffiffiffiffiffiffiffiffiffiffiffi
Fig. 2.8 Surface plot of f ðxÞ = 1 þ x21 þ 1 þ x22 generated in MATLAB

0 1 1 0
H x = pffiffiffiffiffiffi3
26 0 1
We then determine the full Newton’s step:

" # -1
δx01 pffiffiffiffiffiffi 3 1 0 5 1 1
=- 26 pffiffiffiffiffiffi = - 130
δx02 0 1 26 1 1
Then:
" # " # " #
x11 x01 δx01 5 1 125
= þ = - 130 =- !
x12 x02 δx02 5 1 125
The method diverges as in the second step, it moves further away from the
origin (which is the unique global minimum). There was nothing to give us a
warning that this could happen. Clearly, we need to devise a strategy to prevent
Newton’s method from accepting rather aggressive steps that could cause
divergence.
We already know from the previous chapter that the “naïve” approach will
fail in many cases and a backtracking scheme is necessary to make the algo-
rithm robust. There is a huge amount of literature on this issue. There are three
basic strategies that can be followed. The first one uses a constant scale factor
(<1) that multiplies the Newton’s step with the aim to make the method less
aggressive. It has the advantage that it is easy to apply and does not increase
the computational load as it does not involve any additional calculations of the
function. It has the disadvantage that as the scale factor is constant, it will work
in some cases but not in others. The other extreme is to use exact calculation of
the optimum in the direction of the Newton’s step. This turns to be very
demanding in terms of additional evaluations of the function. There is an
intermediate strategy which only seeks for an acceptable decrease in the
function at every step of the algorithm. This is arguably the most successful
practical approach as it achieves convergence with reasonable increase in the
computational load. Here we will present a simple, yet efficient, backtracking
algorithm that will suffice for the purposes of this book.
We will not get into the mathematical details, but we will only present the
steps that need to be taken to apply a line search algorithm that is known as
Armijo’s inexact line search. The user needs to select two parameters α 2 (0,1)
and β 2 (0,1) (usually α = 0.2 and β = 1/2 will work fine in most cases). Then
in Step 2 of the Newton’s algorithm, we do not accept immediately the full
Newton’s step, but we determine the minimum n, starting from n = 0, that
satisfies the criterion.

f xk þ βn δx k < f x k þ αβn ∇f T x k δx k ð2:43Þ
When (2.43) is satisfied then, as it is proven in the literature, the decrease in

the objective function is satisfactory so as to achieve convergence to a station-
ary point. With this modification, we may now construct out general-purpose
Newton function that can handle efficiently most cases. The corresponding
m-file is presented in Table 2.1. The reader is encouraged to study the lines of
the file carefully before moving forward. We will now use this m-file to solve
the peculiar problem that we studied before:
Table 2.1 Implementation of Newton’s method with Armijo’s line search
function x=myNewton(f,F,H,x0)
% Newton’s method with Armijo's inexact line search
% f is the obj. function (inline function)
% F is the gradient of the obj. function (inline function)
% H is the hessian of the obj. function (inline function)
% x0 is an initial guess of the solution
a = 0.2; beta=1/2; maxiter=100; tol=1e-6; % modify if
necessary
x=x0; fun =f(x) ; grad=F(x) ; hess=H(x) ; % STEP 1
NewtonStep = hess \ (-grad) ; % STEP 2
iter=0;
fprintf('Iter Objective Gradient\n',iter,fun)
while ((norm(grad)>tol)&&(iter<maxiter)) % STEP 3
iter=iter+1;
n=0;
% Backtrack if Eq (2.2.9) is not satisfied
while( f(x+beta^n*NewtonStep) >
f(x)+a*beta^n*grad'*NewtonStep )
n=n+1;
fprintf('Backtracking with n=%4u \n',n)
end
x=x+beta^n*NewtonStep; % STEP 2
fun=f(x); grad=F(x); hess=H(x); NewtonStep= hess \ (-grad);
fprintf('%4u %14.8f %14.8f \n',iter,fun,norm(grad))
end
>> clear
>> f=@(x)sqrt(1+x(1)^2)+sqrt(1+x(2)^2);
>> F=@(x)[x(1)/sqrt(x(1)^2+1);x(2)/sqrt(x(2)^2+1)];
>> H=@(x)diag([1/(x(1)^2+1)^1.5,1/(x(2)^2+1)^1.5]);
>> x=myNewton(f,F,H,[5;5])
The response is interesting:
>> runmyNewton
Iter Objective Gradient
Backtracking with n= 1
1 6.56220237 1.34693115
2 2.94421208 1.03783719
3 2.00813014 0.12712853
4 2.00000054 0.00103988
5 2.00000000 0.00000000
x=
1.0e-09 *
-0.3976
-0.3976
Observe that in the first iteration, the algorithm enters the backtracking and
performs four backtracking steps, and the new point is:

x1 x0 x0 5 1 4 1 3:125
= þδ = - 130 =-
y1 y0 y0 5 2 1 3:125
and:
qffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffi
f x1 , y1 = 2 1 þ ð - 3:125Þ2 = 6:5622 < f x0 , y0 = 10:198
Clearly backtracking has been successful in solving the problem with the
aggressive nature of Newton’s method (at least for this peculiar example).
2.3 Application Examples 71
2.3 Application Examples
Example 2.1 Minimum Energy Consumption for a Natural Gas Compressor

In Chap. 1 and Example 1.2, we studied the case of natural gas compression
using a two-stage compressor with intercooler. We now extend our analysis
into multiple (more than two)-stage compression systems. Consider the three-
compressor system as shown in Fig. 2.9. The total power consumed is:
a a a
w1 þ w2 þ w3 P P2 Pf
f ðP 1 , P 2 Þ = 1 RT 0
= 1 þ þ -3 ð2:44Þ
Ne a P 0 P 1 P 2
We calculate the gradient:

2 a a 3
1 P1 P2
6 a P 1 P 0 - P1 7
6 7
∇f = 6 a a 7 ð2:45Þ
4 1 P2 Pf 5
a -
P2 P1 P2
The calculation can also be performed in MATLAB:
>> syms P0 P1 P2 PF a;
>> simplify(gradient((P1/P0)â+(P2/P1)â+(PF/P2)â-3,[P1 P2]))
ans =
(a*((P1/P0)â - (P2/P1)â))/P1
(a*((P2/P1)â - (PF/P2)â))/P2
>> simplify(hessian((P1/P0)â+(P2/P1)â+(PF/P2)â-3,[P1 P2]));
P w1
T w2
P1 P
N T w3
P2 P
C-101
T
P
E-101
C-102
T
E-102
C-103
Fig. 2.9 A natural gas (methane) three-stage compression system

By setting the gradient equal to zero, we obtain the following result:
P1 P2 P
λ= = = f ð2:46Þ
P 0 P 1 P2
We note again that all compressors have the same compression ratio λ. To
determine the exact value of the intermediate pressures, we make the follow-
ing calculation:
Pn = λPn - 1 = λ2 Pn - 2 = . . . = λn P0 ð2:47Þ
or:
rffiffiffiffiffi
n Pn
λ= ð2:48Þ
P0
where n is the number of compression stages used. For the case of three
compression stages that increase the pressure from 1 to 10 bar, for instance,
we obtain:
rffiffiffiffiffiffi
3 10
λ= = 2:15443469
1
and therefore the pressures are P1 = 2.15443469 bar, P2 = 4.64158883 bar,

and P3 = Pf = 10 bar.
We will use our implementation of Newton’s method to solve the problem
numerically:
clear
a=0.3;
P0=1;
Pf=10;
f=@(x) (x(1)/P0)â + (x(2)/x(1))â + (Pf/x(2))â - 3;
F=@(x) [(a*((x(1)/P0 )â - (x(2)/x(1))â))/x(1)

(a*((x(2)/x(1))â - ( Pf/x(2))â))/x(2)];
H=@(x) [ (a*((x(2)/x(1))â-(x(1)/P0)â+a*(x(1)/P0)â +a*(x(2)/

x(1))â))/x(1)^2, -(a^2*(x(2)/x(1))â)/(x(1)*x(2))
(a^2*(x(2)/x(1))â)/(x(1)*x(2)), (a*((Pf/x(2))â-(x(2)/x
(1))â+a*(x(2)/x(1))â+a*(Pf/x(2))â))/x(2)^2];
x=myNewton(f,F,H,[2;4])
The response of the solver is:
>> runmyNewton
1 0.77718894 0.00276651
2 0.77685083 0.00112495
3 0.77678870 0.00045021
4 0.77677826 0.00017999
5 0.77677656 0.00007198
6 0.77677629 0.00002879
7 0.77677624 0.00001152
8 0.77677624 0.00000461
9 0.77677624 0.00000184
10 0.77677624 0.00000074
x = 2.1544
4.6415
>> eig(H(x))
ans = 0.0451
0.0142
We will now consider the command available in MATLAB® for

unconstrained optimization:
xopt=fminunc(fun,x0,options)
inds a local minimum of a function of several variables. Starts at x0 and
attempts to ind a local minimizer xopt of the function fun. fun (an inline
function or an m-ile) returns the value of the objective function. It may also
return the gradient in which case one must use [f,g]=fun(x) and:
options=optimoptions('fminunc','SpecifyObjectiveGradient',true); use
also ‘Diplay’,Iter to display intermediate results.
A distinct advantage of the MATLAB implementation is that it does not

require the hessian or the gradient as it builds them numerically. To solve
the gas compression problem, we first note that the most practically useful way
in solving medium scale applications is to supply the problem description
through an m-file. For the example, the m-file accepts the two intermediate
pressures as inputs and returns the value of the objective function:
function f=ThreeStageCompression(P)
P0 = 1; % initial pressure in bar
Pf = 10; % final pressure in bar
a =0.3; % parameter of the model
f= (P(1)/P0)â + (P(2)/P(1))â + (Pf/P(2))â - 3;
end
>> clear
>> options=optimoptions('fminunc','Display','iter');
>> x=fminunc(@ThreeStageCompression,[2;4],options)
First-order
Iteration Func-count f(x) Step-size optimality
0 3 0.778671 0.00639
1 9 0.778294 10 0.0054
2 12 0.776876 1 0.00289
3 15 0.776777 1 0.00021
4 18 0.776776 1 1.01e-05
5 21 0.776776 1 1.4e-06
6 24 0.776776 1 1.28e-08
Local minimum found.

Optimization completed because the size of the gradient is less
than
the default value of the optimality tolerance.
<stopping criteria details>
x = 2.1544
4.6416
Two points that we will not be discussing in detail in this book (a lot of
information can be found in the literature) are the numerical approximation of
the first and second derivatives. The hessian matrix is usually calculated based
on quasi-Newton methods that can guarantee that the hessian is positive
definite (the BFGS method is one of the most popular members of this class).
It is interesting to note that even when the hessian is available, using a quasi-
Newton method is the preferred method to use. For approximating the gradi-
ent finite differences can be used. The forward finite differences are the
preferred method as they only require one additional function evaluation:
df f ðx þ δxÞ - f ðxÞ
≈ , δx = max f1, jxjg eps1=2 ð2:49Þ
dx δx
where eps is the accuracy of the computer (type >> eps in MATLAB to get the
accuracy of your computer system). Central finite differences are more accu-
rate but require two function evaluations:
df f ðx þ δxÞ - f ðx - δxÞ
≈ , δx = max f1, jxjg eps1=3 ð2:50Þ
dx 2δx
Perform the following experiment in MATLAB to check the accuracy of the

approximation of the first-order derivative of the function f(x) = ex:
>> clear
>> format long
>> x=5;
>> exp(x)
ans = 1.484131591025766e+02
>> dx=max(1,abs(x))*sqrt(eps);
>> (exp(x+dx)-exp(x))/dx
ans = 1.484131645202637e+02
>> dx=max(1,abs(x))*eps^(1/3);
>> (exp(x+dx)-exp(x-dx))/(2*dx)
ans = 1.484131591241918e+02
Example 2.2 Three CSTR in Series for a First-Order Reaction

In Chap. 1 and Example 1.3, we studied the case of optimum design of two
CSTR in series for the case of a first-order reaction. We now consider the case
of three CSTR in series (see Fig. 2.10). For the case of a first-order reaction, the
total volume of the reactors is given by:
V V V
F
C C C C
Fig. 2.10 Three CSTR in series system


F C0 - C1
C1 - C2 C2 - Cf
V ðC 1 , C 2 Þ = þ þ
k C1
C2 Cf
ð2:51Þ
F C0 C1 C2
= þ þ -3
k C1 C2 Cf
We calculate the gradient and the hessian:
C02 13
þ -
F 6 C1 C2 7
2
∇V = 6 7 ð2:52Þ
k4 C 15
- 12 þ
C2 Cf
2
C 1 3
2 03 - 2
F 6 C1 C2 7
H= 6 7 ð2:53Þ
k4 1 C1 5
- 2 2 3
C2 C2
The same calculations can be performed in MATLAB:
>> syms C0 C1 C2 Cf F k;
>> gradient((F/k)*(C0/C1+C1/C2+C2/Cf-3),[C1 C2])
ans = -(F*(C0/C1^2 - 1/C2))/k
-(F*(C1/C2^2 - 1/Cf))/k
>> hessian((F/k)*(C0/C1+C1/C2+C2/Cf-3),[C1 C2])
ans = [ (2*C0*F)/(C1^3*k), -F/(C2^2*k)]
[ -F/(C2^2*k), (2*C1*F)/(C2^3*k)]
We set the elements of the gradient equal to zero to obtain:
C 21 = C 0 C 2 ð2:54Þ
C 22 = C 1 C f ð2:55Þ
or:
1=3
C0 C1 C
= = 0 ð2:56Þ
C1 C2 Cf
1=3
C1 C2 C
= = 0 ð2:57Þ
C2 Cf Cf
The volumes can be calculated:

" #
1=3
F C0 - C1 F C0
V1 = = -1 ð2:58aÞ
k C1 k Cf

F C1 F C0
V2 = -1 = - 1 = V1 ð2:58bÞ
k C2 k C1

F C2 F C1
V3 = -1 = - 1 = V2 = V1 ð2:58cÞ
k Cf k C2
As in the case of the two CSTR in series, the volumes are equal.
Consider now the following numerical example: F = 1 m3/h, k = 1 1/h,
C0 = 1 kmol/m3, and Cf = 0.125 kmol/m3. It then follows from (2.56) and
(2.57) that C1 = 0.5 kmol/m3 and C2 = 0.25 kmol/m3. The eigenvalues of the
hessian are both positive, and the point determined is a local minimum.
The graphical representation of the optimal solution is shown in Fig. 2.11. It
is reminded that the material balance of a single CSTR can be written as:
F
V= ½C in - C out ð2:59Þ
r ðC out Þ
where Cin is the concentration in the feed, Cout is the product concentration, and
r is the rate of reaction. It then follows that if we plot F/r as a function of C, then
the volume of each reactor is the area of the rectangle with height F/r(Cout) and
width Cin – Cout.
From Fig. 2.11, it follows that if one CSTR is used, the necessary volume is
V = 8(1 – 0.125) = 7 m3. The three reactors have a total volume of:
F F F
V = ðC 0 - C 1 Þ þ ðC 1 - C 2 Þ þ C2 - Cf
kC 1 kC 2 kC f
1 1
= ð1 - 0:5Þ þ ð0:5 - 0:25Þ
1 0:5 1 0:25
1
þ ð0:25 - 0:125Þ = 1 þ 1 þ 1 = 3 m3
1 0:125
This is a significant decrease in the total volume (57% decrease) at the expense
of having a more complex system to operate (three CSTR instead of one).
Fig. 2.11 Graphical representation of the optimal solution of the three CSTR in series with
first-order reaction case study
The contour lines of the total reactor volume are shown in Fig. 2.12. Please
note that not all points shown have a physical meaning. We use our implemen-
tation of Newton’s method to find the minimum numerically:
>> clear
>> C0=1;
>> Cf=0.125;
>> f=@(C) (C0-C(1))/C(1) + (C(1)-C(2))/C(2) + (C(2)-Cf)/Cf;
>> F=@(C) [ -C0/C(1)^2+1/C(2); -C(1)/C(2)^2+1/Cf];
>> H=@(C) [2*C0/C(1)^3, -1/C(2)^2; -1/C(2)^2, 2*C(1)/C(2)^3];
>> Copt=myNewton(f,F,H,[0.6;0.3])
1 3.00984448 0.53867447
2 3.00012125 0.05270747
3 3.00000003 0.00084742
4 3.00000000 0.00000021
Copt = 0.5000
0.2500
>> eig(H(Copt))
ans = 11.1556
68.8444
Fig. 2.12 Contour lines for the three CSTR case study with first-order reaction (for a point to
have physical meaning, C1 must be greater than C2)
However, as the reader can verify, the algorithm diverges easily if we change
the initial point (try (0.8,0.3), for instance). This is also true even for the
MATLAB command fminunc, which seems not to be useful for this relatively
simple example. The mathematical formulation is, unfortunately, incomplete as
the constraints 0.125 < C2 < C1 < 1 need to be incorporated into the formu-
lation to make the algorithm robust and practically useful. This must wait for
the discussion in the next chapter.
Example 2.3 Optimal Operation of a Batch Reactor

Describing the operation of a batch reactor involves solving differential
equations as the system changes continuously over time. Furthermore, the
optimization variables are not single variables but functions of time (i.e., of
infinite dimension). As a result, optimization of dynamic systems, such as batch
reactors, is particularly challenging to perform. To clarify these points, we
consider the reaction scheme R → P → W, where R is the reactant, P is the
product, and W is an undesirable waste product. We assume that we study the

case where pure R is loaded in a batch reactor; the reaction is taking place
under varying temperature, and after tf = 1 h of operation, we stop the reaction
and obtain the product. Our aim is to produce the maximum possible amount of
product P. If we assume that the density and the volume of the reacting mixture
are constant, then we may write the following material balances for compo-
nents R and P in terms of their concentrations CR and CP:
dC R ðt Þ
= - r 1 ðt Þ, C R ðt Þ = C 0 ð2:60aÞ
dt
dC P ðt Þ
= þ r 1 ðt Þ - r 2 ðt Þ, C P ðt Þ = 0 ð2:60bÞ
dt
where r1 is the reaction rate of the reaction R → P and r2 the reaction rate of
the reaction P → W. In this case, we assume that the first reaction is second
order with respect to the concentration of the reactant and the second reaction
is first order with respect to the concentration of the product:

E1
r 1 ðt Þ = k 0,1 exp - C 2 ðt Þ ð2:61aÞ
Rg T ðt Þ R

E2
r 2 ðt Þ = k0,2 exp - C ðt Þ ð2:61bÞ
Rg T ðt Þ P
where k0,1 and k0,2 are the reaction rate constants, E1 and E2 the activation
energies, and Rg the ideal gas constant. Temperature T(t) is an unknown
function of time, and we need to optimize its variation over time to maximize
the production of the product:
min - C P ðt f Þ ð2:62Þ
T ðt Þ
It is important to note at this point that the variable over which we solve the
problem is defined over an infinite number of points as we need to determine
the values of the temperature T(t), for every 2[0, tf], where tf is the final time.
To alleviate this difficulty, we may define temperature to be a specific function
of time such as a polynomial or an exponential function:
T ðt Þ = α 0 þ a 1 t þ α 2 t 2 þ ⋯ þ a n t n ð2:63Þ
or:
T ðt Þ = α0 þ a1 exp ðα3 t Þ ð2:64Þ
where ai are parameters to be determined. In both cases, we have transformed

the initial problem, which needs an infinite number of parameters to be solved,
to a problem of finite number of parameters.
The other issue is that the model consists of differential equations that do
not have an analytic solution. Apart from the problems involved in solving
numerically a problem that involves differential equations, there are also
problems associated with the calculation of the first- and second-order
derivatives.
Consider the following numerical parameters: C0 = 1 kmol/m3; k0,1 = 4000
(m /kmol)/h; k0,2 = 620,000 1/h; E1/R = 2500 K; E2/R = 5000 K; and linear
3
temperature profile:
T ðt Þ = T 0 þ ðT 1 - T 0 Þt ð2:65Þ
We can summarize the overall problem:
min - C P ð1Þ
T 0 ,T 1
s:t:
dC R 2500
= - 4000 exp - C2
dt T 0 þ ðT 1 - T 0 Þt R

dC P - 2500 - 5000
= þ 4000 exp C 2R - 620,000 exp C
dt T 0 þ ðT 1 - T 0 Þt T 0 þ ðT 1 - T 0 Þt P
t 2 ½0, 1, C R ð0Þ = 1, C P ð0Þ = 0
ð2:66Þ
To solve this system of ordinary differential equations (ODE), we may

use one of the several ode solvers available in MATLAB. Their general
syntax is as follows:ode_solver_name(@fun_name,[initial_time
final_time], initial_x)where the symbols used are self-explanatory.
The solver ode113 (use the >> help ode113 command to obtain more
information) is a very efficient general-purpose ode solver in MATLAB and is
usually our first choice. The following m-file implements the model of the batch
reactor:
function Cdot=RayReactor(t,C,T0,T1)
T=T0+(T1-T0)*t;
Cdot(1) = -4000*exp(-2500/T)*C(1)^2;
Cdot(2) = +4000*exp(-2500/T)*C(1)^2 -620000*exp(-5000/T)*C(2);
Cdot=Cdot(:);
To obtain the solution for T0 = 400 K and T1 = 300 K, we use the following
command:
[t,C]=ode113(@RayReactor,[0 1],[1 0],[],400,300);
The solution obtained can be seen in Fig. 2.13. The value of the objective
function is:
>> -C(end,2)
ans = -0.5278
Fig. 2.13 Simulation results of the batch reactor with T(t) = 400–100 t
Fig. 2.14 Contour lines for the batch reactor final product concentration
We may repeat the procedure just presented and plot the results to obtain
the contour plot shown in Fig. 2.14. We note that the case study has a clear
minimum which can be determined using the MATLAB command fminunc:
function obj=RayReactorObj(T)
[t,C]=ode113(@RayReactor,[0 1],[1 0],[],T(1),T(2));
obj=-C(end,2);
>> clear
>> x0=[400;300];
>> options=optimoptions('fminunc','Display','Iter');
>> Topt=fminunc(@RayReactorObj,x0,options)
MATLAB response is as follows:

First-order
Iteration Func-count f(x) Step-size optimality
0 3 -0.52778 0.00423
1 15 -0.543452 820 0.00378
2 18 -0.601359 1 0.000423
3 24 -0.606268 7.24839 0.000588
4 27 -0.608215 1 0.000311
5 30 -0.60893 1 2.02e-05
6 33 -0.608949 1 2.36e-05
7 36 -0.608954 1 1.11e-06
8 39 -0.608954 1 5.16e-09
Local minimum found.
Optimization completed because the size of the gradient is less

than
the default value of the optimality tolerance.
ans = 349.7223
320.6829
The optimum value of the objective function is -0.608954, or 60.9% con-

version of the reactant to the desired product can be achieved using a linear
temperature variation.
2.4 Parameter Estimation: Nonlinear Least Squares
In this chapter, we have studied methods and examples for the general prob-
lem of unconstrained optimization problem with many variables:

x2R
This is not a very useful category of optimization problems in terms of practical

applications. Two are the reasons why we have devoted a whole chapter to this
subject. The first one is that unconstrained optimization helps introduce the
algorithms and methods for solving constrained optimization problems. The
second is that the problem of parameter estimation in nonlinear models is
usually expressed as an unconstrained optimization problem with many vari-
ables. This problem is known to most engineers as least-squares optimization
or parameter estimation problem. The name is due to the objective function
chosen in these problems, which is the sum of the squares of the deviations
between the predictions of a theoretical model and the experimental data. This
is neither the only nor the most appropriate objective function for estimating
the parameters in a mathematical model, but it is the one most used.
2.4 Parameter Estimation: Nonlinear Least Squares 85
To give a specific example of parameter estimation problem, let us consider

the fuel cell system that we have studied in Chap. 1 and more specifically
concentrate on Fig. 1.14. In this figure, the experimental results obtained from
a particular system are shown. To obtain these results, the engineers varied the
current density of the cell and observed the resulting variation of the voltage
developed by the cell. The researchers had control over the equipment and
changed in a predetermined (and in many cases well-thought and well-
planned) way several parameters which are available to them to manipulate.
We will use the symbol x to denote these parameters which are varied
purposefully by the researcher. In the case of the fuel cell, the researchers
only varied the current density (x = j) and kept all other parameters constant.
They obtained experimental observations of important outputs or responses of
the system which we will denote by the symbol y. In the case of the fuel cell, the
response of the system is evaluated by recording the voltage developed by the
cell, y = E.
Based on scientific knowledge and experimental observations, the
researchers usually develop mathematical models to validate their hypothesis
about the systems they study. These models contain the controlled variables
(such as the current density), the system responses (such as the cell voltage),
and several parameters that must be estimated. We will denote these param-
eters by the symbol p. The mathematical model φ is, therefore, of the
following form:
y = φðx, pÞ ð2:68Þ
In the case of the fuel cell, there is only one controlled variable and one
response, and Eq. (2.68) can be simplified:
y = φðx, pÞ ð2:680 Þ
The experiments take place at discrete values of the controlled variable xi,
i = 1,2,. . .,n, and experimental observations are obtained yexp(xi). The discrep-
ancies between the experimentally observed values of the response and the
ones predicted by the model are defined by the residual function r(p):
r i ðxi , pÞ = φðxi , pÞ - yiexp ð2:69Þ
The aim of a parameter estimation methodology is to develop an efficient

way to determine the parameter vector p that minimizes a measure of dis-
agreement between the experimental values and the model predictions. The
most popular parameter estimation method, known as the nonlinear least
squares method (NLLS), is based on minimizing the sum of the squares of the
residuals:
1 Xn 2 1 Xn 2
min f ðpÞ = =
r i ðxi , pÞ = i=1
ðφðxi , pÞ - yiexp Þ ð2:70Þ
p 2 i 1 2
As residuals can be positive or negative, we need to use the squares of the

residuals to avoid a situation where the model fails miserably to describe the
experimental observations, but the residuals cancel each other. An undesirable
characteristic of the sum of the squares is that large residuals affect strongly
the value of the criterion.
One method to solve NLLS problems is the Newton’s method. In applying
Newton’s method, we need to calculate the gradient and the hessian. We first
calculate the gradient:
∂f ðpÞ 1 Xn ∂r 2i ðxi ; pÞ 1 Xn ∂r i ðxi ; pÞ

= = 2r
i=1 i
∂pk 2 i=1 ∂pk 2 ∂pk
Xn exp
∂ðφðxi , pÞ - yi Þ
= r
i=1 i ∂pk
or:
∂f ðpÞ Xn ∂φðxi , pÞ
= r ðx , pÞ
i=1 i i
ð2:71Þ
∂pk ∂pk
The last equation can also be written in matrix form:

2 3 2 3
∂f ðpÞ ∂φðx1 , pÞ ∂φðx2 , pÞ ∂φðxn , pÞ
6 ∂p 7 6 ∂p ⋯ 72 3
6 1 7 6 1 ∂p1 ∂p1 7 r 1 ð pÞ
6 ∂f ðpÞ 7 6 ∂φðx , pÞ ∂φðx , pÞ 7
∂φðxn , pÞ 76 r ðpÞ 7
6 7 6 1 2
6 7 6 ⋯ 76 2 7
6 ∂p2 7 = 6 ∂p2 ∂p2 ∂p2 76 7
6 7 6 74 ⋮ 5
6 ⋮ 7 6 ⋮ ⋮ ⋱ ⋮ 7
6 7 6 7
4 ∂f ðpÞ 5 4 ∂φðx1 , pÞ ∂φðx2 , pÞ ∂φðxn , pÞ 5 r n ðpÞ
⋯
∂pm ∂pm ∂pm ∂pm
or:
∇f ðpÞ = J T ðpÞr ðpÞ ð2:72Þ
where:
2 3
∂f ðpÞ
6 ∂p 7 2 3
6 1 7 r 1 ð pÞ
6 ∂f ðpÞ 7
6 7 6 r ð pÞ 7
6 7 6 2 7
∇f ðpÞ = 6 ∂p2 7 , r ðpÞ = 6 7 ð2:73Þ
6 7 4 ⋮ 5
6 ⋮ 7
6 7 r n ð pÞ n × 1
4 ∂f ðpÞ 5
∂pm m × 1
and J(p) is the Jacobian matrix:

2 3
∂φðx1 , pÞ ∂φðx1 , pÞ ∂φðx1 , pÞ
6 ∂p ⋯
6 1 ∂p2 ∂pm 7 7
" # 6 ∂φðx , pÞ ∂φðx2 , pÞ ∂φðx2 , pÞ 7
∂φðxi , pÞ 6 2 7
6 ⋯ 7
J ðpÞ = = 6 ∂p1 ∂p2 ∂pm 7 ð2:74Þ
∂pj 6 7
6 ⋮ ⋮ ⋱ ⋮ 7
6 7
4 ∂φðxn , pÞ ∂φðxn , pÞ ∂φðxn , pÞ 5
⋯
∂p1 ∂p2 ∂pm
It should be noted that m is the number of parameters and n is the number

of experimental observations. We also calculate the hessian:
X
∂ ∂f ðpÞ ∂ Xn ∂φðxi , pÞ n ∂φðxi , pÞ ∂φðxi , pÞ
= r ð
i=1 i i
x , p Þ =
∂pℓ ∂pk ∂pℓ ∂pk i=1 ∂pℓ ∂pk
Xn 2
∂ φðxi , pÞ
þ r ðx , pÞ
i=1 i i ∂pℓ ∂pk
or by ignoring the second term in the right-hand side (as the residuals become
small close to the solution):
∇2 f ðpÞ ≈ J T ðpÞJ ðpÞ ð2:75Þ
When Newton’s step is calculated by applying Eq. (2.40), we obtain:

J T pk J pk δpk = - J T pk r pk ð2:76Þ
which requires only the first derivatives of the mathematical model with
respect to the parameters.
We have presented a great deal of theory which we will now try to elucidate
through the fuel cell example. The experimental data available are pairs of
applied current density and measured cell voltage (xi = ji, yi = E( ji)). The
mathematical model is given by Eq. (1.74):

RT x
yi ðxi ; E 0 , RΩ , jL Þ = E 0 - RΩ xi þ ln 1 - i ð2:77Þ
2F jL
We define the vector of the three parameters:

2 3
E0
6 7
p = 4 RΩ 5 ð2:78Þ
jL
and (2.78) becomes:

RT xi
y i ðx i ; pÞ = p 1 - p 2 x i þ ln 1 - ð2:79Þ
2F p3
Experimental data for a particular solid oxide fuel cell (SOFC) that operates at a
relatively low temperature (873 K) are presented in Table 2.2. We make use of
these data to determine the parameters of the model (2.79). To this end, we
build the following m-file that calculates the residuals:
function [r,f,jexp,Eexp]=SSR_FuelCell(p)
% Sum of Squares of Residuals for the SOFC model
jexp=[.020 .109 .600 1.087 1.588 2.089 2.583 3.083 3.462 3.835]';
Eexp=[.835 .827 .764 .690 .609 .533 .447 .346 .242 0.062]';
r=(p(1)-p(2)*jexp+0.0376*log(1-jexp/p(3))) - Eexp;
We then use the implementation of the NLLS algorithm in MATLAB (solver

lsqnonlin: lsqnonlin(@myfun,x0)). The model predictions and the exper-
imental data are compared in Fig. 2.15:
Table 2.2 Experimental i j (A/cm2) Eexp (V)

data for the fuel cell
1 0.020 0.835
application
2 0.109 0.827
3 0.600 0.764
4 1.087 0.690
5 1.588 0.609
6 2.089 0.533
7 2.583 0.447
8 3.083 0.346
9 3.462 0.242
10 3.835 0.062
Data have been extracted from figures appearing in Huang C.,
et al., Journal of Power Sources, 195, p. 5176, 2010
Fig. 2.15 Comparison of experimental results (o) and model predictions (-) for the fuel cell
case study
>> clear
>> p=[0.9;0.2;4]
>> opts = optimoptions(@lsqnonlin,'Display','Iter');
>> po=lsqnonlin(@SSR_FuelCell,p,[],[],opts)
>> [r,f,jexp,Eexp]=SSR_FuelCell(po);
>> j=linspace(0,po(3),101);
>> plot(j,po(1)-po(2)*j+0.0376*log(1-j/po(3)),'k-
','LineWidth',1)
>> hold on
>> grid on
>> xlabel('Current density j (A/cm^{2})')
>> ylabel('Voltage E (V)')
>> plot(jexp,Eexp,'ko','LineWidth',1)
Norm of First-order
Iteration Func-count f(x) step optimality
0 4 0.0538428 1.44
1 8 0.0538428 0.650709 1.44
2 12 0.00968978 0.162677 0.376
3 16 0.00116089 0.0459602 0.00237
4 20 0.00116068 8.36595e-05 9.67e-06
Local minimum possible.
po = 0.8517
0.1445
3.8422
Before closing this section, it is interesting to examine the case where the
mathematical model is linear of the following general form:
y = φðx, pÞ = Aðx Þ p ð2:80Þ
A common linear model is the multiple regression model:
y = p0 þ p1 x 1 þ p2 x 2 þ . . . pq x q þ ⋯ þ pn x n ð2:81Þ
If the experiments take place at m discrete values of the controlled variables

vector xi, i = 1,2,. . .,m, and experimental observations are obtained yexp(xi),
then y, A, and p are defined as follows:
2 3 2 3
y1 1 x1,1 x2,1 ⋯ xq,1 ⋯ xn,1
6 7 6 7
6 y2 7 61 x1,2 x2,2 ⋯ xq,2 ⋯ xn,2 7
6 7 6 7
6 7 6 7
6⋮7 6⋮ ⋮ ⋮ ⋱ ⋮ ⋮ 7
6 7 6 7
y = 6 7 , A ðx Þ = 6 7,
6 yi 7 61 x1,i x2,i xq,i xn,i 7
6 7 6 7
6 7 6 7
6⋮7 6⋮ ⋮ ⋮ ⋮ ⋱ ⋮ 7
4 5 4 5
y 1 x1,m x2,m ⋯ xq,m ⋯ xn,m
2 m3 ð2:82Þ
p0
6 7
6 p1 7
6 7
6 7
6⋮7
6 7
p=6 7
6 pq 7
6 7
6 7
6⋮7
4 5
pn
Learning Summary 91
The discrepancies between the experimentally observed values and the ones
predicted by the model are defined by the vector of residuals r(p) with
elements:
ri ðx i , pÞ = yi ðx i , pÞ - ykexp ð2:83Þ
The linear least squares method (LLS) is based on minimizing the sum of the
squares of the residuals:
1 Xn 2 1 Xn 2
min f ðpÞ = =
r i ðx i , pÞ = ðy ðx , pÞ - yiexp Þ
i=1 i i
p 2 i 1 2
1 ð2:84Þ
= ðAp - y exp ÞT ðAp - y exp Þ
2
1 T T
= p A Ap - pT AT y exp - y exp T Ap þ y exp T y exp
2
or:
1 T T
min f ðpÞ = p A Ap - 2y exp T Ap þ y exp T y exp ð2:85Þ
p 2
We then calculate the gradient of f(p):
∂f ðpÞ 1 ∂ T T
= p A Ap - 2y exp T Ap þ y exp T y exp
∂p 2 ∂p
1 ∂ T T ∂ exp T
= p A Ap - y Ap = AT Ap - AT y exp
2 ∂p ∂p
where we have used the identities:
∂ðzT QzÞ ∂ðc T zÞ

= 2Qz, =c
∂z ∂z
or, by setting the gradient equal to the zero:

AT A p = AT y exp ð2:86Þ
The last equation is a linear system of equations whose solution provides an

estimate for p.
Learning Summary
The conditions for a local minimum in the case of differentiable functions of

many variables:
minn f ðxÞ
x2R
are:
∇f ðx 0 Þ = 0
ðx - x 0 ÞT H ðx 0 Þðx - x 0 Þ > 0 or H ðx 0 Þ is p:d:
If we are at a point x0 in Rn then:

• The direction of +∇f(x0) is the direction of fastest increase in f(x) at x0.
• The direction of -∇f(x0) is the direction of fastest decrease in f(x) at x0.
• +∇f(x0) and -∇f(x0) are perpendicular to the tangent of f(x) at x0.
Αll x satisfying the inequality:
∇T f ðx 0 Þð x - x 0 Þ > 0
belong to the half space of directions of increasing objective function.

All x satisfying the inequality:
∇T f ðx 0 Þðx - x 0 Þ < 0
belong to the half space of directions of decreasing objective function.

The generalization of the Newton’s method in multidimensional functions is
the following:
Step 0: Select an initial estimate of the solution x02ℝn, at iteration k = 0.

Step 1: Calculate f(xk), ∇(xk) and H(xk).
Step 2: Determine the Newton step δxk by solving (2.40) to obtain
xk+1 = xk + δxk.
Step 3: If ||∇f(xk)|| < ε, then STOP; else set k = k + 1, and return to Step 1.
In Step 2 of the Newton algorithm, we do not accept immediately the full

Newton’s step, but we determine the minimum n, starting from n = 0, that
satisfies the criterion:

f x k þ βn δxk < f xk þ αβn ∇f T x k δx k
When it is satisfied then, as it is proven in the literature, the decrease in the

objective function is satisfactory to achieve convergence to a stationary point.
The most popular parameter estimation method, known as the nonlinear
least squares method (NLLS), is based on minimizing the sum of the squares of
the residuals between a proposed model y = φ(x,p) and experimental data yexp:
Problems 93
1 Xn 2 1 Xn 2
min f ðpÞ = =
r i ðx i , pÞ = i=1
ðφðxi , pÞ - yiexp Þ
p 2 i 1 2
The NLLS parameter estimation is the most important (if not the only) appli-
cation of unconstrained optimization.
Terms and Concepts
You must be able to discuss the concepts of:

Concave up or convex function
Hessian matrix
Gradient vector and its properties
Least squares parameter estimation
Newton method when applied to functions of many variables (describe the steps)
Positive definite hessian matrix
Stationary point of functions of many variables
Taylor approximation of functions of many variables
Unconstrained optimization and the optimality conditions for functions of many
variable
Problems
2.1 Polarographic probes are used routinely to perform measurement of

diluted oxygen in bioreactors. The experimental data obtained when
performing a step test to a small bioreactor are presented in Table P2.1.
Nitrogen is first fed to the bioreactor to remove all oxygen. Then air is fed,
and the probe recordings are obtained. The mathematical analysis of the
problem involves solving some complex partial differential equations that
describe oxygen diffusion in the membrane of the polarographic probe.
The result is summarized in the following equation:
X1 t
y ðt Þ = 1 þ 2 ð - 1Þn exp - n2 π 2
n=1 τ
Propose a strategy and a mathematical formulation to estimate the

value of the model parameter τ using only one term approximation (n = 1
only) and using possibly some graphical means. After obtaining an initial
estimate for τ, plot the sum of squares of the residuals for values of τ
around your initial estimation. Finally, use nonlinear least squares to
estimate τ.
Table P2.1 Experimental Time (s) i(t)/i1

data from a step experiment
0 0
in a bioreactor
5 0.0217
10 0.1797
15 0.3523
20 0.4987
25 0.6247
30 0.7073
35 0.7677
40 0.8137
45 0.8523
50 0.8813
60 0.9220
70 0.9460
80 0.9623
90 0.9730
100 0.9803
150 0.9967
200 0.9993
Fig. P2.2 A simple

holding tank
LT
ht
A
kF t
2.2 The tank shown in Fig. P2.2 is initially filled with water up to the level of
h = 68 cm. The valve is opened at t = 0, and the level of the liquid in the
tank is measured through a computer system every 10 s. The equation for
the volumetric flow rate of the liquid is the following:
Problems 95
Table P2.2 Experimental t (s) h (cm)

data from the liquid storage
1 0 63.8
tank shown in Fig. P2.2
2 10 58.1
3 20 48.6
4 30 42.5
5 40 36.6
6 50 32.3
7 60 25.7
8 70 21.9
9 80 14.9
10 90 12.9
11 100 9.1
pffiffiffiffiffiffiffiffiffi
Q_ ðt Þ = - k hðt Þ
The cross-sectional area of the tank is A = 154 cm2. Propose a method

to determine the constant k in the model of the volumetric flow rate of the
outgoing liquid from the tan k. Determine the constant k, and show
graphically the adequacy of your estimation (using the data in
Table P2.2).
2.3 Hill and Root (Introduction to Chemical Engineering Kinetics and Reactor
Design, 2nd ed., Wiley, 2014) report experimental data on the bromina-
tion of meta-xylene at 17 °C. Small quantities of bromine are added into a
xylene solution, and the rate of disappearance of bromine was measured
(see Table P2.3). The rate expression is of the form:
dC
= - kC n
dt
where C is the bromine concentration and k and n are constants in the

rate model. Prove that the solution of the rate model above is:
Table P2.3 Experimental cBr2(t) Time cBr2(t)

data for meta-xylene i Time (min) (mol/L) i (min) (mol/L)
bromination
1 0.00 0.3335 11 19.60 0.1429
2 2.25 0.2965 12 27.00 0.1160
3 4.50 0.2660 13 30.00 0.1053
4 6.33 0.2450 14 38.00 0.0830
5 8.00 0.2255 15 41.00 0.0767
6 10.25 0.2050 16 45.00 0.0705
7 12.00 0.1910 17 47.00 0.0678
8 13.50 0.1794 18 57.00 0.0553
9 15.60 0.1632 19 63.00 0.0482
10 17.85 0.1500
1 1
- = ðn - 1Þkt
C n - 1 ðt Þ C n0 - 1
Use the solution just derived to propose a methodology for estimating

the constants of the model using the data in Table P2.3. Plot the residuals
around the values ν = 1.5 and k = 0.1 (L/mol)ν-1/min. Use the least
squares solver in MATLAB to determine the optimum values of the
parameters.
2.4 An important problem in process control is model reduction of process
models. A high-order model is usually obtained by linearizing a relative
complex model to obtain a transfer function of the following form:
b0 þ b1 s þ b2 s2 þ . . . þ bn - 1 sn - 1 - ds
G ð sÞ = e
a0 þ a1 s þ a2 s2 þ . . . þ an sn
When our aim is to synthesize a low-order, fixed structure controller

such as a proportional-integral (PI) controller, a simpler (reduced) model
is usually more appropriate:
β0 þ β1 s þ β2 s2 þ . . . þ βm - 1 sm - 1 - θs
gðsÞ = e , m< <n
α0 þ α1 s þ α2 s2 þ . . . þ αm sm
The reduced model can be obtained by several methods, and arguably,

the simplest possible is by “matching” the step response or the frequency
response of the two models. If, for instance, our aim is to match the
frequency response of the two models, then we normally have available
pairs of amplitude ratio AR and phase angle φ of the process at several
frequencies:
fωi , ARi , φi g
The parameters of the reduced model p = [β0 β1 . . . βm α0 α1 . . . αm θ]Τ

are determined to minimize the sum of the squared deviations between
the amplitude ratio and the phase angle of the process and the reduced
model:
X 2 X 2
WSSEðpÞ = i
ARG,i - ARg,i ðpÞ þγ i
φG,i - φg,i ðpÞ
As an example, consider the process:
1
GðsÞ =
s5 þ 5s4 þ 10s3 þ 10s2 þ 5s þ 1
Using the following commands in MATLAB:

Problems 97
G=tf(1,[1 5 10 10 5 1]);
w=logspace(-2,0.5,10);
[AR,phi]=bode(G,w);
AR_G=squeeze(AR)
phi_G=squeeze(phi)/(180/pi)
we generate the following “experimental data”:
ωi (rad/s) ARG,i φG,i (rad)

0.0100 0.9998 -0.0500
0.0190 0.9991 -0.0948
0.0359 0.9968 -0.1796
0.0681 0.9885 -0.3401
0.1292 0.9595 -0.6422
0.2448 0.8645 -1.2006
0.4642 0.6140 -2.1728
0.8799 0.2385 -3.8081
1.6681 0.0359 -5.1538
3.1623 0.0025 -6.3226
Select the first order plus delay time model (p = [k τ θ]Τ), and
determine its parameters:
k
gðsÞ = e - θs
τs þ 1
where:
k
ARg ðωÞ = qffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffi
ðωτÞ2 þ 1
φg ðωÞ = arctan ð - ωτÞ - ωθ
2.5 Table P2.5 contains data for the saturation pressure Ps of water as a
function of the absolute temperature T. Estimate the parameters of the
following forms of the Antoine equation:
B
ln Ps = A -
T
B
ln Ps = A -
T þC
Table P2.5 Data for the i T [K] Ps [mmHg]

saturation pressure of water
1 283.15 9.16
2 293.15 17.47
3 303.15 31.74
4 313.15 55.19
5 323.15 92.30
6 333.15 149.04
7 343.15 233.17
8 353.15 354.53
9 363.15 525.27
10 373.15 760.00
2.6 Integral reactor data on the pyrolytic dehydrogenation of benzene (Ben:

C6H6) to diphenyl (DPH: C12H10) and triphecyl (TPH: C18H14):
2Ben , DPH þ H2
Ben þ DPH , TPH þ H2
are reported by Seinfield and Gavalas (AIChE J., 16, p. 644, 1970). The
authors also present a mathematical model consisting of two ordinary
differential equations that involve two unknown parameters. Study the
paper, and use the data to estimate the model parameters. Compare your
results with the results presented in the paper. What are your
conclusions?
2.7 In Fig. P2.7 a closed loop system is shown. A process with first order
dynamics:
dyðt Þ
τp þ y ðt Þ = u ðt Þ þ d ðt Þ
dt
is to be controlled with a PI-Controller with the following dynamics:
d
e U u y
Fig. P2.7 A closed loop system with PI control

Problems 99
eðt Þ = ysp - yðt Þ

dI ðt Þ
= e ðt Þ
dt

I ðt Þ
U ðt Þ = kc eðt Þ þ
τI
where:
y is the process output.
ysp is the set point (the desired value of the output).
e is the error (deviation) signal.
U is the controller output.
d is a disturbance to the system.
u is the valve input to the system.
I is the integral of the error.
τp is the time constant of the process (τp = 1 s).
kc is the controller gain.
τI is the integral time of the controller.
The controller output U drives a valve which also exhibits first-order
system dynamics:
duðt Þ
τv þ uðt Þ = U ðt Þ
dt
where τv = 0.1 s is the valve time constant.

You have been asked to design the PI-controller, i.e., select the control-
ler gain and the controller integral time, for ysp = 0 and d = 1 (unit step
change in the load), so as to minimize the following performance index:
Z 100
min J = ðjeðt Þj þ 100j1 þ U ðt ÞjÞ dt
k c ,τI 0
Hint: build an m-file that solves the differential equations and also
transforms the objective function to a differential equation for a given
pair of kc and τI. Create a contour plot for kc 2 [5,12] and τI 2 [0.5,1,5].
Chapter 3
Constrained Optimization
3.1 Introduction to Constrained Optimization
In the previous chapter, we discussed unconstrained optimization problems

with many optimization variables:

x2R
In this chapter, we will be studying problems with equality and inequality

constraints which, when present, result in the most general form of nonlinear
programming problems (NLP) with continuous variables:
min f ðxÞ
x
s:t: ð3:2Þ
hðxÞ = 0
gðx Þ ≤ 0
x L ≤ x ≤ xU
where x is a n-th dimensional vector, h is vector valued function (h: Rn → Rm),

g is also a vector valued function (g: Rn → R p), and f is a real valued function f:
Rn → R. All vectors x that satisfy both the equality and inequality constraints
define the feasible space of the problem. An important property of a feasible
space is that of convexity. A great deal of space is devoted in almost all
optimization books to define convex sets and convex functions. Generally
speaking, a set S is convex if for any x1 2 S and x2 2 S, all points x in the line
segment connecting x1 and x2 also belong to S, i.e., x 2 S. However, this is a
property that is never satisfied by nonlinear equality constraints. Therefore,
convexity cannot be assumed for mainstream chemical engineering problems,

AG 2022
102 3 Constrained Optimization
and the extra effort and space needed to cover its mathematical details cannot
be justified. We refer the interested reader into classical NLP theory books. As
we have mentioned in Chap. 1, linear programming (LP) problems are indeed
convex problems, and we will present the basic steps in solving LP problems in
the next chapter without explicit reference to the general theory of convex sets
and function (but we will present the basic elements necessary to establish
whether a point is actually the solution to an LP problem or not).
3.2 Equality Constrained Problems
We start by examining the simplest case which is that of equality constrained

problems:
min f ðxÞ
x
s:t: ð3:3Þ
hðxÞ = 0
To derive the optimality conditions, we will define the Lagrangian function L:
Lðx, λÞ = f ðxÞ þ λT hðxÞ ð3:4Þ
where λ is a vector with as many elements as there are equality constrains

(i.e., m). The elements of λ, known as Lagrange multipliers, are to be deter-
mined together with the elements of the vector x. Note that L:Rn+m → R, i.e.,
the Lagrangian is a real valued function. We can also write (3.4) in the
following form to facilitate understanding:
Xm
Lðx, λÞ = f ðxÞ þ λ h ðx Þ
i=1 i i
ð3:5Þ
Assume that we have managed to develop a methodology that determines

the solution to the problem of minimizing the Lagrangian function which is
achieved at point x0. Then, if h(x0) = 0, then x0 is also the solution to problem
(3.3) as the second term in the right-hand side of (3.5) is equal to zero. To
develop such a methodology, we only need to observe that the problem of
minimizing the Lagrangian function over x and λ is an unconstrained minimi-
zation problem with stationary points:
Xm
∇x Lðx, λÞ = ∇f ðxÞ þ λ ∇hi ðxÞ = 0
i=1 i
ð3:6Þ
3.2 Equality Constrained Problems 103
∇λ Lðx, λÞ = hðxÞ = 0 ð3:7Þ
where ∇x denotes the gradient with respect to the vector x and ∇λ denotes the
gradient with respect to the vector λ. These results follow directly by
noticing that:
Xm ∂f ðxÞ Xm ∂hi ðxÞ
∂
f ðxÞ þ λ i h i ð xÞ = þ λ
i = 1 i ∂x j
ð3:8Þ
∂xj i=1 ∂xj
Xm
∂ ∂ Xm
f ðx Þ þ λ i h i ð x Þ = λi h i ð x Þ = hk ðxÞ ð3:9Þ
∂λk i=1 ∂λk i=1
Equations (3.6) and (3.7) constitute a system of n+m equations in n+m

unknowns (i.e., x and λ). We have, therefore, transformed the initial
constrained problem to an unconstrained problem, which is then transformed
(through the application of the optimality conditions) to a system of nonlinear
equations. As satisfaction of the equality constraints (see Eq. (3.7)) is part of
the final problem formulation, it follows that minimizing the Lagrangian is
equivalent to minimizing the initial objective function.
In developing the algorithms for solving equality constrained problems, it
will be useful to express Eq. (3.6) in matrix form. To achieve that, we rewrite
Eq. (3.8) in the following form (we show in detail the intermediate steps as this
can be confusing):
!
∂ Xm
∂f ðxÞ ∂h ðxÞ ∂h ðxÞ ∂h ðxÞ
f ðx Þ þ λi hi ðxÞ = þ λ1 1 þ λ2 2 þ . . . þ λm m
∂x1 i=1
∂x1 ∂x1 ∂x1 ∂x1
!
∂ Xm
∂x2 i=1
∂x2 ∂x2 ∂x2 ∂x2
! ⋮
∂ Xm
∂xn i=1
∂x n ∂x n ∂x n ∂xn
or
2 3 2 3
∂f ðxÞ ∂h1 ðxÞ ∂h2 ðxÞ ∂hm ðxÞ
6 ∂x 7 6 ∂x ⋯
6 1 7 6 1 ∂x1 ∂x1 7 2 3
7 λ1
6 7 6 7
6 ∂f ðxÞ 7 6 ∂h1 ðxÞ ∂h2 ðxÞ ∂hm ðxÞ 7 6 λ 7
6 7 6 ⋯ 76 2 7
∇x L ðx, λÞ = 6 ∂x2 7 þ 6 ∂x2 ∂x2 ∂x2 7 6 7
6 7 6 7 4⋮ 5
6⋮ 7 6⋮ ⋮ ⋱ ⋮ 7
6 7 6 7
4 ∂f ðxÞ 5 4 ∂h1 ðxÞ ∂h2 ðxÞ ∂hm ðxÞ 5 λm
⋯
∂xn ∂xn ∂xn ∂xn
and finally:
∇x Lðx, λÞ = ∇f ðxÞ þ ∇T hðxÞλ ð3:10Þ
where the m-by-n Jacobian matrix of the equality constraints is defined by:
2 3
∂h1 ðxÞ ∂h1 ðxÞ ∂h1 ðxÞ
6 ∂x ⋯
6 1 ∂x2 ∂xn 7 7
6 7
6 ∂h2 ðxÞ ∂h2 ðxÞ ∂h2 ðxÞ 7
∂hi ðxÞ 6 ⋯ 7
∇hðxÞ = 6 ∂x1 ∂x2 ∂xn 7 ð3:11Þ
∂xj 6 7
6⋮ ⋮ ⋱ ⋮ 7
6 7
4 ∂hm ðxÞ ∂hm ðxÞ ∂hm ðxÞ 5
⋯
∂x1 ∂x2 ∂xn
It is given as an exercise to the reader to use the following result:
Xm
∂ ∂f ðxÞ Xm
2
∂ ∂hi ðxÞ
f ðx Þ þ λ h ðx Þ =
i=1 i i
þ λ
i = 1 i ∂xj
∂xℓ ∂xj ∂xℓ ∂xj
ð3:12Þ
∂ f ðxÞ Xm
2 2
∂ hi ðxÞ
= þ λ
i = 1 i ∂xℓ ∂x j
∂xℓ ∂xj
and to prove that the second derivative of the Lagrangian function is given by:
" # P " #
∇2xx L ∇2xλ L
∇2 f ðxÞ þ mi=1 λ i ∇ 2
h i ð x Þ ∇ T
h ðx Þ
∇ L=2
= ð3:13Þ
∇2λx L ∇2λλ L ∇hðxÞ 0
Consider the following simple numerical example where we seek for the
minimum distance from the origin in the x1, x2 space that satisfies a linear
equality constraint:
min
x
x21 þ x22
s:t: ð3:14Þ
x1 þ x2 = 1
The graphical solution of the problem is shown in Fig. 3.1. The Lagrangian
function is:
Lðx, λÞ = x21 þ x22 þ λðx1 þ x2 - 1Þ ð3:15Þ
Applying the optimality conditions (3.6) and (3.7) gives:

3.2 Equality Constrained Problems 105
x f xA
f xB
h
h
xA h
xB
f xC
xC x
f
x
f
Fig. 3.1 Graphical solution to the equality constrained problem given by Eq. (3.14)
2x1 þ λ = 0 ð3:16Þ
2x2 þ λ = 0 ð3:17Þ
x1 þ x2 - 1 = 0 ð3:18Þ
Equations (3.16, 3.17, and 3.18) consist a system of linear equations with
solution x1 = x2 = 1/2, and λ = -1. The optimal point is shown as point xB
in Fig. 3.1. At this point, the gradients of the objective function and of the
equality constraint are:

2x1 1 1
∇f = = , ∇h = ð3:19Þ
2x2 1 1
Apparently, the gradient of the objective function belongs to the same line as
the gradient of the equality constraint. This only happens at point xB. There is
no other feasible point (a point that satisfies the equality) where the two
gradients belong to the same line. At point xC, for instance, the gradient of
the objective function and the gradient of the equality constraint are:

2x1 2 1
∇f = = , ∇h = ð3:20Þ
2x2 0 1
and it is impossible to write the gradient of the objective function as a multiple

of the gradient of the constraint (this is also clear from Fig. 3.1 as the two
vectors do not belong to the same line). The same observation can be made for
point xA and any other feasible point apart from xB.
Before moving forward, there is a point to clarify: What is the physical
meaning and the practical usefulness of the Lagrange multipliers? To answer
this question, we consider the following problem with one equality constraint,
but the RHS of the equality is equal to an arbitrary number β:
min f ðxÞ
x
s:t: ð3:21Þ
hðxÞ = β
If xβ is the optimum solution, then it follows that (the subscript β is used to

denote that the result is valid when the RHS of the equality constraint is equal
to β):

∇f xβ þ λβ ∇h xβ = 0 ð3:22Þ
We use the linear approximation of the objective function close to the solution:

f ðxÞ = f xβ þ ∇T f xβ x - xβ ð3:23Þ
We now make use of the optimality conditions (3.22) to obtain:

f ð x Þ - f x β = - λ β ∇T h x β x - x β ð3:24Þ
We also perform linearization of the equality constraint:

h ð x Þ = h x β þ ∇T h x β x - x β ð3:25Þ
From (3.24) and (3.25) we finally obtain:

f ðxÞ - f xβ = - λβ hðxÞ - h xβ ð3:26Þ
Or, as both f(x) and h(x) are real valued functions and h(x) - h(xβ) = (β + Δβ) -
β = Δβ:

Δf xβ
λβ = - ð3:27Þ
Δβ
We therefore conclude that the Lagrange multiplier is the ratio of the variation
of the objective function at the optimum to the variation of the RHS of the
equality constraint when written in the form (3.21). As the ratio can be both
negative and positive (we have no reason to believe that in the general case, an
increase in β will always result in an increase or always in a decrease in the

objective function), then we conclude that the Lagrange multiplier of equality
constrains can be negative, zero, or positive (any real number). To validate our
findings, let’s consider again Problem (3.14), which when β = 1 has the
solution x1 = x2 = 0.5, λ = -1, and f = 0.5. If we increase β to β = 1.1, we
obtain:

f ðx Þ ≈ f x β - λβ h ðx Þ - h x β = 0:5 - ð - 1Þð1:1 - 1Þ = 0:6
Solving the exact problem, we obtain x1 = x2 = 0.55, λ = -1.1, and f = 0.605.

We therefore conclude that (3.27) is an acceptable approximation to the
sensitivity of the objective function to variations in the RHS of the equality
constraints.
Example 3.1 Minimum Reactor Volume for First-Order Reaction

We consider again Example 1.3 of Chap. 1 where two CSTR in series are
studied, and the aim is to calculate the minimum total volume necessary to
achieve a specific conversion. When a first-order reaction is assumed the
optimization, problem obtained is a nonlinearly equality constrained optimi-
zation problem (see details presented in Example 1.3):
min V 1 þ V 2
V 1 ,V 2 ,C
s:t: ð3:28Þ
FC0 - FC - V 1 kC = 0
FC0 - FCf - V 2 kC f = 0
We define the Lagrangian function:

L = ðV 1 þ V 2 Þ þ λ1 ðFC 0 - FC - V 1 kC Þ þ λ2 FC - FC f - V 2 kC f ð3:29Þ
We calculate the stationary point of the Lagrangian by calculating the partial

derivatives with respect to V1, V2, C, λ1, and λ2:
1 - λ1 kC = 0 ð3:30aÞ
1 - λ2 kC f = 0 ð3:30bÞ
- λ1 ð F þ V 1 k Þ þ λ 2 F = 0 ð3:30cÞ
FC 0 - FC - V 1 kC = 0 ð3:30dÞ
FC - FC f - V 2 kC f = 0 ð3:30eÞ
We substitute (3.30a) and (3.30b) into (3.30c) and solve for V1 to obtain:

F C
V1 = -1 ð3:31Þ
k Cf
We then solve (3.30d) for V1:

F C0
V1 = -1 ð3:32Þ
k C
From (3.31) and (3.32), we obtain:
C2 = C0Cf ð3:33Þ
Finally, by substituting (3.33) into (3.30a) and (3.30b):
1
λ1 = pffiffiffiffiffiffiffiffiffiffi ð3:34Þ
k C0Cf
1
λ2 = ð3:35Þ
kC f
From (3.30e) when solved for V2, it follows that the two reactors have equal
volumes. These results agree with the results obtained in Example 1.3 by
variable elimination.
Example 3.2 Optimal Operation of a Solid Oxide Fuel Cell

In this example, we will consider again the fuel cell optimization studied in
Example 1.5 of Chap. 1. As it is presented in detail in Chap. 1, the fuel cell model
consists of the relationship between the voltage and the current density, and
the aim is to determine the current density at which the power density is
maximum:
min - E ðjÞ j
j,E
s:t: ð3:36Þ
RT j
E - E 0 þ RΩ j - ln 1 - =0
2F jL
where E0 is the voltage at zero current (E0 = 0.85 V), RΩ is the (area specific)
Ohmic resistance (RΩ = 0.145 Ωcm2), R is the ideal gas constant (R = 8.3144
VC/(mol K)), Τ is the absolute temperature (873 K for the data shown in
Fig. 1.14), and F is the Faraday’s constant (96,485 C/mol). jL is the limiting
current density (3.85 V). We define the Lagrangian function:

RT j
LðE, j, λÞ = - Ej þ λ E - E 0 þ RΩ j - ln 1 - ð3:37Þ
2F jL
We determine the partial derivative of the Lagrangian with respect to E, j, and

λ:
-j þ λ=0 ð3:38aÞ

RT 1
- E þ λRΩ þ λ =0 ð3:38bÞ
2F j - jL

RT j
E - E 0 þ RΩ j - ln 1 - =0 ð3:38cÞ
2F jL
This system of nonlinear equation cannot be solved analytically to determine

the optimal point of operation, and we need to rely on a numerical solution.
Example 3.3 Optimal Operation of Power Systems

In this example, we will consider the controlled operation of power gener-
ation systems. All chemical plants operate power plants that consume fuels
such as coal, diesel, natural gas, or LPG to produce electrical power and/or
thermal power. These systems have typical input-output characteristics (fuel-
consumption-power generation) that are similar to the one shown in Fig. 3.2.
They are described, in their most basic form, from a second-order polynomial
function:
OC = a þ βP þ γP2 ð3:39Þ
where OC is the operating costs expressed in monetary units per kW or per

operating hour and P is the power output in kW. The characteristic shown in
Fig. 3.2 is idealized in that it is presented as a smooth, convex curve. Primary
data obtained for actual power plant operation usually do not fall on a smooth
curve. These units also have a minimum (Pmin) and a maximum power output
(Pmax). Minimum load limitations are generally caused by fuel combustion
stability and other inherent design constraints.
Consider the case where two power generation units are available with the
following input-output characteristics (also shown in Fig. 3.2):
Fig. 3.2 Input-output characteristic curves for the two power plants considered

$
OC1 = 1:0 þ 0:025 P1 þ 0:000020 P21 ð3:40Þ
h

$
OC2 = 0:2 þ 0:025 P2 þ 0:000 075 P22 ð3:41Þ
h
where P1 and P2 are the power outputs in kW. The aim is to determine P1 and
P2 to satisfy the power demand constraint:
P1 þ P2 = PD ð3:42Þ
The overall problem is an equality constrained optimization (where we neglect

at the moment the inequality constraint at the minimum and maximum
power):
min OC1 þ OC2

OC1 ,OC2 ,P1 ,P2
s:t: ð3:43Þ

OC1 - 1:0 þ 0:025 P1 þ 0:000 020 P21 = 0

OC2 - 0:2 þ 0:025 P2 þ 0:000 075 P22 = 0
P1 þ P2 = PD
To facilitate clarity of presentation is advantageous to substitute the input-

output characteristic curves into the objective function to simplify the problem
representation:

min 1:0 þ 0:025 P1 þ 0:000020 P21
P1 , P2

þ 0:2 þ 0:025 P2 þ 0:000075 P22
s:t: ð3:44Þ
P1 þ P2 = PD
In the general case where n Power plants are available, the final formulation is:
X
n
min αi þ βi Pi þ γ i P2i
Pi
i=1
s:t: ð3:45Þ
X
n
Pi = P D
i=1
We can therefore define the following Lagrangian function:

Xn Xn
Lð P i , λ Þ = i=1
ai þ βi Pi þ γ i P2i þ λ P - PD
i=1 i
ð3:46Þ
The partial derivative of the Lagrangian with respect to Pi is:
dL
= βi þ 2γ i Pi þ λ ð3:47Þ
dPi
These conditions together with the demand satisfaction constraint form a

linear system of n + 1 equation in n + 1 unknowns:
2 3 2 3 2 3
2γ 1 0 ⋯ 0 1 P1 - β1
6 7 6 7 6 7
6 0 2γ 2 ⋯ 0 1 7 6 P2 7 6 - β2 7
6 7 6 7 6 7
6⋮ ⋮ ⋱ ⋮ ⋮7 6 7 6 ⋮ 7
6 7 6⋮7=6 7 ð3:48Þ
6 7 6 7 6 7
4 0 0 ⋯ 2γ n 1 5 4 Pn 5 4 - βn 5
1 1 ⋯ 1 0 λ PD
For the case of two power production units, we may observe that Eq. (3.47)
can be written as:
1 β
Pi þ λ= - i ð3:47Þ
2γ i 2γ i
and the system of linear equations becomes:

2 3 2 3
1 2 3 β1
1 0 -
6 2γ 1 7 P1 6 2γ 1 7
6 76 7 6 7
6 1 7 6 7
60 1 7 4 P 2 5 = 6 - β2 7 ð3:49Þ
4 2γ 2 5 λ 4 2γ 2 5
1 1 0 PD
We subtract rows 1 and 2 from row 3:

2 3 2 3
1 β1
1 0 -
6 2γ 1 72 3 6 2γ 1 7
6 7 P1 6 7
6 1 76 7 6 β2 7
60 1 7 4 P2 5 = 6 - 7 ð3:50Þ
6 2γ 2 7 6 2γ 2 7
6 7 6 7
4 1 1 5 λ 4 β1 β2 5
0 0 - þ PD þ þ
2γ 1 2γ 2 2γ 1 2γ 2
It then follows that for the general case, the solution can be obtained by the
following equation (where we have assumed that PD = 500 kW):
Pn
βi
PD þ 2γ i
i=1
λ = - Pn 1 ð3:51Þ
i = 1 2γ i
For the case study under investigation:
500 þ 20:000020
0:025
þ 20:000075
0:025
λ= - = - 0:040789479
20:000020 þ 20:000075
1 1
We then use (3.47) to obtain P1 = 394.7368 kW and P2 = 105.2632 kW.
Example 3.4 Chemical Reaction Equilibrium

In this example, we will consider one of the most impressive applications of
equality constrained optimization in chemical engineering. The final composi-
tion of gas reacting mixtures can be predicted with relative accuracy when the
reacting conditions and potential catalysts used facilitate equilibrium. At equi-
librium, the Gibbs energy of the mixture attains its minimum, as it is explained
in most chemical engineering thermodynamics textbooks. The equality con-
straints express the fact that atoms of each element are conserved as they can
be combined and form different chemical species. The resulting mathematical
problem can be used to predict the final composition of a reacting gas mixture
with known initial composition. The idea is to search for the composition that
minimizes the total Gibbs energy of the mixture. The impressive element in this
approach is that the specific reactions or reaction networks that are present in
the system need not to be known. Only the potential chemical species that can
be detected in the final system need to be determined. The only additional
information necessary is the thermophysical properties that can be calculated
using tools from classical thermodynamics. This is an amazing and unique
element of this methodology as the design of an industrial plant can easily be
performed using the equilibrium assumption.
We begin our presentation by reminding that the Gibbs energy of an ideal
gas mixture of NC components (each component denoted by i) is given by (the
exact derivation can be found in the textbook by Elliott and Lira, Introductory
Chemical Engineering Thermodynamics, Prentice Hall, NJ, 1999 or any other
similar textbook):
" ! #
XNC ΔG0f ,i XNC
GðT, ni Þ = n
i=1 i
þ ln ni - ln n
i=1 i
ð3:52Þ
RT
where ni are the mole of chemical species i, ΔG0f ,i is the standard state Gibbs
free energy of formation of chemical species i at the temperature of the
reaction T, and R is the ideal gas constant. Let use aik to denote the number
of atoms of element k in chemical species i. If we use ethane (C2H6) as an
example, then aC2H6,H = 6, and aC2H6,C = 2. If the initial number of atoms of
element k is denoted by a0k , then we can write the following material balance
constraints:
XNC
n
i=1 i
ai,k = a0k , k = 1,2,⋯,NE ð3:53Þ
where NE denotes the number of elements present in the system. We can now
define the following Lagrangian function:
" ! #
XNC ΔG0f ,i XNC
L ðni , λk Þ = n
i=1 i
þ ln ni - ln n
i=1 i
RT ð3:54Þ
XNE XNC
þ λ
k=1 k
n a
i = 1 i i,k
- a0
k
This case study will be the subject of a detailed investigation latter in this
chapter.
3.4 Inequality Constrained Problems
We now turn our attention to inequality constrained optimization problems of

the following general form:
min f ðxÞ
x
s:t: ð3:55Þ
gðx Þ ≤ 0
where x is a n-th dimensional vector and g is also a vector valued function

(g: Rn → R p) (as always f is a real valued function f: Rn → R). All vectors
x that satisfy all inequality constraints define the feasible space of the problem.
3.4 Inequality Constrained Problems 115
An important concept in the case of inequality constraints is that of an active

constraint. An inequality constraint is active at point x if it is satisfied as
equality, i.e., gi(x) = 0. It then follows that if we knew in advance which
inequality constraints are active at the optimum, we could keep all active
constraints and drop all inactive ones and solve the problem as an equality
constrained problem. The only difference is that while h(x) = 0 and -h(x) = 0
are exactly the same equality constraint (x - y = 0 is exactly the same with -
(x - y)=0 as both can be written as x = y), the same is not true for g(x) ≤ 0
and -g(x) ≤0 (x - y ≤ 0 is different from -(x - y) ≤ 0 as the first one
implies that x ≤ y and the second one y ≤ x). The result is that while the
Lagrange multipliers of the equality constraint can be any real number, the
Lagrange multiplier of an inequality constraint, denoted by μ, is always a
non-negative number (μ ≥ 0).
In the case where the set of active constraints at the feasible point x, denoted
by I = {i:gi(x) = 0}, is known in advance, then the optimality conditions for
problem (3.55) can be stated as (see also (3.6) and (3.7)):
X
∇f ðxÞ þ μ ∇gi ðxÞ = 0
i2I ðxÞ i
ð3:56Þ
gi ð x Þ = 0
, 8i 2 I ðxÞ ð3:57Þ
μi ≥ 0
The Lagrange multipliers of inactive constraints are all equal to zero (i.e., either
gi(x) = 0 or μi = 0 always holds true). It takes a lot of careful thinking to realize
that the following conditions are indeed equivalent to conditions (3.56) and
(3.57) but require no prior knowledge of the active constraints at the feasible
point x0:
Xp
∇f ðxÞ þ μ ∇gi ðxÞ = 0
i=1 i
ð3:58Þ
μi gi ðxÞ = 0, 8i ð3:59Þ
μi ≥ 0, 8i ð3:60Þ
The requirement that x is a feasible point is called the primal feasibility

(PF) condition, whereas conditions (3.58) together with (3.60) are referred to
as the dual feasibility (DF) conditions. The restriction (3.59) is referred to as
the complementary slackness (CS) condition, and the three conditions together
(PF, DF, and CS) are called the Karush-Kuhn-Tucker (or simply the KKT)
conditions. Any point which satisfies the KKT conditions and the gradients of
the active constraints are linearly independent (called also a regular point) is
called a KKT point. Any KKT point is candidate solution to Problem (3.55).
– f does not belong

μ μ μ μ t
3 – f belongs
μ μ μ μ t
– f
2
– f
0
0 1 2 3 4 x
Fig. 3.3 Graphical solution of the problem (3.61)
Before moving further, consider a numerical example with a simple graph-

ical solution (see Fig. 3.3):
min
x ,x
f ðx1 , x2 Þ = ðx1 - 4Þ2 þ ðx2 - 2Þ2
1 2
s:t: ð3:61Þ
g1 ð x 1 , x 2 Þ = x 1 þ x 2 - 4 ≤ 0
g2 ðx1 , x2 Þ = x21 þ x22 - 32 ≤ 0
g3 ð x 1 , x 2 Þ = - x 1 ≤ 0
g4 ðx1 , x2 Þ = - x2 ≤ 0
We consider the case where the information that the optimum lies at the
intersection of inequality constraints g1 and g2 is given (i.e., points A and B in
Fig. 3.3):
x1 þ x2 - 4 = 0 x1 = 1:2929, x2 = 2:7071 point A

)
x21 þ x22 - 32 = 0 x1 = 2:7071, x2 = 1:2929 point B
We first check whether point A is a KKT point. Point A is a feasible point (PF is
satisfied). We calculate the gradients of the two constraints:

1 x1 2:5858
∇g1 = , ∇g2 = 2 =
1 x2 5:4142

x1 - 4
We determine the gradient of the objective function: ∇f = 2 =
x2 - 2
- 5:4142
and we apply (3.58):
þ1:4142

- 5:4142 1 2:5858 μ1 0 μ1 11:6569
þ = ) =
- 0:5858 1 5:4142 μ2 0 μ2 - 2:4142
As μ2<0, the dual feasibility conditions are not satisfied, and point A is not a
KKT point.
At point B, in Fig. 3.3, we have:

1 x1 5:4142
∇g1 = , ∇g2 = 2 =
1 x2 2:5858
We determine the gradient of the objective function:

x1 - 4 - 2:5858
∇f = 2 =
x2 - 2 - 1:4142
And:

- 2:5858 1 5:4142 μ1 0 μ1 0:3431
þ = ) = >0
- 1:4142 1 2:5858 μ2 0 μ2 0:4142
We therefore conclude that PF, DF, CS, and independence of the gradients of the
active constraints are satisfied and point B is a KKT point.
We will try to elaborate further the KKT conditions given by (3.58) and
(3.60) (the DF conditions) for the optimization problem with inequality con-
straints (3.55). We will consider the nonlinear inequality constraints g1(x) and
g2(x) shown in Fig. 3.4. Their gradients, when multiplied with non-negative
numbers, generate a “convex cone” as shown in the same figure. In Fig. 3.4a, the
case of a KKT point is shown as the negative of the gradient of the objective
– f belongs
μ μ μ μt
– f
– f does not belong

μ μ μ μt
– f
f
x
Fig. 3.4 The negative of the gradient of the objective function must belong to the “convex
cone” generated by the gradients of the active constraints at any KKT point
function belongs to the “convex cone” spanned by ∇g1(x0) and ∇g2(x0). Note
that all directions forming an angle between ±90o with -∇f(x0) for which:
f ðx - x0 Þ - f ðx0 Þ ≈ ∇T f ðx0 Þðx - x0 Þ ≤ 0 ð3:62Þ
also point toward the infeasible region and are not acceptable directions of
movement (even though they may result in decreasing values of the objective
function). We conclude that when a feasible point x0 has been located for which
there is no direction of movement that is also feasible and improving, then we

have located a KKT point which is also a candidate solution for Problem (3.55).
However, if a feasible point x0 has been located for which -∇f(x0) does not
belong to the convex cone of ∇g1(x0) and ∇g2(x0) (as shown in Fig. 3.4b), then
we can find feasible directions that are also improving directions, as shown in
Fig. 3.4b. Conditions (3.58) and (3.60) cannot be satisfied simultaneously, and
this point is not a KKT point or a candidate solution to Problem (3.55).
Problems with inequality constraints only are scarce in engineering as
material and energy balance constraints as well as most constitutive laws are
expressed in the form of equality constraints. Inequality constraints are in
most cases linear and pose bounds on the variables appearing in the problem.
There are also cases where nonlinear inequality constraints are also important.
Several interesting recreational problems with significant technological appli-
cations can be expressed in the form of inequality constrained optimization
problems. We will briefly present a couple of them before moving forward to
state the optimality conditions for the general NLP problem in which both
equality and inequality constraints are present.
The first one is the well-known circle packing problem. In a general setting,
a circle packing is an optimized arrangement of n arbitrary sized circles inside
a container, such as a rectangle or a circle, with the restriction that no two
circles overlap. The quality of the packing is typically measured by the size of
the container to pack a predefined number of circles. Circle packing of uniform-
size circles has received a considerable amount of attention in the open
literature. Its mathematical formulation is deceiving as it gives the impression
that is a relatively easy problem to solve. The reality is different, and the
problem is extremely difficult to solve even in the simplest cases of small
number of cycles of uniform sizes.
A potential formulation of the circle packing problem is shown in Fig. 3.5.
The aim is to minimize the radius of the enclosing circle R. The constraints are
the non-overlapping, pairwise constraints which are equivalent to the require-
ment that the distance of the centers between any two circles is greater than
two times their radius:
rffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffi
2ffi
2
2r ≤ xi - xj þ yi - yj , 8i,j; i<j ð3:63Þ
The formulation is complete by adding the requirement that all circles are
completely inside the enclosing circle with radius R:
qffiffiffiffiffiffiffiffiffiffiffiffiffiffiffi
x2i þ y2i þ r ≤ R, 8i ð3:64Þ
The complete formulation for the case of predefined number of circles with
non-uniform radius ri is given by:
r
yj
dij
r
yi
xk
xi xj
yk r
Fig. 3.5 The circle packing problem of uniform circles in a circle centered at the origin
min R
R,xi ,yi
s:t:
rffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffi ð3:65Þ
2ffi
2
ri þ rj ≤ xi - xj þ yi - yj , 8i,j; i<j
qffiffiffiffiffiffiffiffiffiffiffiffiffiffi
xi - y2i þ r i ≤ R, 8i
Analytic result for the cases up to 19 circles of uniform size is presented by

S. Kravitz (Mathematics Magazine, 40(2), 1967, pp. 65–71) which can be used
to validate the results of any numerical study. A closely related problem is that
of packing of spheres and the trim loss minimization problem which is shown
graphically in Fig. 3.6. The trim loss problem, or the cutting stock problem in
the specific case, is related to developing an optimal plan for “cutting” patterns
for standard size and number of materials so as to satisfy demand and mini-
mize waste material production or trim loss. The resulting mathematical
formulation is again an inequality constrained optimization problem (the
notation used is shown in Fig. 3.6):
3.5 General Nonlinear Programming Problems 121
Fig. 3.6 The cutting stock

L
problem
min L
xi ,yi ,L
s:t:
rffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffi ð3:66Þ
2ffi
2
ri þ rj ≤ xi - xj þ yi - yj , 8i,j; i<j
)
r i ≤ xi ≤ L - r i
8i
r i ≤ yi ≤ W - r i
X
πr 2i ≤ WL
i
3.5 General Nonlinear Programming Problems
We now consider the more general form of constrained optimization problems

where both equality and inequality constraints are involved:
min f ðxÞ
x
s:t: ð3:67Þ
hðxÞ = 0
gðx Þ ≤ 0
where x is a n-th dimensional vector, f:Rn → R, h:Rn → Rm, and g:Rn → R p are
differentiable functions (well-behaved function in the general sense). Let x be a
feasible point, i.e., h(x) = 0 and g(x) ≤ 0, and the gradients of the equality
constraints and the active inequality constrains are linearly independent at x. If
x solves Problem (3.67) locally, then there exist unique scalars λi 2 R, i = 1,
2, . . ., m and non-negative scalars μj, j = 1, 2, . . ., p, such that:
Xm Xp
∇f ðxÞ þ λ ∇hi ðxÞ þ
i=1 i
μ ∇gj ðxÞ = 0
j=1 j
ð3:68Þ
μj gj ðxÞ = 0, 8j = 1,2, . . . , p ð3:69Þ

μj ≥ 0, 8j = 1,2, . . . , p ð3:70Þ
Conditions (3.68, 3.69, and 3.70) can also be written in a more compact form:
∇f ðxÞ þ ∇T hðxÞλ þ ∇T gðxÞμ = 0 ð3:680 Þ

μT gðxÞ = 0 ð3:690 Þ
μ≥0 ð3:700 Þ
where ∇h(x) is the m-by-n Jacobian matrix of the equality constraints (defined
in Eq (3.11)) and ∇g(x) is the p-by-n Jacobian matrix of the inequality con-
straints. These conditions are referred to as the general necessary KKT condi-
tions for Problem (3.67) and are, as you can realize, of paramount importance
in optimization theory. It is important to note that a KKT point is only a
candidate local solution to problem (3.67). A useful result is also the following:
if point x0 solves Problem (3.67), then is also the solution to the following
linear approximation problem:
min f ðxÞ þ ∇f ðx0 Þðx - x0 Þ

x
s:t: ð3:71Þ
∇ hðx0 Þðx - x0 Þ = 0
T
gðx0 Þ þ ∇T gðx0 Þðx - x0 Þ ≤ 0
The KKT conditions are only necessary in the general case and are also
sufficient when the problem has mild convexity properties. This is almost
never the case in engineering problems and in order to check the sufficient
conditions, we need to rely on the hessian of the Lagrangian function (which
apparently needs to be p.d.):
Xm X
L ðx, λ, μÞ = f ðxÞ þ λ h ðx Þ
i=1 i i
þ μ g ðxÞ,
j2J ðx Þ j j
J ð x Þ = j : gj ð x Þ = 0
ð3:72Þ
i.e.:
Xm X
∇2 L ðx, λ, μÞ = ∇2 f ðxÞ þ λ∇
i=1 i
2
hi ðxÞ þ μ∇
j2J j
2
gi ð x Þ ð3:73Þ
3.5 General Nonlinear Programming Problems 123
must satisfy dT(∇2L)d > 0. Clearly this is not a practical way to check “man-
ually” the properties of a KKT point, but normally this is left to the software to
validate and inform us on the results.
An algorithm that can be used to solve small-scale equality and inequality
constrained optimization problems is based on the following steps:
STEP 0: Set k = 1, and assume that all inequality constraints are inactive at the
optimum point or J kA = ∅, where J kA is the set of the active constraints at
iteration k.
STEP 1: Solve the equality constrained optimization problem to determine the
solution (xk, λk, μk):
X X
∇f ðxÞ þ λi ∇hi ðxÞ þ μj ∇gj ðxÞ = 0
i j2J k
hi ðxÞ = 0,i 2 I
gj ðxÞ = 0,j 2 J kA
STEP 2: If gj(xk) ≤ 0, 8 j and μj ≥ 0,j 2 J kA, then a KKT point has been found, and
the algorithm terminates (apparently μj = 0,j= 2J kA). Otherwise, continue.
STEP 3: Remove the inequality constraint with the most negative Lagrange
multiplier from the set of the active constraints, and add to JA all
violated inequality constraints. Set k = k + 1 and return to STEP 1.
To demonstrate the application of the algorithm, we consider again the
optimal operation of the power plant studied in Example 3.3, but with the
power demand increased to 550 kW (i.e., PD = 550 kW). The mathematical
formulation of the optimal operation of the two power plants including the
constraints on their minimum and maximum capacity is the following:

min 1:0 þ 0:025 P1 þ 0:000020 P21
P1 ,P2
þð0:2 þ 0:025 P2 þ0:000075 P22

s:t: ð3:74Þ
h1 = P1 þ P2 - 550 = 0
g1 = - P1 þ 150 ≤ 0
g2 = - P2 þ 50 ≤ 0
g3 = P1 - 400 ≤ 0
g4 = P2 - 200 ≤ 0
By neglecting all inequality constraints (J 1A = ∅ ), we can solve the equality

constrained problem (as it was done in Example 3.3) to obtain P1 = 434.21 kW
and P2 = 115.79 kW. The third inequality constraint is violated, and we update
the set of active constraints (J 2A = f3g). We then solve the equality constrained
problem:

min 1:0 þ 0:025 P1 þ 0:000020 P21
P1 ,P2
þð0:2 þ 0:025 P2 þ0:000075 P22

s:t: ð3:75Þ
h1 = P1 þ P2 - 550 = 0
g3 = P1 - 400 = 0
which has the trivial solution P1 = 400 kW, P2 = 150 kW that satisfies all
inequality constraints. To determine the corresponding Lagrange multiplier μ3,
we solve the following problem:
λ∇h þ μ3 ∇g3 = - ∇f
or:

1 1 0:025 þ 0:000040 P1
λ þ μ3 =-
1 0 0:025 þ 0:000150 P2
It follows directly that λ = -(0.025 + 0.00015 P2) = -0.0475, μ3 = 0.00605 > 0.
3.6 Numerical Solution of Nonlinear Programming

Problems
We will now present a short introduction to one of the most successful

numerical methods for solving NLP problems known as successive
(or sequential or recursive) quadratic programming or SQP. SQP methods
employ Newton’s method and take advantage of the KKT conditions for the
original problem. In each iteration, the subproblem solved turns out to be the
minimization of a quadratic approximation to the (Lagrangian) objective func-
tion optimized subject to the linear approximation of the constraints. To
present the basic steps of this method, we will consider the equality
constrained problem studied in Sect. 3.2. The conditions for optimality derived
in Sect. 3.2 are the following (applied at point xk, where k is the iteration
counter):
3.6 Numerical Solution of Nonlinear Programming Problems 125
Xm
∇x L xk , λ = ∇f xk þ λ ∇hi xk = 0
i=1 i
ð3:76Þ

∇λ L x k , λ = h x k = 0 ð3:77Þ
We have also seen that the hessian matrix is given by (see Eq. (3.13)):
" Pm #
∇2 f ð x Þ þ i = 1 λi ∇ hi ðxÞ
2
∇T hðxÞ
∇2 L = ð3:78Þ
∇hðxÞ 0
It is reminded that the Newton’s step is determined by multiplying the step

by the hessian matrix and equating the result to minus the gradient of the
function, i.e.:
" Pm # " # " P k #
∇ 2 f ð xÞ þ i = 1 λi ∇
2
hi ðxÞ ∇T hðxÞ δxk ∇f xk þ m i = 1 λi ∇hi x
=-
∇hðxÞ 0 δλk h xk
ð3:79Þ
We can analyze these equations to the following:

Xm k k k k k k
∇2 f x k þ i=1
λ ∇
k 2
i h i x δx þ ∇ T
h x δλk
= - ∇f x - ∇ T
h x λ
which can also be written as:

Xm
∇2 f xk þ λk ∇2 hi xk δxk þ ∇T h xk λkþ1 = - ∇f xk
i=1 i
ð3:80Þ
By defining the hessian of the Lagrangian with respect to x:

Xm
HL xk , λk = ∇2 f xk þ λk ∇2 hi xk
i=1 i
ð3:81Þ
and substituting back into (3.79), we obtain:

" # " # " #
HL x k , λk ∇T h xk δxk ∇f xk
=- ð3:82Þ
∇h xk 0 λkþ1 h xk
Observe that (3.82) corresponds to applying the KKT conditions to the follow-
ing quadratic programming problem:
1 T
min f xk þ ∇T f xk δxk þ δxk HL xk , λk δxk
δxk 2
s:t: ð3:83Þ

h xk þ ∇h xk δxk = 0
A naïve SQP algorithm can be as follows (see also how Newton’s method was
applied to unconstrained optimization problems):
Step 0: Select an initial estimate of the solution x0 2 Rn and λ0 at iteration

k = 0.
Step 1: Calculate ∇f(xk), h(xk), ∇h(xk) and HL(xk, λk).
Step 2: Solve (3.82) to obtain xk+1 = xk + δxk and λk+1.
Step 3: If ||δxk|| < ε then STOP else set k = k + 1 and return to Step 1.
The algorithm of the SQP method is similar to the general “naïve” Newton’s
algorithm presented in Chap. 2 (Sect. 2.2). The only difference is the problem
solved to determine the improving direction in Step 2. As you may expect, the
algorithm is greatly improved by using a line search algorithm to satisfy several
convergence criteria. In these one-dimensional search techniques, a modified
Lagrangian function is employed, usually called merit function, which takes
into account the need to maintain feasibility and at the same time improve the
objective function. When the algorithm terminates, a KKT point has been
discovered which is a candidate solution to (3.3). When both inequality and
equality constraints are considered, the SQP algorithm is much more compli-
cated, but the basic idea remains the same.
Example 3.5 Optimal Operation of a Fuel Cell

We now return to Example 3.2 (see also Example 1.5) and Formulation
(3.36) that applies to the optimal operation of a fuel cell. We have concluded
that Formulation (3.36) needs to be solved numerically. We will build our SQP
implementation, but before doing so, we will follow the steps of the SQP
algorithm. First, we define the objective function and the equality constraint,
their gradient, Jacobian, and hessians and select an initial point:
>> clear
>> f =inline('-x(1)*x(2)') % the objective function
f = Inline function:
f(x) = -x(1)*x(2)
>> gf=inline('[-x(2); -x(1)]') % gradient of the objective function
gf = Inline function:
gf(x) = [-x(2); -x(1)]
>> Hf=inline('[0 -1;-1 0]') % hessian of the objective function
Hf = Inline function:
Hf(x) = [0 -1;-1 0]
>> h =inline('x(1)-0.85+0.145*x(2)-0.0376*log(1-x(2)/3.85)')
h = Inline function:
h(x) = x(1)-0.85+0.145*x(2)-0.0376*log(1-x(2)/3.85)
>> Jh=inline('[1 0.145+0.0376/(3.85-x(2))]') % Jacobian of h
Jh = Inline function:
Jh(x) = [1 0.145+0.0376/(3.85-x(2))]
>> Hh=inline('[0 0;0 0.0376/(3.85-x(2))^2]') % Hessian of h
Hh = Inline function:
Hh(x) = [0 0;0 0.0376/(3.85-x(2))^2]
>> x=[0.5;2.5]
x = 0.5000
2.5000
We then evaluate all functions and determine the step toward an improved
solution:
>> fun=feval(f,x)
fun = -1.2500
>> gfun = feval(gf,x)
gfun = -2.5000
-0.5000
(continued)
>> Hfun = feval(Hf,x)
Hfun = 0 -1
-1 0
>> ceq=feval(h,x)
ceq = 0.0519
>> Jceq=feval(Jh,x)
Jceq = 1.0000 0.1729
>> Hceq=feval(Hh,x)
Hceq = 0 0
0 0.0206
>> lamda=x(2); % see Eq (3.38a)

>> s=-[Hfun+lamda*Hceq Jceq'; Jceq zeros(1,1)]\[gfun;ceq] %
(3.82)
s = -0.0589
0.0402
2.5402
>> x=x+s(1:2)
x = 0.4411
2.5402
>> lamda=s(3)
lamda = 2.5402
We now evaluate the Euclidean norm of the step taken:
>> norm(s(1:2))
ans = 0.0713
This is considered significant and we repeat the process. Two additional

iterations are only needed to obtain a step with Euclidean norm of the order of
10-8, and the algorithm terminates. The solution agrees with the one found in
Chap. 1.
We take advantage of the experience gained by solving this example to build

a general-purpose SQP solver for problems with one inequality constraint,
which is given in Table 3.1. To solve the problem of the optimal operation of
the fuel cell, we only need to define the initial point and the inline functions
(as we have just done) and then call the mySQP m-file to obtain the following
results:(the results are slightly different as the initial guess for the Lagrange
multiplier is λ0 = 0). This concludes our first case study, and before introducing
the build-in SQP optimizer in MATLAB®, we will present another interesting
example.
Example 3.6 Optimal Operation of Power Systems

We return now to the optimal design of power generation units studied in
Example 3.3 and in Sect. 3.5. The complete mathematical formulation is given
by (3.74). We will first introduce the NLP solver available in MATLAB and then
use the solver to solve formulation (3.74). The general NLP optimizer in
MATLAB® is fmincon:
xopt=fmincon(fun,x0,A,b,Aeq,beq,LB,UB,nonlcon)
inds a local minimum of a function of several variables under
linear and nonlinear constraints. Starts at x0 and attempts to ind
a local minimizer xopt of the function fun subject to the linear
inequality constraints A x≤b, linear equality constraints Aeq
x=beq , lower bounds LB and upper bounds UB on x and
nonlinear inequality constraints g and equality constraints h:
[g,h]=nonlcon(x).
To demonstrate how fmincon can be used to solve Formulation (3.74), we

note that the equality constraint is linear, and the same holds true for the
inequality constraints. To solve the problem, we first define the objective
function as an inline function:
>> clear all
>>
f=inline('(1+0.025*x(1)+0.000020*x(1)^2)+(0.2+0.025*x(2)+0.000075
*x(2)^2)')
f=
Inline function:
f(x) =
(1+0.025*x(1)+0.000020*x(1)^2)+(0.2+0.025*x(2)+0.000075*x(2)^2)

P1
We then define the linear equality constraint ½ 1 1 = 550 :
P2
Table 3.1 A basic implementation of SQP algorithm for equality constrained problems
(1 equality constraint only)
function [x,fun,lambda] = mySQP(f,gf,Hf,h,Jh,Hh,x0)

% mySQP (only works for only 1 equality constraint)
% x is an n-th dimensional vector (n ny 1)
% f is the objective function : R^n->R (1 by 1)
% gf is the gradient of the objective function (n by 1)
% Hf is the hessian of the objective function (n by n)
% h is the equality constraint (1 by 1)
% Jh is the Jacobian of the equality constraint (1 by n)
% Hh is the hessian of the equality constraint (n by n)
% x0 is the initial guess
n=length(x); % number of elements of x vector

m=1; % only one equality constraint is allowed
k=0; lambda=0; % initialize algorithm
tolx=1e-6; % convergence tolerance in x-step
maxiter=100; % maximum number of iterations allowed
fprintf('Iter f(x) ||Step_{x}||\n')
while ( k==0 | (norm(s(1:n))>tolx & k<maxiter) )

fun = feval( f,x); % evaluate objective function
gfun = feval(gf,x); % evaluate gradient of objective
function
Hfun = feval(Hf,x); % evaluate Hessian of objective function
ceq = feval( h,x); % evaluate equality constraint
Jceq = feval(Jh,x); % evaluate Jacobian of equality
constraint
Hceq = feval(Hh,x); % evaluate Hessian of equality
constraint
% calculate newton step :
s=-[Hfun+lambda*Hceq Jceq'; Jceq zeros(m,m)]\[gfun;ceq];
x=x+s(1:n); % update solution
lambda=s(n+1); % update multiplier
k=k+1; % update counter
fprintf('%4u %12.8f %12.8f\n',k,fun,norm(s(1:n)))
end
>> x=[0.5;2.5];
>> [xopt,funopt,lagramult]=mySQP(f,gf,Hf,h,Jh,Hh,x)
Iter f(x) ||Step_{x}||
1 -1.25000000 0.07562817
2 -1.12060968 0.00636423
3 -1.12056140 0.00000747
4 -1.12056030 0.00000000
xopt = 0.4412
2.5399
funopt = -1.1206
lagramult = 2.5399
>> Aeq=[1 1];

>> beq=550;
02 finally the 3linear inequality

and 2 constraints
31
-1 0 - 150
B6 0 6
B6 -17 7 P1 6 - 50 7C
7C
B6 7 ≤6 7 C:
@4 1 0 5 P2 4 400 5A
0 1 200
>> A=[-1 0;0 -1;1 0;0 1];

>> b=[-150; -50; 400; 200];
fmincon can now be used to solve the problem (with the unconstrained
optimum as the initial point):
>> options=optimset('Display','Iter');
>> fmincon(f,[434.21;115.79],A,b,Aeq,beq,[],[],[],options)
First-order Norm of
Iter F-count f(x) Feasibility optimality step
0 3 1.972632e+01 3.421e+01 9.729e-08
1 7 1.972632e+01 3.418e+01 3.893e-06 3.668e-02
2 10 1.980822e+01 4.848e+00 4.404e-03 4.149e+01
3 13 1.983755e+01 0.000e+00 5.133e-03 6.867e+00
4 16 1.983919e+01 0.000e+00 3.085e-03 3.539e-01
5 19 1.984873e+01 0.000e+00 1.147e-02 2.018e+00
6 22 1.984267e+01 0.000e+00 4.966e-03 1.271e+00
7 25 1.983755e+01 0.000e+00 5.118e-05 1.101e+00
8 28 1.983750e+01 0.000e+00 2.032e-06 1.069e-02
9 31 1.983750e+01 0.000e+00 2.003e-08 4.377e-04
Local minimum found that satisfies the constraints.
Optimization completed because the objective function is

non-decreasing in feasible directions, to within the value of the
optimality tolerance, and constraints are satisfied to within the
value of the constraint tolerance.
<stopping criteria details>
ans = 400.0000
150.0000
An alternative way to solve thesame

problem
is to consider
the inequality
150 P1 400
constraints as bound constraints ≤ ≤ :
50 P2 200
>> clear all

>>
f=inline('(1+0.025*x(1)+0.000020*x(1)^2)+(0.2+0.025*x(2)
+0.000075 *x(2)^2)');
>> Aeq=[1 1];
>> beq=550;
>> lb=[150;50];
>> ub=[400;200];
>> fmincon(f,[434.21;115.79],[],[],Aeq,beq,lb,ub,[],options)
Your initial point x0 is not between bounds lb and ub; FMINCON

shifted x0 to strictly satisfy the bounds.
First-order Norm of
0 3 1.825973e+01 3.520e+01 4.709e-04
1 6 1.834628e+01 3.313e+01 6.294e-04 1.468e+00
2 9 1.852192e+01 2.903e+01 1.244e-03 4.095e+00
3 12 1.983752e+01 0.000e+00 5.598e-03 2.903e+01
4 15 1.983764e+01 0.000e+00 5.601e-03 2.532e-02
5 18 1.984203e+01 0.000e+00 5.701e-03 9.456e-01
6 21 1.984338e+01 1.137e-13 5.732e-03 2.874e-01
7 24 1.984053e+01 0.000e+00 2.421e-03 6.087e-01
8 27 1.983752e+01 0.000e+00 2.290e-04 6.508e-01
9 30 1.983771e+01 0.000e+00 2.079e-04 4.189e-02
10 33 1.983754e+01 0.000e+00 4.018e-05 3.642e-02
11 36 1.983750e+01 0.000e+00 4.105e-07 8.651e-03
ans = 399.9999
150.0001
Yet another equivalent way to solve the problem (and arguably the more
general) is to use an m-file to define a MATLAB function that calculates the
inequality and equality constraints:
function [g,h]=cnstr(P)
g(1) = -P(1)+150;
g(2) = -P(2)+ 50;
g(3) = P(1)-400;
g(4) = P(2)-200;
h(1) = P(1)+P(2)-550;
>> clear all
(continued)
>>
f=inline('(1+0.025*x(1)+0.000020*x(1)^2)+(0.2+0.025*x(2)
+0.000075 *x(2)^2)');
>> fmincon(f,[434.21;115.79],[],[],[],[],[],[],@cnstr,
options)
First-order Norm of
0 3 1.972632e+01 3.421e+01 9.688e-08
1 7 1.972632e+01 3.418e+01 3.895e-06 3.668e-02
2 10 1.980822e+01 4.848e+00 4.404e-03 4.149e+01
3 13 1.983755e+01 7.349e-08 5.133e-03 6.867e+00
4 16 1.983919e+01 5.157e-09 3.085e-03 3.539e-01
5 19 1.984873e+01 4.397e-08 1.147e-02 2.018e+00
6 22 1.984267e+01 1.336e-08 4.966e-03 1.271e+00
7 25 1.983755e+01 7.895e-09 5.118e-05 1.101e+00
8 28 1.983750e+01 1.137e-12 2.032e-06 1.068e-02
9 31 1.983750e+01 6.821e-13 2.003e-08 4.377e-04
ans = 400.0000
150.0000
In addition to the value of the vector xopt of optimization variables,

fmincon returns the value of the objective function fopt, a value flag that
describes the exit condition of fmincon, a structure output with information
about the optimization process, a structure lambda with fields containing the
Lagrange multipliers at the solution x, a vector g with the gradient of fun at the
solution xopt, and a matrix H with the hessian of fun at the solution xopt:
>>[xopt,fopt,flag,output,lambda,g,H]=fmincon(f,
[434.21;115.79],[],[],[],[],[],[],@cnstr,options);
>> xopt
xopt = 400.0000
150.0000
>> fopt
fopt = 19.8375
>> flag
flag = 1
(continued)
>> lambda.eqnonlin
ans = -0.0475
>> lambda.ineqnonlin
ans = 0.0000
0.0000
0.0065
0.0000
>> g
g= 0.0410
0.0475
>> H
H= 0.5000 0.5000
0.5000 0.5001
Note that the values of the Lagrange multipliers agree with the ones derived
analytically in Sect. 3.5.
Example 3.7 Optimal Fin Design for Heat Dissipation

We will study the case of designing four fins located externally to a 1-m-long
tube (H = 1 m) transferring a condensing fluid at T0 = 95 °C, as shown in
Fig. 3.7. Each fin can be up to m = 1.25 kg and is to be constructed from
stainless steel with density ρs = 7832 kg/m3 and thermal conductivity
k = 58.3 W/(m K). The temperature of the surrounding air is T1 = 15 °C,
and the heat transfer coefficient is h = 100 W/(m2 K). Determine the length
L and thickness t of the fins to maximize the heat dissipation. This is a classical
engineering design problem in heat transfer. To solve the problem, we need to
find how the heat dissipation rate depends on the geometric dimensions of the
fin. From any undergraduate book on heat transfer, we can see that in order to
find this dependence, we need to perform an energy balance in a differential
volume and finally express the heat transfer problem through a linear second
order ODE. Its solution gives the temperature profile and finally the heat
dissipation rate:
Fig. 3.7 A tube equipped

with four external straight
steel fins with rectangular
profile
ρ S, k
t
L
h, T∞
rffiffiffiffiffiffiffiffiffi
h 2
q_ fin = kHt ðT 0 - T 1 Þm tanh ðmLÞ, m = ð3:84Þ
k t
which can be written as:

rffiffiffiffiffiffi !
q_ pffiffi 2h L
f ðt, LÞ = pffiffiffiffiffiffi fin = t tan h pffiffi ð3:85Þ
2k H ðT 0 - T 1 Þ k t
As the fin needs to have a prespecified mass m, it follows that:
HtLρs = m
or, when solved for the area of the profile of the fin Ap:

1 m
tL = Ap = const =
H ρs
To summarize, the problem to be solved is the following:

pffiffi 2h L
min - t tanh pffiffi
t,L k t
ð3:86Þ
s:t:
tL - Ap = 0
We can use the equality constraint to eliminate one of the two variables and
practically transform the problem to an unconstrained problem. By eliminating
L, the solution obtained satisfies the following equation (Aziz, A., Appl Mech
Rev, 45(5), 1992, p. 155):
6ξ = sinh ð2ξÞ ð3:87Þ
where:
rffiffiffiffiffiffi
2h 1
ξ = Ap ð3:88Þ
k t 3=2
Equation (3.87) can be solved numerically to obtain ξ = 1.4192, and (3.88)

becomes:
3 h
t = 0:9977 A2p ð3:89Þ
k
and:
3 k
L = 1:0023 A ð3:90Þ
h p
If we treat the problem in its initial form, we need to define the Lagrangian
function:
pffiffi 2h L
L ðt, L, λÞ = - t tan h pffiffi þ λ tL - Ap ð3:91Þ
k t
The partial derivatives with respect to t, L, and λ are:

rffiffiffiffiffiffi ! rffiffiffiffiffiffi ! rffiffiffiffiffiffi !

1 2h L 2h L 2h L
- pffiffi tanh pffiffi þ sech 2
pffiffi þ λL = 0 ð3:92aÞ
2 t k t k t k 2t
rffiffiffiffiffiffi !rffiffiffiffiffiffi
2h L 2h
- sech 2
pffiffi þ λt = 0 ð3:92bÞ
k t k
tL - Ap = 0 ð3:92cÞ
We may use the last equality constraint to eliminate L (and we also use the
definition of ξ to simplify the final expression):
Ap
- tanh ðξÞ þ ξ sech2 ðξÞ þ 2λ pffiffiffi = 0 ð3:93aÞ
2
Ap
2ξ sech2 ðξÞ - 2λ pffiffiffi = 0 ð3:93bÞ
2
We add the two equations to obtain:
3ξ sech2 ðξÞ = tanh ðξÞ ð3:94Þ
The last one can be transformed to (3.87) using the identities sech(ξ) = 1/
cosh(ξ) and 2sinh(ξ)cosh(ξ) = sinh(2ξ). The result is the same irrespective of
the strategy followed, as expected.
To use fmincon, we need to build two m-files, one for the objective
function and one for the nonlinear constraints:
function f=ObjFIN(x)
f = -sqrt(x(1))*tanh(sqrt(2*100/58.3)*x(2)/sqrt(x(1)));
function [g,h]=ConstrFIN(x)
g = [];
h = x(1)*x(2)-(1.25/7832)/1;
We then use fmincon to solve the problem:
>> fmincon(@ObjFIN,[0.01;0.01],[],[],[],[],[0;0],[],
@ConstrFIN)
ans = 0.0035
0.0454
The solution obtained (t = 0.0035 m and L = 0.0454 m) agrees well with the
analytic solution proposed by Aziz (see Eqs. (3.89) and (3.90)):
s ffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffi
2 s ffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffi
2 ffi
3 m=ρs h 3 1:25=7832 100
t = 0:9977 = 0:9977 = 0:0035
H k 1 58:3
rffiffiffiffiffiffiffiffiffi sffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffi
ffi
3 k 3 1:25=7832 58:3
L = 1:0023 Ap = 1:0023 = 0:0454
h 1 100
After having applied the SQP optimizer available in MATLAB once, we need to
repeat the solution process, but this time, we will follow a more detailed
approach. This approach facilitates better understanding, easier debugging,
and easier generalization or modification of the problem at hand. The m-file
that calculates the objective function is modified to incorporate extensive
comments. It is a good practice to add comments that describe the code as
comments allow others to understand your code and you can refresh your
memory when you return to it later:
function f=ObjFIN(x)
% A. EXPLAIN THE MEANING OF EACH ELEMENT OF x

% x(1) is the thickness of the fin in m
% x(2) is the length of the fin in m
% B. ASSIGN VALUES TO ALL MODEL PARAMETERS

ht= 100; % heat transfer coefficient in W/(m2 K)
k = 58.3; % thermal conductivity
m = 1.25; % mass of the fin in kg
rhos=7832;% density of the steel in kg/m3
H = 1; % height of the fin in m
Ap= (m/rhos)/H; % profile area in m2
% C. DEFINE OBJECTIVE FUNCTION

f = -sqrt(x(1))*tanh(sqrt(2*ht/k)*x(2)/sqrt(x(1)));
Note that in the proposed structure, we divide the m-file in three parts. The
first part involves only comments that inform the user about the physical
variables that correspond to the elements of the x vector. In the second part,
all constants appearing in the model are defined, and numerical values are
assigned to them. It is important, apart from the numerical values, to indicate
carefully the units used in each constant. In the third part of the m-file, the
objective function is defined.
The same idea is followed for the m-file that calculates the equality and
inequality constraints:
function [g,h]=ConstrFIN(x)

Ap= (m/rhos)/H;
% C. DEFINE NONLINEAR INEQUALITY CONSTRAINTS

g = [];
% D. DEFINE NONLINEAR EQUALITY CONSTRAINTS

h = x(1)*x(2)-Ap;
Note that parts A and B are the same as in the m-file that defines the
objective function. The inequality constraints are defined in part C and the
nonlinear equality constraints in part D. We need now to build an m-file with
all the commands necessary to use the two m-files presented above in
fmincon to solve the problem:
clear

Ap= (m/rhos)/H;
x0=[ 0.01;
0.01];
A =[];b =[];
Aeq=[];beq=[];
LB=[0;0]; UB=[1;1];
options=optimoptions
('fmincon','Algorithm','sqp','Display','iter');
(continued)
[xopt,fopt,flag,outinfo,lambda,grad,hessian]=...
fmincon(@ObjFIN,x0,A,b,Aeq,beq,LB,UB,@ConstrFIN,options)
eig(hessian)
lambda.eqnonlin
xopt_analytic=[0.9977*(Ap^2*ht/k)^(1/3); 1.0023*(Ap*k/ht)^
(1/3)]
The response obtained is the following:
>> runOptFIN
Iter Func-count Fval Feasibility Step Length Norm of First-order

step optimality
0 3 -1.831276e-02 5.960e-05 1.000e+00 0.000e+00 1.790e+00
1 7 -3.365186e-02 9.609e-05 7.000e-01 1.318e-02 7.804e-01
2 12 -3.823316e-02 8.732e-05 4.900e-01 2.611e-02 3.624e+00
3 15 -5.230511e-02 3.762e-06 1.000e+00 2.744e-03 4.533e+00
4 18 -5.272058e-02 2.100e-08 1.000e+00 6.969e-04 1.028e-01
5 24 -5.272283e-02 5.817e-09 3.430e-01 5.121e-04 2.554e-02
6 27 -5.272348e-02 1.147e-10 1.000e+00 3.784e-05 1.873e-04
7 30 -5.272350e-02 1.798e-14 1.000e+00 5.000e-07 3.851e-06
non-decreasing in feasible directions, to within the default value
of the optimality tolerance, and constraints are satisfied to within
the default value of the constraint tolerance.
xopt = 0.0035
0.0454
fopt = -0.0527
flag = 1
...
grad = -5.0015
-0.3869
hessian =
691.3546 -103.0276
-103.0276 15.5001
ans =
0.1435
706.7112
ans =
110.1147
xopt_analytic =
0.0035
0.0454
Fig. 3.8 Description of the liquid pumping system
Note that the solution obtained agrees well with the analytic solution and
that the hessian has positive eigenvalues. The Lagrange multiplier of the
nonlinear equality constraint is equal to 110.1147.
Example 3.8 Optimal Design of a Liquid Pumping System
In Fig. 3.8, the basic elements of a liquid transfer system are shown. Liquid
with density ρ = 1000 kg/m3 and viscosity μ = 0.001 kg/(m s) is to be pumped
between two storage tanks that are located L = 100 m apart, with flow rate
Q = 100 m3/h. The unit will operate for ty = 8322 h/y, and the cost of
electricity is cel = 0.1 $/kWh. A smooth pipe is to be used with diameter
between 0.03 and 0.30 m with an installed cost that depends on the diameter
of the pipe used:
C PIPE ½$ = 1500 d1:5 L,L,d in m ð3:95Þ
The equipment cost involves also the cost of the pump used which is given by:
C PUMP ½$ = 750 w0:3 ,w in kW ð3:96Þ
w is the electrical power needed to drive the pump (in kW). To calculate the
electrical power, we take into consideration the friction losses through the
straight pipe:

L 1 2
Δp = f ρu ,Δp in Pa ð3:97Þ
d 2
where u is the velocity of the liquid in the pipe and f is the Moody friction factor
calculated (for smooth pipes) as a function of the Reynolds number by the
equation (Re > 5000):
0:316 udρ
f= , Re = ð3:98Þ
Re 0:25 μ
Finally, if the pressure drop is known, the power to drive a pump with
efficiency ηe is given by:
Q Δp
w= ð3:99Þ
ηe
The aim is to select the pipe diameter so as to minimize the following approx-
imate total annual cost (TAC) of the piping system:
1
TAC = ðC þ C PUMP Þ þ wt y cel ð3:100Þ
3 PIPE
If we put everything together, we obtain the following optimization problem:
1
min 1500 d1:5 L þ 750w0:3 þ wt y cel
d,u, Re ,f ,Δp,w 3
s:t: ð3:101Þ
πd 2
u-Q=0
4
udρ
Re - =0
μ
0:316
f- =0
Re 0:25
L 1
Δp - f ρu2 = 0
d 2
Q Δp
w=
ηe
The model is complete when we also consider the bound constraints:
0:03 ≤ d ≤ 0:3, 0 ≤ u, 5000 ≤ Re , 10 - 6 ≤ f ≤ 10 - 1 , 0 ≤ Δp, 0 ≤ w
The problem at hand has six optimization variables and five equality con-
straints, and there is only one degree of freedom. The meaning is that if we
assign value to one of the variables, then all remaining variables can be
determined by solving the equations. To see that this is indeed the case for
the problem under investigation, assume that we assign a value to the pipe
diameter d, and then we can determine:
• The fluid velocity u = Q/(πd2/4)

• The Reynolds number from its definition Re = udρ/μ
• The friction factor from f = 0.316/Re0.25
• The pressure drop from Δp = f(L/d )0.5 ρu2
• The electrical power consumption w = ΔpQ/ηe
• The TAC from Eq. (3.100)
The practical usefulness of this property is that we may simply use many
values for the pipe diameter within the permissible range and compare the TAC
values to locate the minimum. The result of these calculations is presented in
Fig. 3.9, from which it is clear that there is a global minimum at approximately
d = 0.13 m.
Another practical use is that we can use the same equations to derive
tight upper and lower bound for all variables. To demonstrate that, let us
assume that the pipe diameter obtains its lowest value d = 0.03 m. Then
we may determine the fluid velocity u = Q/(πd2/4) = (100/3600)/
(π0.032/4) = 39.3 m/s. This is the maximum velocity that can be obtained as
it corresponds to minimum diameter. If we had used the maximum diameter
Fig. 3.9 Cost as a function of the pipe diameter for the fluid pumping case study
d = 0.3 m, then the velocity obtained is 0.393 m/s, and this is clearly the
minimum velocity that can be obtained. As Reynolds number is inversely
proportional to the diameter, the minimum diameter corresponds to the max-
imum Reynolds number, etc.
The following m-file is a possible implementation for the calculation of the
objective function:
function f=pumping_obj(x)

% x(1) is the diameter d in m
% x(2) is the velocity u in m/s
% x(3) is the Reynolds number Re [-]
% x(4) is the friction factor f [-]
% x(5) is the pressure drop Dp in kPa
% x(6) is the power w in W

L = 100; % length of pipe in m
Q = 100/3600; % volumetric flowrate in m3/s
rho = 1000; % density in kg/m3
miu = 0.001; % viscosity in kg/(m s)
hta_e= 0.8; % pump efficiency fractional
ty = 8322; % operating hours per year
c_el = 0.1; % electricity cost in $/kWh
% C. DEFINE OBJECTIVE FUNCTION

f=(1/3)* ( 1500*x(1)^1.5*L + 750*(x(6)/1000)^0.3 ) + . . .
(x(6)/1000)*ty*c_el;
The following m-file is a possible implementation for the calculation of the

inequality and equality constraints (parts A and B are omitted as they are the
same as above):
function [g,h]=pumping_cnstr(x)

...
...
% C. DEFINE NONLINEAR INEQUALITY CONSTRAINTS
g = [];
% D. DEFINE NONLINEAR EQUALITY CONSTRAINTS

h(1) = x(2)*(pi*x(1)^2/4) - Q;
h(2) = miu*x(3) - x(2)*x(1)*rho;
h(3) = x(4)*x(3)^(1/4) - 0.316;
h(4) = x(5)*x(1) - x(4)*L*0.5*rho*x(2)^2;
It is interesting to note the way that we have written the equality constraints
trying always to avoid division by an optimization variable that may cause
numerical problems. Also note that as Eq. (3.99) is a linear equality constraint,
it does not appear in the m-file. The main program is as follows:
clear
...
...
% C. ASSIGN INITIAL VALUES AND BOUNDS TO ALL MODEL PARAMETERS

LB(1)=0.03;
x0(1)=0.25;
UB(1)=0.30;
LB(2)=Q/(pi*UB(1)^2/4);
x0(2)=Q/(pi*x0(1)^2/4);
UB(2)=Q/(pi*LB(1)^2/4);
LB(3)=LB(1)*LB(2)*rho/miu;
x0(3)=x0(1)*x0(2)*rho/miu;
UB(3)=UB(1)*UB(2)*rho/miu;
LB(4)=0.316/UB(3)^(1/4);
x0(4)=0.316/x0(3)^(1/4);
UB(4)=0.316/LB(3)^(1/4);
LB(5)=0;
x0(5)=x0(4)*(L/x0(1))*0.5*rho*x0(2)^2 ;
UB(5)=50000;
LB(6)=LB(5)*Q/hta_e;
x0(6)=x0(5)*Q/hta_e;
UB(6)=UB(5)*Q/hta_e;
% D. LINEAR INEQUALITY CONSTRAINTS

A=[]; b=[];
% E. LINEAR EQUALITY CONSTRAINTS

Aeq=[0 0 0 0 -Q hta_e]; beq=0; % Eq (3.99)
options = optimoptions('fmincon','Display','iter');
fmincon(@pumping_obj,x0,A,b,Aeq,beq,LB,UB,@pumping_cnstr,
options);
>> format short g

>> run_pumping
First-order Norm of
0 7 7.105599e+03 3.553e-15 6.806e-02
1 14 7.105594e+03 4.615e-10 6.806e-02 6.811e-02
2 21 7.105571e+03 1.165e-08 6.806e-02 3.405e-01
3 28 7.105455e+03 2.925e-07 6.806e-02 1.703e+00
...
26 217 3.663773e+03 5.461e-02 7.676e+01 4.436e+02
27 224 3.663796e+03 2.285e-04 2.189e+00 2.869e+01
28 231 3.663797e+03 2.582e-09 9.870e-03 9.661e-02
ans = 0.12773
2.1678
2.769e+05
0.013776
25342
879.92
Example 3.9 Equilibrium Composition of Ethane Decomposition

In Fig. 3.10, a fixed bed reactor used to decompose ethane in the presence of
steam at 1000 K and 1 bar is shown. If thermodynamic equilibrium is achieved,
then the composition of the product stream can be estimated based on classical
equilibrium thermodynamics as has been discussed in Example 3.4. The
resulting mathematical formulation is as follows:
Fig. 3.10 An isothermal

equilibrium reactor for
ethane steam cracking
X
NC ΔG0f ,i XNC
min Gðni Þ = ni þ ln ni - ln ni
ni ≥ 0
i=1
RT i=1
s:t: ð3:102Þ
X
NC
ni ai,k = a0k , k = 1,2, . . . ,NE
i=1
where ni are the mole of chemical species i at the product stream (there are NC
chemical species present), ΔG0f ,i is the standard state Gibbs free energy of
formation of chemical species i, T is the absolute temperature of the reaction,
and R is the ideal gas constant. aik denote the number of atoms of element k in
chemical species i, and NE are the elements present in the system. The atoms of
element k present in the feed are a0k .
An interesting application of the chemical equilibrium is that of hydrogen
production from hydrocarbons. In a particular example, a stream that contains
4 mol of water per mol of ethane (C2H6) is fed to the fixed bed reactor shown in
Fig. 3.10. The components that are detected (or believed that can be detected)
in the product stream are shown in Fig. 3.10. Our aim is to solve the mathe-
matical Formulation (3.102) to estimate the composition of the product stream
at equilibrium.
To perform the calculation, we need to determine ΔG0f ,i =RT for all compo-
nents. This is a long calculation to be performed by hand, but the details are
explained in most undergraduate books on chemical thermodynamics. The
results of the calculation for T = 1000 K are shown in Table 3.2 together
with all other parameters appearing in Formulation (3.102).
The first step in solving the problem in MATLAB is to define the objective
function which is achieved through the following m-file:
function obj=ChemEquil(n,G0)
obj=n'*(G0+log(n))-sum(n)*log(sum(n));
where G0 denotes ΔG0f ,i =RT (the condensed form at which we have written the
objective functions needs the attention of the reader). We then use the follow-
ing script to solve the problem (as all equality constraints are linear, there is no
need to define an m-file for the nonlinear equality/inequality constraints):
148
Table 3.2 Parameters appearing in Formulation (3.102) for the cracking of ethane
ai,k i = CH4 i = C2H4 i = C2H2 i = CO2 i = CO i = O2 i = H2 i = H2O i = C2H6 a0k
k=C 1 2 2 1 1 0 0 0 2 2
k=H 4 4 2 0 0 0 2 2 6 14
k=O 0 0 0 2 1 2 0 1 0 4
n0i 4 1
ΔG0f ,i 2.4703 14.2933 20.4388 -47.5942 -24.0675 0 0 -23.1795 13.1664
RT
3
Constrained Optimization
clear
% A.EXPLAIN THE MEANING OF EACH ELEMENT OF n
% n(i),i=1,2,..,9 are the mol of component i
% i= 1:CH4 2:C2H4 3:C2H2 4:CO2 5:CO 6:O2 7:H2 8:H20 9:C2H6

% G0/RT
G0=[ 2.4703423
14.2933065
20.4388260
-47.5942455
-24.0674782
0.0000000
0.0000000
-23.1794789
13.1664487];
% C. MODEL LINEAR INEQUALITY AND EQUALITY AND BOUND CONSTRAINTS

A = []; b =[];
% CH4 C2H4 C2H2 CO2 CO O2 H2 H2O C2H6
Aeq=[ 1 2 2 1 1 0 0 0 2;%C
4 4 2 0 0 0 2 2 6;%H
0 0 0 2 1 2 0 1 0]; % O
beq=[ 2; % C
14; % H
4]; % O
% D. ASSIGN INITIAL VALUES AND BOUNDS TO ALL MODEL PARAMETERS
LB=eps*ones(9,1);
for i=1:9
UB(i,1)=min( beq./Aeq(:,i) );
end
% initial guess
n0=[ eps eps eps 2 eps eps 7 eps eps]';
options=optimoptions('fmincon','Algorithm','sqp','Display',
'iter');
[x,f]=fmincon(@(n)
ChemEquil(n,G0),n0,A,b,Aeq,beq,LB,UB,[],options)
The response obtained in MATLAB is the following:

>> runChemEq
Iter Func- Fval Feasibility Step Length Norm of First-order
count step optimality
0 10 -9.995585e+01 3.553e-15 1.000e+00 0.000e+00 4.910e+01
1 20 -1.005245e+02 8.882e-15 1.000e+00 6.114e+00 1.825e+01
2 30 -1.014197e+02 4.441e-16 1.000e+00 1.491e+00 1.223e+01
3 50 -1.014219e+02 1.776e-15 2.825e-02 4.140e-02 1.445e+01
...
24 300 -1.042672e+02 1.776e-15 1.000e+00 3.222e-06 2.034e-01
25 310 -1.042672e+02 1.776e-15 1.000e+00 1.618e-06 6.394e-02
Local minimum possible. Constraints satisfied.
x = 0.062545005772458
0.000000093992436
0.000000000000000
0.552064310254511
1.385390078518543
0.000000000000000
5.364427873293356
1.510481300972434
0.000000208734807
f = -1.042671973068029e+02
The total moles in the product stream are 8.8749 mol, and the composition
is 60% H2, 17% water, 15.6% carbon monoxide, 6.2% carbon dioxide, and
0.7% methane. The moles in the product stream are also shown in Fig. 3.11.
Example 3.10 Optimization of a Heat Exchanger Network
In Fig. 3.12, a heat exchanger network is shown. A hot stream with a product
of flow rate and heat capacity of FCp,H = 10 kW/°C, feed temperature of TH,
in = 200 °C, and final temperature TH,out = 50 °C exchanges heat with a cold
stream with a product of flow rate and heat capacity of FCp,C = 30 kW/°C, feed
temperature of TC,in = 100 °C, and final temperature TC,out = 150 °C. High-
pressure steam (hps) with constant temperature Thps = 250 °C and cooling
water (cw) with inlet temperature of Tcw,in = 15 °C and exit temperature Tcw,
out = 25 °C are also available.
Fig. 3.11 An isothermal

equilibrium reactor for
ethane steam cracking,
summary of problem
solution (the moles of
components not shown
are less than 0.0001 mol)
Q
A
FC
Q T Q
A A
FC
Fig. 3.12 The heat exchanger network case study
The intermediate temperatures T1 and T2 (see Fig. 3.12) determine the heat
load Q1 (in kW) of the process-to-process heat exchanger. If these tempera-
tures are different than the desired final temperatures of the hot and cold
streams, then low-pressure steam (heat load Q2) and/or cooling water (heat
load Q3) can be used to achieve the targets.
To develop the process model, we start with the process-to-process heat
exchanger for which we can develop two energy balances, one for the hot
stream:
Q1 = FC p,H ð200 - T 1 Þ ð3:103Þ
and one for the cold stream:
Q1 = FC p,C ðT 2 - 100Þ ð3:104Þ
We also have an equation that expresses the heat load of the heat exchanger as
a function of the available heat transfer area A1, the overall heat transfer
coefficient U1, and the logarithmic mean temperature difference:
ð200 - T 2 Þ - ðT 1 - 100Þ
Q1 = A 1 U 1 ð3:105Þ
ð200 - T 2 Þ
ln
ðT 1 - 100Þ
For the heat exchanger that heats up the cold stream to its destination tem-
perature, we have:
Q2 = FC p,C ð150 - T 2 Þ ð3:106Þ

ð250 - T 2 Þ - ð250 - 150Þ
Q2 = A2 U 2 ð3:107Þ
ð250 - T 2 Þ
ln
ð250 - 150Þ
In a similar way, for the heat exchanger that cools down the hot stream to its
target temperature:
Q3 = FC p,H ðT 1 - 50Þ ð3:108Þ

ðT 1 - 25Þ - ð50 - 15Þ
Q3 = A 3 U 3 ð3:109Þ
ðT - 25Þ
ln 1
ð50 - 15Þ
As T1 may become smaller than the incoming temperature of the cold stream,
we also need to introduce an inequality constraint that also introduces the
minimum temperature approach ΔTmin between any two streams observed in
the network:
T 1 ≥ 100 þ ΔΤ min ð3:110Þ
The objective function to minimize is an approximate total annual operating

cost of the network that consists of the annualized installed equipment cost
and the cost of utilities:

$
min f = 2800 A0:65
1 þ A0:65
2 þ A0:65
3 þ clps Q2 þ cCW Q3 t y ð3:111Þ
T 1 ,T 2 y
Q1 ,Q2 ,Q3
A1 ,A2 ,A3
where ty = 3107 s/y is the operating time, clps = 1010-6 $/kJ is the cost of the
low-pressure steam, and ccw = 1.610-6 $/kJ is the unit cost of the cooling
water. The overall heat transfer coefficients are U1 = U2 = U3 = 1 kW/(m2 °C).
By selecting the minimum temperature approach ΔTmin, we can calculate
the temperature T1: T1 = 100 + ΔTmin and then solve the mathematical
equations in the order that have been presented to calculate all parameters
appearing in the model. By selecting values for ΔTmin 2 [0.1, 10], the model is
solved, the cost is calculated, and the results are shown in Fig. 3.13. The
minimum cost solution corresponds to T1 = 101.826 °C, and the corresponding
cost is 237,866.6 $/y.
Fig. 3.13 The approximate total annual cost as a function of the minimum temperature
approach for the heat exchanger network shown in Fig. 3.12
We first create the MATLAB function that calculates the cost:
function f=HeatExcNetConstr(x)
% global to local
variables.........................................
T1 = x(1); % intermediate temperature of the hot stream deg C
T2 = x(2); % intermediate temperature of the cold stream deg C
Q1 = x(3); % heat load in the process-to-process heat exch. kW
Q2 = x(4); % heat load in the process-to-lps heat exch. in kW
Q3 = x(5); % heat load in the process-to-cw heat exch. in kW
A1 = x(6); % area of the process-to-process heat exc. in sq m
A2 = x(7); % area of the process-to-lps heat exc. in sq m
A3 = x(8); % area of the process-to-cw heat exc. in sq m
% cost function in $/y
f=2800*(A1^0.65+A2^0.65+A3^0.65)+30*10*Q2+30*1.6*Q3; f=f/1e5;
It could have been easier to define an inline function to achieve the same
objective, but the definition of a dedicated MATLAB function offers greater
flexibility to the user and improved transparency (through the use of com-
ments to clarify the meaning of each variable or parameter of the model). We
then develop a MATLAB function for the constraints:
function [g,h]=HeatExcNetConstr(x)
% global to local variables
.....................................
T1 = x(1); % intermediate temperature-hot stream in deg C
T2 = x(2); % intermediate temperature-cold stream in deg C
Q1 = x(3); % heat load process-to-process heat exch. in kW
Q2 = x(4); % heat load process-to-lpd heat exch. in kW
Q3 = x(5); % heat load process-to-cw heat exch. in kW
A1 = x(6); % area of the process-to-process heat exc. in m2
A2 = x(7); % area of the process-to-lps heat exc. in sq m
A3 = x(8); % area of the process-to-cw heat exc. in sq m
% constants
....................................................
THIN=200; % inlet temperature of the hot stream in deg C
THOUT=50; % target temperature of the hot stream in deg C
FCpH=10; % "FCP" of the hot stream in kW/deg C
TCIN=100; % inlet temperature of the cold stream in deg C
TCOUT=150; % target temperature of the cold stream in deg C
FCpC=30; % "FCP" of the cold stream in kW/deg C
TLPS=250; % temperature of the lps in deg C
TCWIN=15; % inlet temperature of the cooling water in deg C
TCWOUT=15; % outlet temperature of the cooling water in deg C
U1=1; % overall heat transfer coef. in kW/(m^2 deg C)
% inequality constraints
........................................
g=[];
% equality constraints
.........................................
h(1) = Q1 - FCpH *(THIN - T1);
h(2) = Q1 - FCpC *(T2 - TCIN);
h(3) = Q1*(log(THIN-T2)-log(T1-TCIN))-...
A1*U1*((THIN-T2)-(T1-TCIN));
h(4) = Q2 - FCpC *(TCOUT - T2);

h(5) = Q2*(log(TLPS-T2)-log(TLPS-TCOUT))-...
A2*U2*((TLPS-T2)-(TLPS-TCOUT));
h(6) = Q3 - FCpH *(T1 - THOUT);

h(7) = Q3*(log(T1-TCWOUT)-log(THOUT-TCWIN))-...
A3*U3*((T1-TCWOUT)-(THOUT-TCWIN));
Finally, fmincon is used to obtain the solution:
clear all
% initial values
..........................................................
T1 = 110; % intermediate temperature stream in deg C
T2 = 130; % intermediate temperature stream in deg C
Q1 = 900; % heat load process-to-process heat exch. in kW
Q2 = 600; % heat load process-to-lpd heat exch. in kW
Q3 = 600; % heat load process-to-cw heat exch. in kW
A1 = 10; % area of the process-to-process heat exc. in sq m
A2 = 10; % area of the process-to-lps heat exc. in sq m
A3 = 10; % area of the process-to-cw heat exc. in sq m
x0=[T1 T2 Q1 Q2 Q3 A1 A2 A3]';
lb=[100 100 0 0 0 0 0 0]';

ub=[200 150 1500 1500 1500 1000 1000 1000]';
optn=optimset('Display','Iter')
fmincon(@HeatExcNetCost,x0,[],[],[],[],lb,ub,
@HeatExcNetConstr,optn)
>> runHeatExcNet
First-order Norm of
0 9 2.463214e+00 1.151e+03 7.362e-04
1 18 2.551154e+00 1.387e+00 2.833e-03 1.963e+01
2 27 2.551365e+00 7.627e-07 2.836e-03 2.441e-02
3 36 2.551363e+00 1.925e-08 2.836e-03 1.139e-03
...
20 191 2.373218e+00 1.648e-04 2.190e-05 2.029e-02
21 200 2.373218e+00 1.462e-04 2.310e-07 1.909e-02

non-decreasing in feasible directions, to within the value of the
optimality tolerance, and constraints are satisfied to within the
value of the constraint tolerance.
ans = 101.8252 ← T1 [°C]

132.7249 ← T2 [°C]
981.7475 ← Q1 [kW]
518.2525 ← Q2 [kW]
518.2525 ← Q3 [kW]
54.1061 ← A1 [m2]
4.7806 ← A2 [m2]
9.0855 ← A3 [m2]
Learning Summary
The more general form of constrained optimization problems where both

equality and inequality constraints are involved is known as the NLP problem:
min f ðxÞ
x
s:t:
hðxÞ = 0
gðx Þ ≤ 0
If x is a feasible point, i.e., h(x) = 0 and g(x) ≤ 0, the gradients of the equality
constraints and the active inequality constrains are linearly independent at
x and x solves the NLP problem locally, then there exist unique scalars λi 2 R,
i = 1, 2, . . ., m and non-negative scalars μj, j = 1, 2, . . ., p, such that:
Xm Xp
∇f ðxÞ þ λ ∇hi ðxÞ
i=1 i
þ μ ∇gj ðxÞ = 0
j=1 j
μj gj ðxÞ = 0, 8j = 1,2, . . . ,p
μj ≥ 0, 8j = 1,2, . . . ,p
These are necessary conditions and are known as KKT conditions.

When only equality constraints are involved, then the NLP problem can be
solved using the SQP algorithm that is based on solving the following linear
system of equations at iteration k:
" # " # " #
HL x k , λ k ∇T h xk δxk ∇f xk
=-
∇h xk 0 λkþ1 h xk
where the hessian of the Lagrangian with respect to x is the following:

Xm
HL xk , λk = ∇2 f xk þ λk ∇2 hi xk
i=1 i
A naïve SQP algorithm can be implemented in the following steps:
Step 0: Select an initial estimate of the solution x0 2 Rn and λ0 at iteration

k = 0.
Step 1: Calculate ∇f(xk), h(xk), ∇h(xk) and HL (xk, λk).
Step 2: Solve (3.82) to obtain xk+1 = xk + δxk and λk+1.
Step 3: If ||δxk||<ε, then STOP else set k = k + 1, and return to Step 1.
Problems 157
When both inequality and equality constraints are considered, the SQP algo-
rithm is much more complicated, but the basic idea remains the same.
Terms and Concepts
You must be able to discuss the concept of:

Lagrangian function
Lagrange multipliers
KKT conditions when applied to general NLP problems
SQP algorithms for solving NLP problems
Problems
3.1 Study the paper by Kravitz, S., Packing Cylinders into Cylindrical Con-
tainers, Mathematics Magazine, 40(2), p. 65–71, 1967. Select 2, 4, 7, 8,
16, 19, and 32 circles of unit radius, and solve Formulation (3.65).
Compare your results with the results reported in the paper, and com-
mend on how the difficulty scales with the number of circles considered.
3.2 Consider now the case of unit circle packing in a square problem. Develop
the formulation based on the formulation used in Problem 3.1. Solve the
problem for N = 3, 4, . . ., 8 circles.
3.3 P. Biswas and D. Kunzru (Int. J. of Hydrogen Energy, 32, pp. 969–980,
2007) study the steam reforming (SR) of ethanol for hydrogen production
over Ni/Ce1-xZrxO2 catalyst prepared by co-precipitation and incipient
wetness impregnation technique. In Table 4 of the paper, the results of
the experimental study are summarized. Use Formulation (3.102) to
investigate whether they achieve equilibrium in their experiments or
not. Prepare a short report.
3.4 A stream of benzene (molecular mass: 78.113 and liquid density 11.2145
kmol/m3) and toluene (molecular mass: 92.14 and liquid density 9.3553
kmol/m3), 60% in benzene, has a molar flow rate of F = 100 kmol/h.
Benzene and toluene form an ideal mixture, and their vapor-liquid equi-
librium (VLE) can be described by the Raoult’s law. The saturation
pressure of benzene (B) and toluene (T) is given by the following Antoine
equations:

2755:642
Psat = exp 9:22143 -
B T - 53:989

3090:783
Psat = exp 9:38490 -
T T - 53:963
where T is the absolute temperature in K and the saturation pressure is

given in bar. You have been asked to design a flash separation unit to
obtain a vapor stream with at least 70% benzene and recovery of benzene
of at least 50%.
The objective is to determine the operating pressure P (1 bar ≤ P ≤ 10
bar) and operating temperature (360 K ≤ T ≤ 450 K) so as to minimize
the installed cost of the vessel C (in $), which is given by:
C = 12500 D H0:8
where D is the diameter of the vessel and H its height (both in m). You
need to take the following constraints into consideration:
1. The velocity of the vapor stream inside the vessel uV (in m/s) must
satisfy the following constraint:
rffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffi
ρL - ρ V
uV = 0:0305
ρV
where ρV is the density of the vapor and ρL is the density of the liquid
(both in kg/m3).
2. The ratio of the height of the vessel over its diameter must be between
3 and 5, i.e., 3 ≤ H/D ≤ 5.
3. The height of the vessel that is not covered by liquid must be at least
1.67 m, i.e., HV > 1.67 m.
4. The liquid holdup is determined by the requirement that the liquid has
a residence time of 10 min (based on the liquid product stream).
Assume that the vessel has flat ends.
3.5 In Fig. P3.5, a heat exchanger network design problem is shown involving
the determination eight mass flow rates (F1, F2, . . ., F8), four temperatures
(T3, T4, T5, T6), and the areas of the two heat exchangers (A1 and A2). The
aim is to determine these parameters so as to minimize the cost of the two
heat exchangers given by:

C = 5000 A0:6
1 þ A2
0:6
The feed stream has a heat capacity of 1 kJ/(kg °C) and the tempera-
ture approach any two streams that exchange heat cannot be less than
Problems 159
Process stream from
Q
U
F F T F
T
A F
F T
T A F
T
F F T F
Saturated steam
at
Q
U
Fig. P3.5 A heat exchanger network design problem
20 °C. It is reminded that the area of the heat exchangers is related to the
heat load Q (in kW), overall heat transfer coefficient U (in kW/(m2 °C),
and mean logarithmic temperature difference ΔΤlm through the following
equation:
ðT h,in - T c,out Þ - ðT h,out - T c,in Þ

Q = AUΔTlm = AU ðT h,in - T c,out Þ
ln ðT h,out - T c,in Þ
where the index h denotes hot stream, the index c cold stream, the index
in at input state, and out at output state.
3.6 (Left and right inverse of a non-square matrix). Consider matrix A with
m rows and n columns and m > n. In that case, the system of linear
equations Ax = b does not have a unique solution as there are more
equations than unknowns (inconsistent). We can, however, obtain a least
squares solution of the system by solving the following minimum norm
problem:
min eT e
x
s:t:
e = b - Ax
Determine the solution of the problem.

A related problem is that when m < n (less equations than unknowns,
infinite number of solutions). In this case we can solve the following
problem (minimum norm solution):
1 T
min x x
x 2
s:t:
Ax - b = 0
After solving these two problems, study the paper “Linear Constraint
Relations in Biochemical Reaction Systems: I&II” by R.T.J.M. van der
Heijden, et al., Biotechnology and Bioengineering, 43, pp. 3–10 and
11–20, 1994, and prepare a short report.
3.7 Fig P3.7 shows a simple batch process which consists of two reactors in
series, a pump that connects the storage of raw material with the first
reactor, a pump that connects the two reactors, and a pump that connects
the second reactor with the product storage vessel. Between the two
reactors and after the second pump, a heat exchanger is located that is
used to heat the product stream of the first reactor. In the first reactor, the
raw material R is transformed to an intermediate product I, which is then
transformed to the product P in the second reactor. There is a need to
produce My kg/y of the product mix P. If Nb is the number of batches
delivered in 1 year and the time between the delivery of two consecutive
batches is τ, then the amount of product mix delivered at each batch
M must satisfy the following constraints:
M Nb = My
τ N b ≤ t y or τ My ≤ t y M
Fig. P3.7 A simple batch plant

Problems 161
where ty is the operating hours in 1 year (8300 h/year). To complete the

formulation express mathematically, the following constraints:
1. The volume of the material in each reactor (M/ρ) must be less than the
80% of the overall reactor volume.
2. The time needed to load or upload the material in or from each reactor
(τ1, τ2, τ3) must be enough so as to deliver the mass processed in one
batch M, while the volumetric flowrate through pump i is Ri (in m3/h).
3. The processing time of each reactor is the sum of the loading time (τ1
for the first reactor and τ2 for the second reactor), the processing time
(θ1 for the first reactor and θ2 for the second reactor), and the
uploading time (τ2 for the first reactor and τ3 for the second reactor).
4. The cycle time τ (the time between the completion of two consecutive
batches) is greater or equal to the processing time of each reactor.
The installed equipment cost consists of the cost of the two reactors
and the cost of the three pumps:
C = a1 V n11 þ a2 V n22 þ β1 Rm
1 þ β 2 R2 þ β 3 R3
1 m2 m3
where ai, ni, βi, and mi are constants.

It is given that : t y = 8300 h=y, My = 10,000,000 kg=y:
ρ1 = 800 kg=m3 ,ρ2 = 1000 kg=m3 :
θ1 = 5 h,θ2 = 6 h:
a1 = 50000 $,n1 = 0:6,a2 = 60000 $, n2 = 0:4:
β1 = β2 = β3 = 1000 $,m1 = m2 = m3 = 0:6:
Determine the cycle time τ, the two reactor volumes V1 and V2, and the
tree transfer rates R1, R2, and R3 so as to minimize the cost of installed
equipment.
3.8 The flue gas from a power plant is available at 1 bar and 180 °C and has a
volumetric flow rate of Ffg = 10 m3/s (molar density ρ = 0.02655 kmol/
m3). Its composition is approximately 10% CO2, 72% N2, 3% O2, and 15%
H2O and has an approximately constant molar heat capacity Cpfg = 31
kJ/(kmol °C). The flue gas is fed to a carbon capture production unit. At
the first step, the flue gas needs to be cooled down to 60 °C. Three options
are available for the cooling medium (U is the estimated overall heat
transfer coefficient):
(i) Cooling water (TCW, in = 25 °C, TCW, out = 35 °C, cost 0.35 $/GJ,
U = 0.1 kW/(m2 °C))
(ii) Low-temperature refrigerant at -20 °C, cost 8 $/GJ, U = 0.2 kW/(m2
°C)
(iii) Very-low-temperature refrigerant at -50 °C, cost 13 $/GJ, U = 0.3
kW/(m2 °C)
Fig. P3.9 A single-effect

evaporator system
V
P Ts T
V Ts
A U
L
L x
x
Τ
The cost of installed shell and tube heat exchangers in $ is

Che = 5000A0.9, where A is the heat transfer area (in m2) and the capital
charge factor is CCF = 0.2. Design the plant that has the minimum total
annual cost (the plant operates for ty = 8300 h/y).
3.9 A single-evaporator system is shown in Fig. P3.9. The following data are
provided:
Property Equation
Boiling point rise BPR = (1.8 + 6.2x)x
(°C)
Heat capacity of solids cps = 1.84
(kJ/(kg °C))
Overall heat transfer coef. U(x) = exp (8.14 - 0.078 ln (x) + 0.26[ln(x)]2)
(kJ/(h m2 °C))
Specific enthalpy of sat. liquid hw(T ) = 9.14 + 3.8648T + 3.3337 10-3T2 -
water (kJ/kg) 9.8 10-6T3
Specific enthalpy of sat. water Hw(T ) = 2502 + 1.8125 T + 2.585 10-4T2 -
vapor 9.8 10-6T3
(kJ/kg)
Specific enthalpy of solution h(x, T ) = (1 - x)hw(T ) + xcpsT
(kJ/kg)
The condition of the feed is given in Fig. P3.9. Our aim is to increase the
solid content of the liquid product stream to at least 50% solids. Design
the system to minimize the following approximate total annual cost
(TAC):
Problems 163
TAC = CCF F BM C evap þ V 0 t y cs
log 10 C eval = 3:9119 þ 0:8627 log 10 ðA1 Þ - 0:0088 ½ log 10 ðA1 Þ2
where Cevap is the purchasing cost of the evaporator in $, CCF = 1/3 (1/y)
is the capital charge factor, FBM = 2.25 is the bare module factor, A1 is the
heat transfer area of the evaporator in m2, V0 is the steam (saturated
steam at Ts0 = 160 °C) consumption in the first effect in kg/h, ty is the
on-stream time (8322 h/y), and cs = 0.03 $/kg is the unit steam cost.
Other variables of interest are:
T1: temperature in the evaporator in °C
P1: pressure in the evaporator in bar
V1: vapor stream coming out from the evaporator in kg/s
L1: liquid stream coming out from the evaporator in kg/s
w1: mass fraction of solids in the evaporator
The pressure, the temperature, and the boiling point rise in the
evaporator are related through the following equations:
3798:3
ln P1 = 11:622 -
Ts1 þ 227:03
T 1 = Ts1 þ BPRðx1 Þ
where Ts1 is the saturation temperature of pure water in °C. The

evaporator can operate in a pressure between P = 0.1 bar and
P = 1 bar.
3.10 Ramanathan και Gaudy (Biotechnology and Bioengineering, XI,

pp. 207–237, 1969) used the continuous experimental bioreactor of
Fig. P3.10 and collected the following experimental data at steady
state by varying the dilution rate:
Di Xi Si
i (h-1) (mg/L) (mg/L)
1 0.042 1589 221
2 0.056 2010 87
3 0.083 1993 112
4 0.167 1917 120
5 0.333 1731 113
6 0.500 1787 224
7 0.667 676 1569
where D is the dilution rate (D = F/V, F is the volumetric flow rate of the
feed and V the volume of the reactor), X is the biomass concentration,
and S is the substrate concentration (substrate at the feed S0 = 3000
mg/L).
Fig. P3.10 A continuous

bioreactor
X D=F/V
S L V
X
S
Assume that the Monod equation:
S
μ = μ max
Ks þ S
is a valid approximation for the system under study (μ is the specific

growth rate and μmax and Ks are the parameters of the Monod equation).
The yield coefficient Yx/s (= rX/rS) is used to relate the concentration of
the substrate and the biomass at steady state. Prove that a mathematical
model for the process at steady state consists of the following algebraic
equations:
μ max S DK s
D= or S =
Ks þ S μ max - D
X = Y x=s ðS0 - S Þ
Define the error matrix:

2 3
D1 K s
S1 - X 1 - Y x=s ðS 0 - S 1 Þ
2 3 6 μ max - D1 7
e1,1 e1,2 6 7
6 D2 K s 7
6e e2,2 7 6
7 X 2 - Y x=s ðS 0 - S 2 Þ 7
6 2,1 6 S 2 - μ max - D2 7
6
6⋮ 7 6 7
⋮7 6 ⋮ ⋮ 7
E μ max , K s , Y xs = 6 7=6 7
6e ek,2 7 6 7
6 k,1 7 6 S k - Dk K s X k - Y x=s ðS 0 - S k Þ 7
6 7 6 μ max - Dk 7
4⋮ ⋮5 6 6
7
7
6 ⋮ ⋮ 7
e7,1 e7,2 4 D7 K s 5
S7 - X 7 - Y x=s ðS 0 - S 7 Þ
μ max - D7
Determine the unknown parameters (μmax, Ks, Yx/s) of the model by

minimizing J = det |ETE|, known as the determinant criterion.
Chapter 4
Linear Programming
4.1 Introduction to Linear Programming
In the previous chapter, we discussed optimization problems with many opti-

mization variables in the presence of nonlinear equality and inequality
constraints:
min f ðxÞ
x
s:t: ð4:1Þ
hðxÞ = 0
gðx Þ ≤ 0
xL ≤ x ≤ x U
where x is a n-th dimensional vector, h is vector valued function (h: Rn → Rm),

and g is also a vector valued function (g: Rn → Rp) (as always f is a real valued
function f: Rn → R). In this chapter, we will focus on an important special case
where all constraints and the objective function are linear leading to a linear
programming (LP) problem:
min cT x
x
s:t: ð4:2Þ
Ax = b
Cx ≤ d
xL ≤ x ≤ xU
where A is a m-by-n constant matrix, C is a p-by-n constant matrix, c is a n

dimensional vector, b is a m dimensional constant vector, and d is a

AG 2022
166 4 Linear Programming
p dimensional constant vector. Despite the limitations inherent in building

linear models for real-world processes, the practical usefulness and applica-
tions of the LP formulation have been enormous in the last 70 years to deserve
a special chapter. We will first present some representative examples of the
application of LP models to chemical processes and then discuss the most well-
known method for solving LP problems known as the simplex method. Again,
we need to remind the reader that our approach is not to dive into the
underlying mathematics but to focus on the results that are most important
from the practical point of view.
4.2 Examples of LP Formulations from the Chemical

Industry
We will present two representative examples of the use of LP models in the

chemical and related industries. The first one is from the petroleum refineries
and the second one from the cement and clinker production. We will first
consider a classical example of blending in petroleum refineries. Petroleum
refineries process crude oil (a mixture of hydrocarbons that also contains
impurities such as sulfur, metals, and nitrogen compounds) and produce a
multitude of commercial products (such as gaseous and liquid fuels and raw
materials for the petrochemicals industry). As the proportions of different
molecules are different in each crude oil (there are practically as many differ-
ent crude oil qualities as there are different oil fields), each crude has its own
specific physical and chemical properties and product yields. A light crude oil
contains a higher proportion of the smaller (light) molecules when compared
to a heavy crude which contains a high proportion of the very large molecules.
Crude classifications are, to some extent, arbitrary, and the most well-known
are based on gravity (light, medium, and heavy crudes) and sulfur content
(sweet/low-sulfur, middle-, and sour/high-sulfur crudes).
A modern refinery (see Fig. 4.1) consists of fractionating operations, chem-
ical operations (to change the chemical structure of intermediates), cracking
operations (to “break down” complex molecules into “simple” molecules), and
blending operations to produce final products and contaminant removal pro-
cesses. Crude processing begins at the atmospheric crude oil distillation unit
(CDU) or primary distillation unit which separates crude oil into different
fractions based on ranges of their boiling points. The CDU is fed with desalted
crude that has been heated in a train of heat exchangers and in a furnace (to a
temperature of around 360 °C and a pressure of around 2 bar). The CDU is
often easy to identify as it is the largest column in a refinery. The top product
passes through a further series of smaller columns, which separate it into light
products, propane, and butane. Side products such as light naphtha (used as
petrochemical feedstock or as a gasoline component), heavy naphtha (which is
4.2 Examples of LP Formulations from the Chemical Industry 167
Fig. 4.1 Structure of a petroleum refinery
usually upgraded to be used as gasoline component), kerosene, and gas oil cuts
are also drawn off the CDU. The residual heavy liquid or residue is the bottoms
product and is fed to a column operating under vacuum (vacuum distillation
unit or VDU) to lower the boiling points and to improve recovery of light
components. These products (vacuum distillates) are mixed with the products
of the CDU or are fed to downstream processes for further processing. The
main products are:
• Liquefied petroleum gas or LPG which is a group of light C2–C4 hydrocarbon
gases.
• Automotive and aviation gasoline that have boiling points up approximately
to 250 °C.
• Kerosene is a light petroleum distillate used for heating and lighting.
• Diesel fuels used in compression ignition engines.
• Fuel oils that are mainly used in space heating and are available in several
grades starting from No. 1 fuel oil (similar to kerosene) to No. 2 fuel oil
(similar to diesel fuel). Heavier grades of No. 3 and 4 can also be available.
• Lubricants
• Asphalt used in the construction industry.
• Petroleum coke used as fuel in several industries.
Almost all refinery products are obtained through some sort of blending of
intermediate products. When computers and modern instrumentation for
online monitoring and control were not available, all blending operations
were batch operations. Nowadays, even small refineries use online computer-
based blending because the equipment is relatively inexpensive and cost
savings are significant as the volumes of the products are extremely high.
Apart from lubricants, the major refinery products produced by blending are
gasoline and jet fuels (fuels for internal combustion engines), heating oils, and
diesel fuels. The objective of product blending is to allocate the available
intermediate components in such a way as to satisfy product demands and
quality specifications and at the same time maximize overall profit. To be able
to use linear programming formulations to solve the blending problems posed
in the petroleum refining operations, the following requirements must be
satisfied:
• Additivity, i.e., the value of a magnitude corresponding to a whole object is
equal to the sum of the values of the magnitudes corresponding to its parts
for any division of the object into parts. For example, additivity of volume of
gasoline means that the volume of the gasoline produced is equal to the sum
of the volumes of all intermediates blended.
• Linearity, i.e., the contribution of each specific intermediate varies in direct
proportion to the fraction (volume, mass, or molar) of the component used
in the blend (doubling, e.g., the fraction of a particular intermediate in the
blend doubles its contribution to a particular property of the final product).
Let’s now consider an oversimplified version of crude oil selection. Let us
assume that a particular refinery uses two crude oil suppliers, CrOil1 and
CrOil2, to produce LPG, gasoline (GSL), diesel (DSL), and asphalt (ASP). Let us
also assume that the data shown in Table 4.1 are available to assist engineers to
decide which mix of CrOil1 and Croil2 to select.
Note that the two alternative crude oils have different yields relative to the
four products selected. There is also an important difference in the relative
prices of the potential products and a less significant difference in the cost of
crude oils. To model the problem at hand, we denote the amount of crude oil
CrOil1 by mCrOil1 and the amount of crude oil CrOil2 by mCrOil2 (in kt). The LPG
produced mLPG is given by the following linear equality constraint:
mLPG = 0:3mCrOil1 þ 0:2mCrOil2 ð4:3Þ
Similar equalities hold for the other products:
Table 4.1 Data for the oversimplified crude oil mix selection problem
Crude oil yields Yji
(t product/t crude)
Product CrOil1 CrOil2 Relative selling price Maximum (kt)
LPG 0.3 0.2 9 1.2
GSL 0.2 0.3 8 1.2
DSL 0.2 0.2 7 0.9
ASP 0.3 0.3 1 1.8
Relative cost 3.25 1.9
mGSL = 0:2mCrOil1 þ 0:3mCrOil2 ð4:4Þ

mDSL = 0:2mCrOil1 þ 0:2mCrOil2 ð4:5Þ
mASP = 0:3mCrOil1 þ 0:3mCrOil2 ð4:6Þ
If we take into account the restriction in the maximum amount that can be
produced (due to limited storage capacity of market share), we may write:
0:3mCrOil1 þ 0:2mCrOil2 ≤ 1:2 ð4:7Þ

or:
1:5mCrOil1 þ mCrOil2 ≤ 6 ð4:11Þ

mCrOil1 þ 1:5mCrOil2 ≤ 6 ð4:12Þ
mCrOil1 þ mCrOil2 ≤ 4:5 ð4:13Þ
mCrOil1 þ mCrOil2 ≤ 6 ð4:14Þ
Equations (4.11), (4.12), (4.13), and (4.14) can also be written in matrix form:
2 3 2 3
1:5 1 6
6 7 mCrOil1 6 7
4 1 1:5 5 ≤4 6 5 ð4:15Þ
mCrOil2
1 1 4:5
where we have omitted (4.14) as it is automatically satisfied if (4.13) is

satisfied. The aim is to assign values to the two optimization variables mCrOil1
and mCrOil2 to maximize the expected profit defined as the revenues minus the
cost of purchasing the crude oils:
f = 9mLPG þ 8mGSL þ 7mDSL þ mASP - 3:25mCrOil1 - 1:9mCrOil2 ð4:16Þ
We can use Eqs. (4.3, 4.4, 4.5, and 4.6) to eliminate the amounts of the specific
products and express the objective as a function of the two optimization vari-
ables only. The final formulation is as follows:
max f = 2:75mCrOil1 þ 4mCrOil2

mCrOil1 ,mCrOil2
s:t: ð4:17Þ
1:5mCrOil1 þ mCrOil2 ≤ 6
mCrOil1 þ 1:5mCrOil2 ≤ 6
mCrOil1 þ mCrOil2 ≤ 4:5
0 ≤ mCrOil1 ,mCrOil2
This is a linear programming problem, and in this chapter, we will present the
methods available for its solution (including their MATLAB® implementation).
We will now show that a seemingly unrelated problem has an almost
identical mathematical formulation. We will briefly present the case of the
Portland cement clinker (PCC) production. PCC is produced from two natural
raw materials—calcium carbonate (limestone) and aluminum silicate (clay,
shale, etc.). These two natural raw materials complement each other to give
rise to the compounds or phases present in the clinker in the required quan-
tities. Several corrective materials such as bauxite, laterite, iron ore or blue
dust, sand, or sandstone, etc. are used to compensate the specific chemical
shortfalls in the composition of the raw mix. A clinker comprises four major
compounds or phases: 50–55% tricalcium silicate (C3S) or “alite,” 25–30%
dicalcium silicate (C2S) or “belite,” 9–11% tricalcium aluminate (C3A), and
12–15% tetracalcium aluminoferrite (C4AF) or “brownmillerite.” In terms of
the four major oxides present in the clinker, the phase percentage of the clinker
that was presented corresponds approximately to 62–65% CaO, 19–21% SiO2,
4–6% Al2O3, and 3–5% Fe2O3. Generally, three to five component mixes are
prepared, in which the proportion of limestone varies from about 80 to 95%,
depending on its quality. The requirements of the four major oxides are usually
expressed by the following three ratios:
Alumina ratio or modulus (AR):
mcAl2 O3
AR = ð4:18Þ
mcFe2 O3
Silica ratio or modulus (SR):
mcSiO2
SR = ð4:19Þ
mcAl2 O3 þ mcFe2 O3
Lime saturation factor (LSF):
mcCaO
LSF = ð4:20Þ
2:8mcSiO2 þ 1:1mcAl2 O3 þ 0:65mcFe2 O3
where mCi denotes the mass of oxide i in the clinker. If the mass fraction of the
oxide in the raw material r is Ωi,r, then the mass of the oxide i in the raw
materials mix is:
XNR
mCi = r=1
Ωi,r mr ð4:21Þ
where mr is the mass of the raw material r used in the raw materials mix.
Finally, a basis for the calculations needs to be defined and is usually 1000 kg
or 1 t of clinker:
XNO
i=1
mCi = 1000 ð4:22Þ
where NO denotes the number of oxides present in the mix. Other elements
such as alkalis, metals, and SO3 as well as ash due to fuel burned to supply the
necessary energy are present in the raw material, but we ignore them to
simplify the presentation. We will consider a specific case study to facilitate
clarity. The details are presented in Table 4.2. Four different raw materials are
considered with different composition and cost characteristics. Loss on ignition
or LOI refers to the % of volatile material that ends up to the gaseous stream
and does not become part of the solid product (clinker).
The raw material mix usually is selected to satisfy specific amounts of each
oxide in the mixture and minimize the cost of raw materials used. The per-
centage of the oxides is expressed in an indirect way through the alumina ratio
AR, silica ratio SR, and lime saturation factor LSF by setting upper (denoted by
subscript U) and lower (denoted by subscript L) bounds. If we select the AR, for
example, then ARL ≤ AR ≤ ARU, or:
mcAl2 O3
ARL ≤ ≤ ARU ð4:23Þ
mcFe2 O3
or:
Table 4.2 Raw materials composition and relative cost for the clinker production process
Limestone Clay Bauxite Pyrites
Ωi,r (r = L) (r = C) (r = B) (r = P)
Oxides SiO2 0.10 0.55 0.01 0.05
(i) Al2O3 0.02 0.10 0.40 0.03
Fe2O3 0.01 0.05 0.35 0.85
CaO 0.50 0.13 0.15 0.02
Loss on ignition 0.37 0.15 0.07 0.02
Relative Cost 4 1 40 25
mcAl2 O3 - ARU mcFe2 O3 ≤ 0 ð4:24aÞ

ARL mcFe2 O3 - mcAl2 O3 ≤ 0 ð4:24bÞ
By taking Eq. (4.21) into consideration, we obtain:

X X
r2fL, C, B, Pg
Ω Al 2 O 3 ,r mr - AR U Ω m ≤0
r2fL, C, B, Pg Fe2 O3 ,r r
ð4:25aÞ
X X
- Ω
r2fL, C, B, Pg Al2 O3 ,r r
m þ ARL r2fL, C, B, Pg ΩFe2 O3 ,r mr ≤ 0 ð4:25bÞ
Finally:
X
r2fL, C, B, Pg
ðΩAl2 O3 ,r - ARU ΩFe2 O3 ,r Þ mr ≤ 0 ð4:26aÞ
X
r2fL, C, B, Pg
ðARL ΩFe2 O3 ,r - ΩAl2 O3 ,r Þ mr ≤ 0 ð4:26bÞ
Similar linear inequality constraints can be developed for the SR and LSF.
These linear inequalities together with the linear equality (4.22) define the
feasible space of the problem. The objective function (cost minimization) is the
following:
XNR
min
mL ,mC ,mB ,mP
cm
r2fL, C, B, Pg r r
= cL mL þ cC mC þ cB mB þ cP mP ð4:27Þ
where cr is the relative unit cost of raw material r.
4.3 Graphical Solution of Linear Programming

Problems
In this section, we will present the graphical solution of the crude oil selection
problem in order to get some insight in the nature of the problem. We consider
again the LP formulation for the crude oil selection given by Formulation
(4.17). We will start by finding what the feasible space of the LP problem
is. As we have only two variables, it is relatively easy to discover what the
feasible space is. We draw the inequalities as equalities and then exclude the
half space that does not satisfy the inequality. If we consider the general
inequality constraint a1x1 + a2x2 ≤ b, then we can draw the linear equation
a1x1 + a2x2 = b as it passes through the points (0, b/a2) and (b/a1, 0). This line
separates R2 into two half spaces. We then consider the origin (point (0, 0)),
and if it satisfies the inequality, then the half space that includes the origin
belongs to the feasible space. We repeat for all inequalities to find the feasible
space of the overall problem.
4.3 Graphical Solution of Linear Programming Problems 173
We begin by considering the first inequality:
1:5mCrOil1 þ mCrOil2 ≤ 6 ð4:28Þ
The corresponding equality passes through the points (4, 0) and (0, 6). The
origin satisfies the constraint as 0 < 6, and we obtain Fig. 4.2a where we have
also taken into consideration the non-negativity constraints 0 ≤ mCrOil1 and
0 ≤ mCrOil2. We then add the second linear inequality constraint:
mCrOil1 þ 1:5mCrOil2 ≤ 6 ð4:29Þ
The corresponding line passes through the points (0, 4) and (6, 0). The
combined result is shown in Fig. 4.2b. We then add the final inequality
constraint:
mCrOil1 þ mCrOil2 ≤ 4:5 ð4:30Þ
to obtain Fig. 4.3. In Fig. 4.3, in addition to the feasible space, the objective
function is also given. Points that have equal values of the objective function
are shown as dashed straight lines. As the value of the function becomes
smaller, the line of the objective function moves away from the origin. It is
important to note that all lines of equal values of the objective function are
parallel to each other. As (in this book) we express all optimization problems as
minimization problems, the objective function shown is the negative of the
objective function given in Formulation (4.17).
It is important to note that the optimal point is located when the line of the
objective function is moved in the improving direction until it only has a single
point in the feasible region. As we will see shortly, this is a general character-
istic of LP problems as the solution is always located in a “corner” or vertex
point of the feasible region. In this particular example, the optimal point is the
intersection of the following two constraints:
mCrOil1 þ 1:5mCrOil2 = 6
mCrOil1 þ mCrOil2 = 4:5
If we subtract the second from the first, we obtain mCrOil2 = 3 kt and then
mCrOil1 = 1.5 kt. It is also important to note that all “corner” points in the
convex polygon formed in the R2 space shown in Fig. 4.3 correspond to the
simultaneous solution of the two constraints that are active (satisfied as
equalities) at this point. We may therefore construct a quick method to solve
algebraically small problems. We may locate all corner points by examining all
possible combinations of two constraints and then solve the resulting linear
systems, evaluate the solution, and then determine the objective function. This
sounds as an extremely efficient method, but you only need to recall the
(a)
4
m
3
0 1 2 3 4 5 6
(b)
4
m
3
0 1 2 3 4 5 6
Fig. 4.2 Step toward sketching the feasible space of the crude oil selection problem
4.3 Graphical Solution of Linear Programming Problems 175
m CrOil2
6
m CrOil1
0
0 1 2 3 4 5 6
f=−4 f=−13.5 f=−16.125
Fig. 4.3 Graphical solution of the crude mix optimization problem
number of alternative ways in which you may select n elements among the
m members of a set to realize that the number of corner points can be
extremely high. This number is given by:

m m!
= ð4:31Þ
n n!ðm - nÞ!
(the binomial formula for counting combinations). If, for example, we have a
problem with 10 variables and 30 inequality constraints (a relatively small
case study), then we need to investigate more than 30 million corner points!
This is clearly not a feasible strategy, and a cleverer approach is needed in
order to be able to attack real-world problems with thousands of variables and
thousands or even millions of constraints. This is simplex method developed by
G. B. Dantzig.
4.4 The Simplex Method: Basic Definitions and Steps
The simplex algorithm assumes that the LP problem has been defined
(or transformed) in the standard form:
min
x
f = cT x
s:t: ð4:32Þ
Ax = b
x≥0
where x is a (column) vector of dimension n, c is a constant (column) vector of

dimension n, A is a m-by-n constant matrix, and b is a constant (column) vector
of dimension m. This simply means that we have a problem with m linear
equality constraints and n variables which are restricted to be non-negative.
We may express the standard form in a more analytic way:
min
x1 ,x2 ,...,xn
f = c1 x1 þ c2 x2 þ . . . þ ck xk þ . . . þ cn xn
s:t:
a11 x1 þ a12 x2 þ ... þ a1k xk þ ... þ a1n xn = b1
a21 x1 þ a22 x2 þ ... þ a2k xk þ þ a2n xn = b2
⋮ ⋮ ⋮ ⋮ ⋮ ⋮ ⋮
ar1 x1 þ ar2 x2 þ ... þ ark xk þ ... þ arn xn = br
⋮ ⋮ ⋮ ⋮ ⋮ ⋮
am1 x1 þ am2 x2 þ . . . þ amk xk þ . . . þ amn xn = bm
x1 ≥ 0, x2 ≥ 0, . . . , xk ≥ 0, . . . , xn ≥ 0
ð4:33Þ
We will demonstrate the steps of the simplex algorithm through the crude oil
selection problem that we have just solved graphically. We can recall that the
initial formulation as given by Eq. (4.17) is not in the standard form as (a) the
problem is a maximization problem and (b) the constraints are inequality
constraints. Point a is easy to resolve as maximizing f is equivalent to minimiz-
ing -f. To transform the inequality problem into an equality problem, we
introduce one non-negative variable si for each constraint i that can be thought
of as the distance from being an active inequality (these are called slack vari-
ables). By performing these two modifications, we obtain the following
formulation:
4.4 The Simplex Method: Basic Definitions and Steps 177
min f = - 2:75mCrOil1 - 4mCrOil2 þ 0s1 þ 0s2 þ 0s3

mCrOil1 , mCrOil2
s:t: ð4:34Þ
1:5mCrOil1 þ mCrOil2 þ s1 = 6:0
mCrOil1 þ 1:5mCrOil2 þ s2 = 6:0
mCrOil1 þ mCrOil2 þ s3 = 4:5
0 ≤ mCrOil1 , mCrOil2 s1 , s2 , s3
We define the following column vector to facilitate clarity and generality of our
presentation:
2
3 2 3
x1 mCrOil1
6 7 6 7
6 x2 7 6 mCrOil2 7
6 7 6 7
x=6 7 6
6 x 3 7 = 6 s1 7
7 ð4:35Þ
6 7 6 7
4 x 4 5 4 s2 5
x5 s3
Then (4.34) can be written as:
- 2:75x1 - 4x2 þ 0x3 þ 0x4 þ 0x5 = f

þ 1:5x1 þ x2 þ x3 = 6
ð4:36Þ
þ x1 þ 1:5x2 þ x4 = 6
þ x1 þ x2 þ x5 = 4:5
This general form is typical of general LP problems formulated in the LP

standard form. It is interesting and important to note that this representation
has a special and very important structure:

cT 0 xN f
= ð4:37Þ
A I xB b
What is particularly desirable about this structure is that if b ≥ 0, we can

immediately obtain an initial feasible solution, i.e., a solution that satisfies all
problem constraints. This is of great practical importance. To demonstrate that,
you only need to set xN = 0, and as AxN + IxB = b, then xB = b, and f = 0 is an
initial feasible solution. The elements of the xB vector are called basic variables,
and the elements of the xN vector are called the nonbasic variables, while
[xBT, xNT] is called a basic solution. xB has always as many elements as
equality constraints in the LP standard form, i.e., m, while xN has n-m elements
(number of variables minus the number of inequality constraints).
For the crude oil mix selection problem, we observe that the initial basic
feasible solution is:
3 2
2 3 2 3
x1 mCrOil1 0
2 3 6 7 6 7 6
6 x2 7 6 mCrOil2 7 6 0 7
7 2 3
xN 6 7 6 7 6 7 0
6 7 6⋯7 6 ⋯ 7 6 ⋯7 6 7
x=4⋯5=6 7=6 7=6 7=4⋯5 ð4:38Þ
6x 7 6 s
6 37 6 1
7 6
7 6 6 7
7
xB 6 7 6 7 6 7 b
4 x 4 5 4 s2 5 4 6 5
x5 s3 4:5
and f = 0 (no crude oil is purchased, no products are produced and no

revenues are generated). This point corresponds to the point (0, 0) in
Fig. 4.3. This is the origin and is a vertex point in the convex feasible region.
This is not a coincidence. Every feasible basic solution corresponds to a vertex
of the feasible space, and for every vertex, there is a basic feasible solution. As
(0, 0) is not the optimal point, we need to devise a method to reach the optimal
point through a number of finite steps. In the simplex algorithm, we move from
a vertex of the feasible space to a neighboring vertex if the objective function is
improving by doing so. Neighboring vertex points have basic feasible solutions
that share the same m - 1 basic variables and have one different basic variable.
In every step of the simplex algorithm, we exchange one basic variable with
one nonbasic variable, i.e., one basic variable becomes nonbasic but is replaced
by a nonbasic variable (which becomes basic). So, there are three questions to
be answered before developing an efficient LP solution algorithm:
• How do we identify an optimal solution (i.e., when the algorithm
terminates)?
• In the case of a basic feasible solution that is not optimal, how do we select
which nonbasic variable will become basic
• How do we select which basic variable will become nonbasic?
To answer the first question, we return to the crude oil mix selection and to
Formulation (4.36). We note that at the initial basic solution, the nonbasic
variables are zero, i.e., x1 = 0 and x2 = 0. As both x1 and x2 are non-negative
variables, we can only increase them. As their coefficients are both negative,
the objective function will improve (decrease) when we increase any of the
nonbasic variables. We can immediately see that increasing the nonbasic vari-
ables will not result in improving the objective function when their coefficients
in the objective function are all positive. This is the simple criterion for
identifying the optimal solution: all coefficients in the objective function that
correspond to the nonbasic variables have to be positive at the optimum solution.
If there are coefficients that are negative, then the vertex that corresponds
to the current basic feasible solution is not the optimal solution. We need to
move to a neighboring vertex. To achieve that, we can only (or allowed to)
make a switch between one basic and one nonbasic variable. To decide which
nonbasic variable will become basic, we examine the coefficients of the
nonbasic variables in the objective function and locate the most negative
coefficient (assume that this is coefficient cp that corresponds to xp). We select

the most negative coefficient because for the same change in the variable, we
achieve the maximum decrease in the objective function. For the crude oil mix
selection problem, we note from Formulation (4.36) that x1 has a coefficient of
-2.75 and x2 has a coefficient of -4. We therefore select x2 to become basic
variable.
As we increase x2 while keeping x1 = 0, the linear equalities in formulation
(4.36) become:
x2 þ x3 = 6
1:5x2 þ x4 = 6 ð4:39Þ
x2 þ x5 = 4:5
As we increase x2, the basic variables x3, x4, and x5 must be decreased to ensure
satisfaction of the equality constraints. We want to increase x2 as far as
possible, and we can decrease all basic variables, but they have to remain
non-negative. At the extreme case, they become zero, and this happens when:
• x3 = 0 ) x2 = 6/1 = 6.
• x4 = 0 ) x2 = 6/1.5 = 4.
• x5 = 0 ) x2 = 4.5/1 = 4.5.
The minimum among these ratios is the most restrictive condition, and the
corresponding basic variable (x4 in our case) will become nonbasic.
We have concluded that x2 will become basic variable and x4 will become
nonbasic. We exchange their positions in (4.36):
- 2:75x1 þ 0x4 þ 0x3 - 4x2 þ 0x5 = f

þ 1:5x1 þ x3 þ x2 = 6
ð4:40Þ
þ x1 þ x4 þ 1:5x2 = 6
þ x1 þ x2 þ x5 = 4:5
We are not finished yet as we have destroyed the structure of our table (needs
to have the structure implied by Eq. (4.37)). To bring the table back into the
standard format, we eliminate x2 from all rows but the second one. This can
be achieved by first dividing row 3 by the coefficient of x2 in that row
(R3 ° R3/1.5):
- 2:75x1 þ 0x4 þ 0x3 - 4x2 þ 0x5 = f

þ 1:5x1 þ x3 þ x2 = 6
2 2 ð4:41Þ
þ x þ x þ x2 = 4
3 1 3 4
þ x1 þ x2 þ x5 = 4:5
and then subtract row 3 from rows 2 (R2 ° R2 - R3) and 4 (R4 ° R4 - R3)
(eliminate x2):
- 2:75x1 þ 0x4 þ 0x3 - 4x2 þ 0x5 = f

5 2
þ x - x þ x3 = 2
4 1 3 4
2 2 ð4:42Þ
þ x þ x þ x2 = 4
3 1 3 4
1 2
þ x - x þ x5 = 0:5
3 1 3 4
We finally eliminate x2 from the first row (R1 ° R1 + 4R3) (note that all
coefficients of the basic variables are zero in the line corresponding to the
objective function in (4.37)):
0:25 8
- x þ x þ 0x3 þ 0x2 þ 0x5 = f þ 16
3 1 3 4
5 2
þ x - x þ x3 = 2
4 1 3 4 ð4:43Þ
2 2
þ x þ x þ x2 = 4
3 1 3 4
1 2
þ x - x þ x5 = 0:5
3 1 3 4
Note that we have restated the problem in the standard form, and the solution
follows immediately by simply setting the nonbasic variables equal to zero:
2 3 2 3 2 3
x1 mCrOil1 0
23 6 7 6 7 6
6 x 4 7 6 s2 7 6 0 7 2 3
7
xN 6 7 6 7 6 7 0
6 7 6 ⋯7 6 ⋯ 7 6 ⋯ 7 6 7
x=4⋯5=6 7 6
6 x 7=6 s
7=6 7
7 6 2 7=4⋯5 ð4:44Þ
6 37 6 1 7 6 7
xB 6 7 6 7 6 7 b
4 x2 5 4 mCrOil2 5 4 4 5
x5 s3 0:5
This new basis corresponds to the point (4, 0) in Fig. 4.3 and is again, as
expected, a vertex solution. The objective function has decreased to f = -16.
The slack variables s1 = 2 and s3 = 0.5 show how far away we are from
“hitting” the first and third constraints. Is this solution optimal? The answer
is “no” as the coefficient of x1 in the first line of Formulation (4.43) is negative.
We have therefore completed a step of the simplex algorithm, but we are not
finished yet!
We have identified x1 as the nonbasic variable to become basic by examining
the condition:
p = argminfci g ð4:45Þ
i
i.e., p is the index i (argument) that corresponds to the most negative ci

(apparently, if cp ≥ 0, we are at the optimum solution, and the algorithm
would have terminated at the previous step). To locate which basic variable
will become nonbasic, we perform the following calculation:
bi
q = arg min ð4:46Þ
i:aip > 0 aip
i.e., we calculate all ratios bi/aip and locate the most restrictive (smaller
positive ratio). For our case study:
0:25 8
- x þ x þ 0x3 þ 0x2 þ 0x5 = f þ 16
3 1 3 4
5 2
þ x - x þ x3 = 2
4 1 3 4 ð4:47Þ
2 2
þ x þ x þ x2 = 4
3 1 3 4
1 2
þ x - x þ x5 = 0:5
3 1 3 4
• x3 = 0 ) x1 = 2/(5/4) = 8/5 = 1.6.

• x2 = 0 ) x2 = 4/(2/3) = 6.
• x5 = 0 ) x2 = 0.5/(1/3) = 1.5.
It follows that x5 will become the new nonbasic variable. It is left as an exercise
to the reader to show that one additional iteration is necessary, the optimum
solution shown in Fig. 4.3. This completes our presentation of the simplex
algorithm which was based on the assumption that the initial formulation was
given in the LP standard form given by (4.32) or (4.33). In some cases,
however, this is not the case, and some preliminary steps are necessary to
transform (if possible) out formulation into the standard form. There are
numerous books (such as Dantzig and Thapa, Linear Programming, Springer,
1997) that present all details in a comprehensive way for the interested reader.
Having said that, we need to inform the reader that all modern LP solvers
accept formulations that are not in the standard form and perform all adjust-
ments (if necessary) automatically. Our formulation has indicated all details of
the simplex algorithm that are important from the user’s point of view.
Before closing the presentation of the simplex algorithm, we need to empha-
size that not all LP formulations need to have a solution or a unique solution. If,
for example, we have the constraints x < 1 and x > 5 in our formulation, then
our problem has no feasible solution as there is no x that is less than 1 and
greater than 5 at the same time. A modern LP solver will terminate with an
appropriate warning message to inform us on this unexpected feature of our
formulation. A LP formulation can also have many solutions when the objective
function happens to be parallel to a constraint that is active at the optimum
point. All points on the constraint also correspond to the same value of the
objective function. If a LP problem has a feasible solution, it will also have a
basic feasible solution and, at least, one optimum point (which is always going
to be a vertex point). Finally, although the standard LP formulation involves
only equality constraints and non-negative variables, any modern LP solver can
handle problems of the general LP form that involves both equality and
inequality constraints and lower and upper bound on x:
min f = cT x
x
s:t: ð4:48Þ
Ax ≤ b
Aeq x = beq
LB ≤ x ≤ UB
4.5 Solving LP Problems in MATLAB®
The LP solver available in MATLAB® solves the general problem given by

(4.48), and its general structure is the following:
[xopt,fopt,flag,output,lambda]
=linprog(c,A,b,Aeq,beq,LB,UB)
attempts to solve the linear programming problem given by:
min c'*x subject to: A*x <= b,Aeq*x=beq&LB<x< UB
Set A=[] and B=[] if no inequalities exist. Use empty matrices for
LB and UB if no bounds exist. xopt is the optimal solution and
fopt the optimum value of the objective function. When flag=1
the global solution has been found. Lambda is s structure with the
Lagrange multipliers.
To demonstrate the use of linprog, we consider the crude oil mix selection
problem as it is summarized by Formulation (4.17). As linprog solves
minimization problems, we use the negative of the objective function:
>> clear
>> c=[-2.75;-4];
>> A=[1.5 1; 1 1.5;1 1]; b=[6;6;4.5];
(continued)
4.5 Solving LP Problems in MATLAB® 183
>> LB=[0;0]; UB=[6;6];

>> [xopt,fopt,flag,output,lamda]=linprog(c,A,b,[],[],LB,UB)
Optimal solution found.
xopt = 1.5000
3.0000
fopt = -16.1250
flag = 1
output =
struct with fields:
iterations: 2
constrviolation: 0
message: 'Optimal solution found.'
algorithm: 'dual-simplex'
firstorderopt: 2.2204e-15
lamda =
struct with fields:
lower: [2×1 double]
upper: [2×1 double]
eqlin: []
ineqlin: [3×1 double]
>> lamda.ineqlin
ans = 0
2.5000
0.2500
The solution obtained in MATLAB agrees with the solution obtained graph-
ically in Fig. 4.3 and the solution obtained by the “manual” application of the
simplex algorithm. Note that the Lagrange multipliers for the second and third
constraints that are active are different than zero. To demonstrate how they
can be calculated, we may apply Eq. (3.6):
Xp
∇f þ μ ∇gi
i=1 i
= ∇ðc1 x1 þ c1 x1 Þ þ μ2 ∇ða21 x1 þ a22 x2 Þ
þ μ3 ∇ða31 x1 þ a32 x2 Þ = 0
or:

c1 a21 a31
þ μ2 þ μ3 =0 ð4:49Þ
c2 a22 a32
This can also be written as:

a21 a31 μ2 C1
=- ð4:50Þ
a22 a32 μ3 C2
We substitute the numerical values to obtain:

1 1 μ2 2:75
= ð4:51Þ
1:5 1 μ3 4
which has the solution [μ1 μ2]=[2.5 0.25]. As the Lagrange multipliers are
positive, this is a KKT point, and given the fact that the problem is convex, it
follows that it is the global optimal solution.
We now return to the clinker production problem for which we have to
finalize the mathematical formulation. We start by using the data in Table 4.2
to write Eq. (4.27) in the following form:
min 4mL þ mC þ 40mB þ 25mP ð4:52Þ

mL ,mC ,mB ,mP
The mass of the oxides in the clinker is obtained from Eq. (4.21) by substituting
the numbers (mass fractions Ωi,r) given in Table 4.2:
2 3 2 32 3
mcSiO2 0:10 0:55 0:01 0:05 mL
6 mc 7 6 0:02 0:03 7 6 7
6 Al2 O3 7 6 0:10 0:40 7 6 mC 7
6 7=6 76 7
4 mcFe2 O3 5 4 0:01 0:05 0:35 0:85 5 4 mB 5
mcCaO 0:50 0:13 0:15 0:02 mP
or:
2 3
mL
6 7
6 mC 7
6 7
2 36 7 2 3
0:10 0:55 0:01 0:05 -1 0 0 0 6 mB 7 0
6 7
6 76 7 6 7
6 0:02 0:10 0:40 0:03 -1 0 7 6 7 6 7
6 0 0 7 6 mP 7 6 0 7
6 7 6 c 7=6 7
6 0:01 0:05 0:35 0:85 -1 0 7 6 7 6 7
4 0 0 5 6 mSiO2 7 4 0 5
6 c 7
0:50 0:13 0:15 0:02 0 0 0 -1 6 7
6 mAl2 O3 7 0
6 7
6m c 7
4 Fe2 O3 5
mcCaO
ð4:53Þ
4.5 Solving LP Problems in MATLAB® 185
We also need to add constraint (4.22) which expresses the fact that the mass of
the produced clinker (oxides) is 1000 kg:
2 3
mL
6 mC 7
6 7
6 7
6 mB 7
6 7
6 m 7
6 P 7
½0 0 0 0 1 1 1 1 6 c 7 = 1000 ð4:54Þ
6 mSiO2 7
6 7
6 mc 7
6 Al2 O3 7
6 c 7
4 mFe2 O3 5
mcCaO
We then express the upper and lower bound constraints on AR, SR, and LSF
(see Eqs. (4.18), (4.19), and (4.20)):
- mcAl2 O3 þ ARL mcFe2 O3 ≤ 0 ð4:55aÞ

mcAl2 O3 - ARU mcFe2 O3 ≤ 0 ð4:55bÞ
- mcSiO2 þ SRL mcAl2 O3 þ SRL mcFe2 O3 ≤0 ð4:56aÞ
mcSiO2 - SRU mcAl2 O3 - SRU mcFe2 O3 ≤0 ð4:56bÞ
2:8LSFL mcSiO2 þ 1:1LSFL mcAl2 O3 þ 0:65LSFL mcFe2 O3 - mcCaO ≤ 0 ð4:57aÞ
- 2:8LSFU mcSiO2 - 1:1LSFU mcAl2 O3 - 0:65LSFU mcFe2 O3 þ mcCaO ≤ 0 ð4:57bÞ
where the subscript L denotes lower bound and the subscript U upper bound
(see also Eqs. (4.23) and (4.24) on how Eqs. (4.55a) and (4.55b) can be derived,
and the approach is exactly the same for Eqs. (4.56) and (4.57)). The inequality
constraints can also be written in the following matrix form:
2 3
mL
2 36 7 2 3
0 0 0 0 0 -1 ARL 0 6 mC 7 0
6 7
6 76 7 6 7
60 þ1 - ARU 0 7 6 7 6 7
6 0 0 0 0 7 6 mB 7 6 0 7
6 76 7 6 7
60 -1 0 7 6 7 6 7
6 0 0 0 SRL SRL 7 6 mP 7 6 0 7
6 7 6 c 7≤6 7
60 þ1 - SRU - SRU 0 7 6 7 6 7
6 0 0 0 7 6 mSiO2 7 6 0 7
6 76 c 7 6 7
60 -17 6 7 6 7
4 0 0 0 2:8LSFL 1:1LSFL 0:65LSFL 5 6 mAl2 O3 7 4 0 5
6 7
0 0 0 0 - 2:8LSFU - 1:1LSFU - 0:65LSFU þ1 4 6 mc 7 0
Fe2 O3 5
mcCaO
ð4:58Þ
We have therefore completed the formulation, and we can solve the problem in
MATLAB (which we organize in a script file due to a large volume of informa-
tion necessary to use linprog for this case study):
c=[4 1 40 25 0 0 0 0];
Omega=[0.10 0.55 0.01 0.05;
0.02 0.10 0.40 0.03;
0.01 0.05 0.35 0.85;
0.50 0.13 0.15 0.02];
Aeq=[Omega -eye(4);
zeros(1,4) ones(1,4)]; % see eq (4.5.5) & (4.5.6)
beq=[zeros(1,4) 1]';
ARL = 1.0; ARU = 2.7;
SRL = 1.5; SRU = 2.5;
LSFL= 0.85; LSFU= 1.02;
A=[ 0 -1 ARL 0;
0 1 -ARU 0;
-1 SRL SRL 0
1 -SRU -SRU 0;
2.8*LSFL 1.1*LSFL 0.65*LSFL -1;
-2.8*LSFU -1.1*LSFU -0.65*LSFU 1];
A=[ zeros(6,4) A]; % see eq (4.5.9)
b=zeros(6,1);
LB=zeros(8,1); UB=[];
[x,f,flag,output,lambda]=linprog(c,A,b,Aeq,beq,LB,[])
>> clinker
x = 1.2551
0.2150
0.0040
0.0287
0.2452
0.0490
0.0490
0.6567
f = 6.1103
flag = 1
It follows that at the optimal solution, 1,255.1 kg of limestone (83.5%),

215 kg of clay (14.3%), 4 kg of bauxite (0.27%), and 28.7 kg of pyrite (1.91%)
are mixed to produce 1000 kg of clinker. The mixture contains 245.2 kg of SiO2,
49 kg of Al2O3, 49 kg of Fe2O3, and 656.7 kg of CaO (1000 kg in total). The AR,
SR, and LSF obtain the values:
4.6 Classical LP Formulations 187
mcAl2 O3 49
AR = = = 1 = ARL
mcFe2 O3 49
mcSiO2 245:2
SR = = = 2:5 = SRU
þ mcFe2 O3
mcAl2 O3 98
mcCaO
LSF =
2:8mcSiO2 þ 1:1mcAl2 O3 þ 0:65mcFe2 O3
656:7
= = 0:85 = LSFL
2:8 245:2 þ 1:1 48 þ 0:65 48
As the corresponding linear inequalities are active, the corresponding

Lagrange multipliers must be positive:
>> lambda.ineqlin
ans = 23.2086 <--- ARL < AR is active

0 <--- AR < ARU
0 <--- SRL < SR
18.2160 <--- SR < SRU is active
1.5723 <--- LSFL < LSF is active
0 <--- LSF < LSFU
4.6 Classical LP Formulations
There are some classical LP formulations of great importance as they usually

form the basis for building formulations for realistic case studies. Most of them
have been the subject of extensive research, and, for some of them, specialized
algorithms have been developed that outperform general LP solution algo-
rithms. We will present just a sample of these problems with the aim to
improve the modeling skills of the reader.
Example 4.1 The Transportation Problem and Related Problems
In the transportation problem, we consider m origins (or sources) and
n available destinations (or sinks). Each origin i can supply Si units of a
commodity, and each destination j demands Dj units of the same commodity.
The general structure of the transportation problem is shown in Fig. 4.4, where
cij is the unit transportation cost corresponding to the link (i, j). The variables
of the problem are denoted by xij and correspond to the amount of commodity
shipped from origin i to destination j. If we assume that the total demand
equals the total supply (if this is not the case, a dummy origin or a dummy
destination can be assumed to satisfy the requirement), then the transporta-
tion problem has the following LP formulation:
Fig. 4.4 Representation S D

of the transportation
problem
S D
. .
. .
. .
cij
Si i j Dj
. .
. .
. .
Sm m n Dn
X
m X
n
min cij xij
xij
i=1 j=1
s:t: ð4:59Þ
X
n
xij = S i , i = 1, 2, . . . , m
j=1
X
m
xij = Di , j = 1, 2, . . . , n
i=1

0 ≤ xij ≤ min S i , Dj , i = 1, 2, . . . , m
j = 1, 2, . . . , n
The first m equality constraints state that the total amount shipped from origin
i must always be equal to the available supply from this origin Si. The
remaining n equality constraints ensure that the demand Dj of each destination
j is satisfied. If we take a problem with three origins and three destinations,
then we may write the equations in the following matrix form (only the
nonzero elements are shown to indicate the special structure of the Aeq
matrix):
2 3
x11
6 7
2 3 6 x12 7 2 3
1 1 1 6 7 s1
6 7
6 7 6 x13 7 6 s 7
6 1 1 1 76 7 6 27
6 7 6 x21 7 6 7
6 1 1 17 6 7 6s 7
6 7 6 x22 7 = 6 3 7 ð4:60Þ
61 76 7 6d 7
6 1 1 76 7 6 17
6 7 6 x23 7 6 7
4 1 1 1 56 7 4 d2 5
6 x31 7
1 66 7
1 1 7 d3
4 x32 5
x33
This structure can be generated quite efficiently in MATLAB if the number of

origins and the destinations are known together with the supply at each source
and the demand at each destination. The following m-file uses this information
together with the unit cost for each arc arranged in a m by n matrix, generates
the matrix of the equality constraints, and then uses linprog to solve the
problem:
function [xopt,fopt,flag]=transportationLP(C,S,D)
% build and solve a transportation model
% C is the m-by-n matrix with the unit costs
% S is the m dimensional column vector with the supplies
% D is the n dimensional column vector with the demands
if (sum(S)-sum(D)) % if not balanced give a warning
fprintf('Supply is not equal to demand'); pause
xopt=[];fopt=[];flag=-inf; return;
end
m=length(S) ; % number of origins
n=length(D) ; % number of destinations
c=reshape(C',m*n,1);
Aeq=[ kron(eye(m),ones(1,n));
kron(ones(1,m),eye(n))];
beq=[S;D]';
[xopt,fopt,flag]=linprog(c,[],[],Aeq,beq,zeros(m*n,1));
The following script can be used to solve the transportation problem shown
in Fig. 4.5:
Fig. 4.5 Representative

example of a
transportation problem
clear
C=[ 35 30 40 32;
37 40 42 25;
40 15 20 28];
S=[120 100 80]';
D=[110 40 75 75]';
[xopt,fopt,flag]=transportationLP(C,S,D)
>> run_tranportationLP_1
Optimization terminated.
xopt = 85.0000 <-- x11

35.0000 <-- x12
0.0000
0.0000
25.0000 <-- x21
0.0000
0.0000
75.0000 <-- x24
0.0000
5.0000 <-- x32
75.0000 <-- x33
0.0000
fopt = 8.4000e+03
flag = 1
In the transportation problem, we consider m origins and n destinations

where each origin i can supply Si units of a commodity, and each destination
Fig. 4.6 Representation S D

of the transshipment
problem
S
. D
.
. .
.
. k .
. .
Sm m n Dn
j demands Dj units of the same commodity. A closely related problem is the

assignment of a set of objects (such as workers) to a set of assignments or jobs.
This is the well-known assignment problem, a special case of the transportation
problem with n = m and Si = Dj = 1 (equal number of objects and assignments
and unit supply or demand). A specialized algorithm for solving the assignment
problem is the Hungarian algorithm, but it can also be solved as an LP problem.
The most interesting problem related to the transportation problem is that
of the transshipment model. In the transportation model, the assumption is
that each point is either an origin or a destination (objects are available at the
origins and are required in the destinations). There are many practical appli-
cations with intermediate points, which are not points where the objects are
available or required. These intermediate points are points where the objects
can be transshipped before they are transported to their final destinations (see
Fig. 4.6). A classical problem is that of municipal solid waste collection systems
where the waste is first collected and then transshipped to local collection
points. At these intermediate points, some initial sort of processing takes place,
before finally the waste is transported to its final destination. Transshipment
problems as well as transportation and assignments models can also be seen as
special cases of a more general class of problems called network models.
Example 4.2 Network Models

Networks consist of nodes (denoted by circles) and arcs (denoted by lines
connecting the nodes). When an arc (i, j) connects nodes i and j, then some
form of material, energy, information, or general object can “flow” between the
nodes. If the arc is a directed arc, then its direction is denoted by putting an
arrow at the end of the arc into the terminal node. No such restriction applies
to an undirected arc, and “flow” can be in both directions (a single line is used).
Lower and/or upper bounds (minimum and maximum capacity bounds) can
exist to the amount of “flow” in each arc.
A representative network with 10 nodes and 15 undirected arcs is shown in
Fig. 4.7. This can be thought of as roads connecting ten cities or pipelines
b
c c
b
b b c
c
c c
c
b b
c
c c
c
b c
c c
b c
c b
b
Fig. 4.7 Representation of the transshipment problem
connecting storage facilities with production and consumption facilities. To

represent these cases, we associate the parameter cij to the arc (i, j) connecting
node i and node j to denote some kind of unit cost (or shipping cost or weight)
to objects moving between nodes i and j. We also associate a number bi to each
node denoting either the available supply of an object (bi > 0) or the required
demand (bi < 0) for the object, i.e., bi > 0 for sources and bi < 0 for destinations
or sinks. When bi = 0, then node i is an intermediate (or transshipment) node.
We also associate with each arc (i, j) the variable xij to denote the amount of
P
“flow” on the arc. We finally assume that ni= 1 bi = 0 , i.e., the total supply
equals the total demand (if this is not the case, we can add a dummy node to
satisfy the constraint).
We can now present the general LP formulation for a network problem
which is the following:
X
m X
n
min cij xij
xij
i=1 j=1
s:t: ð4:61Þ
X
n X
n
xij - xji = bi , i = 1, 2, . . . , n
j=1 j=1
0 ≤ xij ≤ UBij , i, j = 1, 2, . . . , n
The equality constraint is a balance constraint and expresses the fact that
objects need to be conserved in nodes (cannot be destroyed or generated
from nothing). The first summation is the total amount leaving node i, while
the second summation is the total amount that is fed to node i. Their difference
must be equal to bi, i.e., the supply or demand at the node. This constraint is
also known as the flow conservation or Kirchhoff equation.
Two well-known cases of the general network model are the models of the
maximum flow and the model of the shortest route. The maximum flow
formulation between nodes 1 and n is the following:
max
x
f
ij
s:t:
8 ð4:62Þ
>
> þf , i=1
Xn Xn <
xij - xji = 0, 1<i<n
>
>
j=1 j=1 :
-f, i=n
0 ≤ xij ≤ UBij , i, j = 1, 2, . . . , n
Observe that there is only one source (node 1) and only one destination (node
n). The formulation seeks to calculate the maximum flow available at node
1 that can be transported through the network to the destination.
The shortest route formulation is the following:
X
n X
n
min distij xij
x
ij
i=1 j=1
s:t:
8 ð4:63Þ
> þ1,
> i=1
X n Xn <
xij - xji = 0, 1<i<n
>
>
j=1 j=1 :
- 1, i=n
0 ≤ xij ≤ 1, i, j = 1, 2, . . . , n
Note that we have replaced the unit cost cij by distij to stress the fact that we are
minimizing the total distance covered. Even though we do not impose any
integrality constraint on xij, the solution is always xij = 1 or xij = 0 (binary). This
is an amazing characteristic of the particular formulation and is due to the fact
that the Aeq matrix is unimodular. In Fig. 4.8, a hypothetical network is shown
with the distances between the nodes indicated. The distances are also given in
the following matrix:
+1
−1
Fig. 4.8 Example case study for the shortest route problem
2 3
0 80 70 90 M M M M M M
6 80 0 M M 40 M M 60 90 M 7
6 7
6 7
6 70 M 0 60 50 70 M M M M 7
6 7
6 90 M 60 M7
6 0 M 100 M M M 7
6 7
6 M 40 50 M 0 M 60 M M M7
dist = 6
6 M M 70
7 ð4:64Þ
6 100 M 0 40 M M M7 7
6 7
6M M M M 60 40 0 40 M 50 7
6 7
6 M 60 M 50 7
6 M M M 40 0 M 7
6 7
4 M 90 M M M M M M 0 30 5
M M M M M M 50 50 30 0
The M symbol is used to denote a nonexistent connection between the

corresponding nodes. For the LP implementation, a sufficiently large number
can be used for M that will make the selection of the corresponding arc
particularly unattractive (remember that we are solving a minimization prob-
lem). This technique is known as the Big-M method. A potential implementa-
tion of the shortest route model is given in the m-file that follows:
function [xopt,fopt,flag]=ShortestRouteLP(dist)
% Solving the Shortest Route problem

% Using LP formulation
% dist is the n-by-n matrix with the distances between nodes
[n,dummy]=size(dist) ; % number of nodes
(continued)
c=reshape(dist',n*n,1)
Aeq= kron(eye(n),ones(1,n)) + kron(ones(1,n),-eye(n));
beq=zeros(n,1); beq(1)=1; beq(n)=-1;
[xopt,fopt,flag]=. . .
linprog(c,[],[],Aeq,beq,zeros(n*n,1),ones(n*n,1));
return
The solution to the example shown in Fig. 4.8 can be obtained as follows:
clear
M=200;
C=[ M 80 70 90 M M M M M M;
80 M M M 40 M M 60 90 M;
70 M M 60 50 70 M M M M;
90 M 60 M M 100 M M M M;
M 40 50 M M M 60 M M M;
M M 70 100 M M 40 M M M;
M M M M 60 40 M 40 M 50;
M 60 M M M M 40 M M 50;
M 90 M M M M M M M 30;
M M M M M M 50 50 30 M];
[xopt,fopt,flag]=ShortestRouteLP(C)
The solution obtained (too long to be included) involves moving from node
1 to node 2, then to node 8, and finally to node 10 with a minimum distance of
190.
Example 4.3 Cutting Stock (or Trim Loss) Models
Cutting stock problems (or trim loss problems) deal with the problem of
producing objects of prespecified size(s) and shape(s) from given initial objects
so as to minimize the loss (unused material) or some more general and detailed
cost-related objective function. The problem can involve 1D, 2D, or even 3D
objects. As an example, we consider the case of 1D objects shown in Fig. 4.9. We
assume that rods of three different lengths are available: 10 cm, 7 cm, and 4 cm.
We want to produce rods with sizes 5 cm (150 pieces) and 3 cm (100 pieces),
and we want to minimize the loss while satisfying the demand. Each cut we
perform has a (labor and machine setting related) cost associated with it. One
way to formulate the problem is to enumerate all cutting patterns that are
compatible with our requirements. The six different cutting patterns that we
3 cm
5 cm 5 cm
i=1, 10 cm rods, 50 available
10 cm 3 cm
3 cm
5 cm
3 cm
2 cm
waste 1 cm
waste
5 cm 3 cm
4 cm
3 cm
7 cm 3 cm
1 cm
waste
2 cm waste
1 cm waste
Fig. 4.9 Example case study for the cutting stock problem
can use to produce the requested rods from the ones available are shown in
Fig. 4.9 (numbers in squares denote the number of the specific cutting pattern).
To develop a skeleton formulation of the problem at hand, let’s use the
index i to denote the available rods (i = 1, 2, 3) and Si to denote the supply
available of rod i. We will also be using index j to denote the type of the rod in
demand ( j = 1 for the 5 cm rods and j = 2 for the 3 cm rods) and Dj the demand
of rod type j. We will be using the index k to denote the six different cutting
patterns shown in Fig. 4.9 and Yjk to denote the number of rods of type
j produced from cutting pattern k. In our example:
Y jk 1 2 3 4 5 6
" #
1 2 1 0 1 0 0 ð4:65Þ
2 0 1 3 0 2 1
Finally, the variable xk denotes the number of times cutting pattern k is used in
our solution and the constant matrix A with elements aik = 1 when cutting
pattern k is produced from rod i, and aik = 0 otherwise. In our case:
aik 1 2 3 4 5 6
2 3
1 1 1 1
6 7 ð4:66Þ
2 6 1 1 7
4 5
3 1
The constraints of the formulation are the following:

X6
a x
k = 1 ik k
≤ Si , i = 1,2,3 ð4:67Þ
X6
Y x
k = 1 jk k
= Dj , j = 1,2 ð4:68Þ
The first constraint ensures that we will not be using more rods than the ones
available and the second one that demand is satisfied. A possible objective
function is the cost of rods used to satisfy the demands and the cost of cutting
the rods. We assume a basis of the unit cost which is the cost of the rods of
length 4 cm (assumed c3 = 1 monetary unit). Then, we set arbitrarily the
relative cost of the 7 cm rods to c2 = 1.5 and the relative cost of the 10 cm rods
to c1 = 2. Each cutting operation is assigned a cost of ccut = 0.1 monetary units
relative to the unit cost of the 4 cm rods. The objective function is:
f = 2 ðx1 þ x2 þ x3 Þ þ 1:5 ðx4 þ x5 Þ þ x6

þ 0:1ðx1 þ 2x2 þ 3x3 þ x4 þ 2x5 þ x6 Þ
or:
X3 X6 X6
f= c
i=1 i
a x
k = 1 ik k
þ ccut κ x
k=1 k k
ð4:69Þ
where κ k is the number of cuts necessary to implement cutting pattern k.

Finally, we assume that the demand is 150 for the 5 cm rods and 100 for the
3 cm rods. The problem can be solved in MATLAB as follows:
clear
A=[1 1 1 0 0 0;
0 0 0 1 1 0;
0 0 0 0 0 1];
S=[50; 80; 100];
Aeq=[2 1 0 1 0 0;
0 1 3 0 2 1];
D=[150; 100];
c=[2.1 2.2 2.3 1.6 1.7 1.1];
[xopt,fopt,flag]=linprog(c,A,S,Aeq,D,zeros(6,1))
>> CuttingStock
xopt = 50.0000
0
0
50.0000
30.0000
40.0000
fopt = 280
flag = 1
The optimal solution involves cutting 50 10 cm rods according to pattern

1 to produce 100 5 cm rods and cutting 50 7 cm rods into 5 cm rods to satisfy
fully the demand for 150 5 cm rods. Thirty 7 cm rods are cut into sixty 3 cm
Table 4.3 Data for the employee scheduling case study

00:00– 04:00– 08:00– 12:00– 16:00– 20:00–
Slot 04:00 08:00 12:00 16:00 20:00 24:00
Slot ID (i) 1 2 3 4 5 6
Min. number of 4 6 18 14 10 6
employees (di)
rods, and 40 4 cm rods are cut into 40 3 cm rods to satisfy the demand for
100 3 cm rods. The overall cost is 280 monetary units relative to the unit cost
of 4 cm rods. Before closing this example, it is important to emphasize that the
variables appearing in the mathematical formulation for the one-dimensional
cutting stock problem are integer variables (as only integer patterns can be
cut). The solution obtained by linear programming may involve non-integer
solution in which case rounding to the nearest integer that satisfies the demand
can be an acceptable solution.
Example 4.4 Employee Scheduling Models
In this application example, we will consider a simplified scheduling prob-
lem that assigns employees to working shifts. We will consider the more basic
form of the problem where time slots have been defined and minimum
requirements for workers have been identified for each time slot. An example
is shown in Table 4.3 where 4-hour time slots are considered. We assume that
workers start their shift at the beginning of a time slot, and they work for two
consecutive time slots (8-hour shifts). It then follows that at each time slot, the
workers available are the ones that started their shift at the beginning of the
current time slot or the previous time slot. In this simplified example, we will
assume that all workers are identical in terms of skills required and unit cost.
To present the mathematical formulation, we define the index i = 1, 2, .., n to
denote the time slots and di to denote the minimum number of employees in
time slot i. We will also be using the variable xi to denote the workers starting
their shift at the beginning of time slot i. The objective function is to minimize
the number of total employees necessary to satisfy the manning requirements
for the n time slots:
Xn
min x
i=1 i
= 1T x ð4:70Þ
x
i
where 1 = [ 1 1 1. . . 1]T. The only constraint, apart from the non-negativity

constraint on the xi, expresses the fact that the workers that started their shift
at the beginning of the current time slot or the previous time slot must satisfy
the demand. We write them analytically for each time slot:
time slot 1 : x1 þx6 ≥ 4

ð4:71Þ
In a matrix notation, we may write:

2 3
-1 0 0 ⋯ 0 -1 2 3 2 3
6 -1 7 x1 d1
6 -1 0 ⋯ 0 0 76 7 6 7
6 7 6 x2 7 6 d2 7
6 0 -1 -1 ⋱ 0 0 76 7 6 7
6 7 6 x3 7 ≤ - 6 d3 7 ð4:72Þ
6 0 -1 ⋱ 7 6
0 76 7 7 6 7
6 0 0 6 7
6 7 4⋮5 4⋮5
4 ⋮ ⋮ ⋱ ⋱ -1 0 5
xn dn
0 0 ⋯ 0 -1 -1
The solution to the problem stated can be obtained in MATLAB as follows:
clear
n=6;
c=ones(n,1);
D=-[4; 6; 18; 14; 10; 6];
A=diag(-ones(1,n))+diag(-ones(1,n-1),-1); A(1,n)=-1;
[xopt,fopt,flag]=linprog(c,A,D,[],[],zeros(n,1))
>> employeeScheduling
xopt = 4
2
16
4
6
0
fopt = 32
flag = 1
It follows that 32 workers need to be available; 4 of them start their shift at

00:00, 2 at 04:00, 16 at 08:00, 4 at 12:00, 6 at 16:00, and none at 20:00. The
solution obtained is also shown in Fig. 4.10.
Example 4.5 Production Scheduling Models
In this application example, we will consider another simplified production
scheduling problem. A common situation in many personal care, cosmetics, and
pharmaceutical products is that their demand varies significantly during a
calendar year as many of them are seasonal products (sun care products
have, e.g., higher demand during spring and summer, or several flu vaccines
have higher demand during autumn and winter). Let us assume that a phar-
maceutical company has estimated the demand for its new flu vaccine for
autumn and winter (September to February) given in Table 4.4. The company
wishes to determine what is the yearly production schedule that minimizes
Fig. 4.10 Solution of the employee scheduling example
Table 4.4 Data for the vaccine production scheduling case study
Month Sep Oct Nov Dec Jan Feb
t t=1 2 3 4 5 6
Demand (unit) 10,000 40,000 30,000 20,000 40,000 10,000
dt
Production 10 9 16 20 10 5
Cost in $/unit pct
Storage cost 1 2 3 4 2 9
in $/unit sct (Feb to Aug)
overall production cost. Apart from the varying demand, the company also
faces varying production and storage costs that need to be taken into
consideration.
These costs are also given in Table 4.4. The maximum production capacity is
50,000 vaccines per month. Storage capacity is also limited and cannot also
exceed 100,000 vaccines.
The most important variable to determine is the monthly production pt,
t = 1, 2, ..., n. The next most important variable is the inventory It, i.e., the
amount of the product kept in storage at the end of month t. Based on these two
variables, we can propose the following objective function which accounts for
the production and storage cost:
X6
min t=1
ðpct pt þ sct I t Þ ð4:73Þ
xt ,I t
There is a material balance constraint which is applied at each calendar month,

expressing the fact that the inventory at month t - 1 plus the amount produced
during month t must be equal to the inventory at the end of month t plus the
amount that has been delivered to satisfy the demand at the same month:
I t - 1 þ pt = I t þ dt , t = 1,2,⋯,6 ð4:74Þ
It is interesting to note that for t = 1, the equation obtains the following form:
I n þ pt = I t þ d t , t=1 ð4:75Þ
i.e., t - 1 = n, when t = 1 (the vaccines available on September are the ones left
in storage in February, as we assume that no flu vaccine is sold in the
meantime). The following bound constraints also need to be satisfied:

0 ≤ pt ≤ 50,000
, t = 1,2,⋯,6 ð4:76Þ
0 ≤ I t ≤ 100,000
We define the vector of optimization variables x which has 12 elements; the

first six are the productions for the 6 months, and the last six are the
inventories:
x = ½ p1 p2 . . . p6 I1 I2 . . . I 6 T ð4:77Þ
The structure of the Aeq matrix is the following:

2 3
1 0 0 ⋯ 0 -1 0 0 ⋯ 1
6 7
60 1 0 ⋱ ⋮ 1 -1 0 ⋯ 07
6 7
6
Aeq = 6 0 0 1 ⋱ 0 0 1 -1 ⋱ 07 ð4:78Þ
7
6 7
4⋮ ⋱ ⋱ ⋱ 0 ⋮ ⋱ ⋱ ⋱ 05
0 ⋯ 0 0 1 0 ⋯ 0 1 -1
The solution to the problem stated can be obtained in MATLAB as follows:
clear
n=6; % number of scheduling periods
c=[10 9 16 20 10 5 1 2 3 4 2 9];
D=[10; 40; 30; 20; 40; 10]*1000;
Aeq=[eye(n) diag(-ones(1,n))+diag(ones(1,n-1),-1)];
Aeq(1,2*n)=1;
LB=zeros(2*n,1);
UB=[50*ones(n,1); 100*ones(n,1)]*1000;
[xopt,fopt,flag]=linprog(c,[],[],Aeq,D,LB,UB)
>> VaccineProductionScheduling
xopt = 50000
50000
0
0
40000
10000
40000
50000
20000
0
0
0
fopt = 1600000
flag = 1
The plant operates at maximum vaccine production capacity during

September and October. The 2-month production satisfies the demand for
the 4 months (September to December). Therefore, there is no vaccine
production during November and December, and the demand is satisfied from
the inventories. Finally, during January and February, the production matches
the demand, and there is no inventory that is kept in storage at the end of
February. The minimum cost is M$1.6.
Example 4.6 Facility Location Models
In this application example, we will consider a simplified version of the
facility location problem. The general description of the case study is shown in
Fig. 4.11. Existing facilities (shown as circles) are located at positions A (0,250),
B (300,500) and C (400,0) in the two-dimensional space (the units of the
distances can be considered arbitrary, but you might think of them as distances
in m if it helps visualize the problem). Two new facilities (shown as squares)
are to be located in the two-dimensional space. The new facilities will exchange
material with the existing facilities and among themselves with transportation
cost that depends on their rectilinear distances. The rectilinear distance
between two points is simply the sum of the difference in x and
y coordinates between two points, i.e., if point i is (xi, yi) and point j is (xj, yj),
then their rectilinear distance rdij is simply:
rdij = xi - xj þ yi - yj ð4:79Þ
The transportation cost between the facilities is summarized in Table 4.5.

Zeros in this table indicate a pair of facilities that do not exchange material (and
therefore, the solution must not depend on the corresponding rectilinear
distance). The cost is given in monetary units per year and unit distance
covered ($/(m y) are used just to facilitate presentation).
Fig. 4.11 Graphical y

representation of the
facility location problem
x x
x
Table 4.5 Unit transporta- cij (102 $/(m y)) 1 2 A B C

tion costs between facilities
1 – 5 1 0 2
in Fig. 4.11
2 – 1.5 2 0
We will be using the coordinates of the two new facilities in the

two-dimensional space (x1, y1) and (x2, y2) as the optimization variables. The
objective function is the minimization of the transportation cost between the
facilities:
min c12 rd12 þ c1A rd1A þ c1C rd1C þ c2A rd2A þ c2B rd2B ð4:80Þ
x1 ,y1 ,x2 ,y2
The rectilinear distances are defined in Eq. (4.79), but they are nonlinear as
they involve absolute values. There is fortunately an efficient technique to
linearize the absolute value terms. Let’s consider the rd12:
rd12 = jx1 - x2 j þ jy1 - y2 j ð4:81Þ
We introduce four positive variables:
x1 - x2 = X þ -
12 - X 12 , Xþ -
12 ,X 12 ≥ 0 ð4:82aÞ
y1 - y2 = Y þ
12
-
- Y 12 , Yþ -
12 ,Y 12 ≥0 ð4:82bÞ
Note that if x1 > x2, then:
x1 - x2 = X þ
12 ,
-
X 12 =0 ð4:83aÞ
while if x1 < x2, then:
-
x1 - x2 = - X 12 , Xþ
12 = 0 ð4:83bÞ
and therefore:
jx 1 - x 2 j = X þ -
12 þ X 12 ð4:84Þ
We therefore conclude that the objective function can be written as:
min c Xþ - þ - þ - þ -
12 þ X 12 þ Y 12 þ Y 12 þ c1A X 1A þ X 1A þ Y 1A þ Y 1A
x1 ,y1 ,x2 ,y2 12
þ c1C X þ - þ - þ - þ -
1C þ X 1C þ Y 1C þ Y 1C þ c2A X 2A þ X 2A þ Y 2A þ Y 2A
þ - þ -
þ c2B X 2B þ X 2B þ Y 2B þ Y 2B ð4:85Þ
Note that we have achieved the indented “linearization” of the absolute values,
but we have paid a price: the number of the variables has increased
dramatically!
The mathematical formulation involves the following equality constraints:

x1 - x 2 = X þ -
12 - X 12
1-2 ð4:86aÞ
y1 - y2 = Y þ -
12 - Y 12

x1 - xA = X þ -
1A - X 1A
1-A ð4:86bÞ
y1 - yA = Y þ -
1A - Y 1A

x1 - x C = X þ -
1C - X 1C
þ -
1-C ð4:86cÞ
y1 - yC = Y 1C - Y 1C

x2 - xA = X þ -
2A - X 2A
þ -
2-A ð4:86dÞ
y2 - yA = Y 2A - Y 2A

x2 - xB = X þ -
2B - X 2B
þ -
2-B ð4:86eÞ
y2 - yB = Y 2B - Y 2B
x1 ,x2 ,X þ - þ - þ - þ - þ -
12 ,X 12 ,X 1A ,X 1A ,X 2A ,X 2A ,X 2B ,X 2B ,X 1C ,X 1C ≥ 0 ð4:87aÞ
y1 ,y2 ,Y þ - þ - þ - þ - þ -
12 ,Y 12 ,Y 1A ,Y 1A ,Y 2A ,Y 2A ,Y 2B ,Y 2B ,Y 1C ,Y 1C ≥ 0 ð4:87bÞ
Solution of the case study is left as an exercise to the reader.

Example 4.7 Statistical Estimation Based on LP Formulation
In Chap. 2, we have discussed the methodology of least squares for estimat-
ing the parameters of nonlinear models. There is a class of models in which the
parameters appear linearly in the models and are known as models that are
linear in the parameters. These can be in general nonlinear models, but the
parameter happens to appear linearly. A classic example to clarify the concept
is the Antoine equation for calculating the vapor pressure of pure components,
which in its simplest form is:
1
ln Ps = A þ B ð4:88Þ
T
This is clearly a nonlinear model between the vapor pressure Ps and the
absolute temperature T. However, the two parameters of the model A and B
appear linearly. If we perform experiments in which we vary the temperature
and measure the corresponding saturation pressure, then we may define the
variables Y = lnPs and X = 1/T. In this case, our model becomes linear:
Y = A + BX. Linear least squares can be used to determine the model param-
eters, but other options are available as well.
Let’s assume that a general linear in the parameters model is available

involving many explanatory variables Xi, i = 1, 2, ..., n. The general form of
such a model is:
Y = p0 þ p1 X 1 þ p2 X 2 þ ⋯ þ pn X n ð4:89Þ
This model can be generalized to involve mixed terms such as X1X2 and still be
linear in the parameters, but we only keep the first-order terms to facilitate
clarity of presentation. If we have k experimental pairs (Xj, Yj) available, then
we can define the corresponding errors or residuals rj:
r j = Y j - p0 þ p1 X 1j þ p2 X 2j þ ⋯ þ pn X nj , j = 1,2,⋯,k ð4:90Þ
Instead of minimizing the sum of the squared residuals, we can minimize the
maximum residual:
min μ
po , p1 , ..., pn,μ
s:t: ð4:91Þ
- μ ≤ Y j - p0 þ p1 X 1j þ p2 X 2j þ . . . þ pn X nj ≤ μ,
j = 1, 2, . . . , k μ ≥ 0
or we can minimize the sum of the absolute residuals:
X
k
min μþ
j þ μj
-
po , p1 , ..., pn,μ
j=1
s:t: ð4:92Þ
Y j - p0 þ p1 X 1j þ p2 X 2j þ . . . þ pn X nj ≤ μþ
j - μj- ,
j = 1, 2, . . . , k μþ -
j - μj ≥ 0, j = 1, 2, . . . ,k
To clarify the LP formulations just presented, we consider the experimental

data shown in Table 4.6 (the reader is referred to the original publication for
the description of this interesting case study and its practical implications). We
will first apply Formulation (4.91) to determine the model parameters p0, p1,
p2, p3, and p4. We start by writing down the full formulation:
min
p0 , p1 , p2 , p3 , p4 , μ
μ
s:t: ) ð4:93Þ
- μ - p0 - p1 X 1j - p2 X 2j - p3 X 3j - p4 X 4j ≤ - Y j
, j = 1, 2, . . . , k
- μ þ p0 þ p1 X 1j þ p2 X 2j þ p3 X 3j þ p4 X 4j ≤ þ Y j
μ≥0
Table 4.6 Data on the j X1,j X2,j X3,j X4,j Yj

dependence of heat evolved
1 4 21 26 47 114.0
during cement hardening as
a function of composition 2 6 7 60 26 78.5
3 6 7 33 52 95.9
4 8 11 20 56 104.3
5 8 11 47 31 87.6
6 8 10 12 68 109.4
7 9 11 12 66 113.3
8 9 11 22 55 109.2
9 15 1 52 29 74.3
10 17 3 6 71 102.7
11 18 2 22 54 93.1
12 22 1 44 31 72.5
13 23 1 34 40 83.8
Data from Woods, Steinour and Starke, Ind. & Eng. Chem.,
24(11), 1932, p. 1207
X1, % 4CaOAl2O3Fe2O3; X2, % 3CaOAl2O3; X3, % 2CaOSiO2;
X4, % 2CaOSiO2; Y heat evolved during hardening for
180 days (in kcal/kg)
This formulation can be implemented in MATLAB as follows:
clear
data=[ 4 21 26 47 114.0
6 7 60 26 78.5
6 7 33 52 95.9
8 11 20 56 104.3
8 11 47 31 87.6
8 10 12 68 109.4
9 11 12 66 113.3
9 11 22 55 109.2
15 1 52 29 74.3
17 3 6 71 102.7
18 2 22 54 93.1
22 1 44 31 72.5
23 1 34 40 83.8];
X=data(:,1:4); Y=data(:,5);
[k,n]=size(X); n=n+1;
A=[-ones(k,1) -ones(k,1) -X; -ones(k,1) +ones(k,1) +X]
b=[-Y; +Y]
c=zeros(n+1,1); c(1)=1;
LB=-inf*ones(n+1,1); LB(1)=1;
[xopt,fopt,flag]=linprog(c,A,b,[],[],LB,[])
(continued)
>> StatEstLP
A = -1 -1 -4 -21 -26 -47
-1 -1 -6 -7 -60 -26
-1 -1 -6 -7 -33 -52
-1 -1 -8 -11 -20 -56
-1 -1 -8 -11 -47 -31
-1 -1 -8 -10 -12 -68
-1 -1 -9 -11 -12 -66
-1 -1 -9 -11 -22 -55
-1 -1 -15 -1 -52 -29
-1 -1 -17 -3 -6 -71
-1 -1 -18 -2 -22 -54
-1 -1 -22 -1 -44 -31
-1 -1 -23 -1 -34 -40
-1 1 4 21 26 47
-1 1 6 7 60 26
-1 1 6 7 33 52
-1 1 8 11 20 56
-1 1 8 11 47 31
-1 1 8 10 12 68
-1 1 9 11 12 66
-1 1 9 11 22 55
-1 1 15 1 52 29
-1 1 17 3 6 71
-1 1 18 2 22 54
-1 1 22 1 44 31
-1 1 23 1 34 40
b=
-114.0000
-78.5000
-95.9000
-104.3000
-87.6000
-109.4000
-113.3000
-109.2000
-74.3000
-102.7000
-93.1000
-72.5000
-83.8000
114.0000
78.5000
95.9000
104.3000
87.6000
109.4000
113.3000
109.2000
74.3000
(continued)
102.7000
93.1000
72.5000
83.8000
xopt = 2.9967
80.2464
-0.1442
1.3998
-0.3057
0.3379
fopt = 2.9967
flag = 1
The optimal approximating model according to the minimum worst case

absolute deviation is the following:
Y = 80:2464 - 0:1442X 1 þ 1:3998X 2 - 0:3057X 3 þ 0:3379X 4 ð4:94Þ
The solution of formulation (4.92) is left as an exercise to the reader.
4.7 Interior Point Methods for Solving LP Problems
The reader must have been convinced about the practical importance of LP
models and the wide range of real-world applications that fall in this category
of constrained optimization problems. Some might have also realized that
MATLAB does not use the simplex algorithm introduced in this chapter, but
it uses an “interior point” algorithm. The simplex algorithm has been optimized
in the last 70 years, and extensive research work has been performed to fine-
tune all its implementation details. It is, in overall, a very successful algorithm,
but there are some classes of problems for which simplex algorithm is partic-
ularly inefficient. This fact resulted in extended research work in the 1970s
which led to the introduction of the interior point methods. The name is due to
the fact that, in contrast to the simplex method in which we are moving across
the boundary of the feasible space (from one vertex or extreme point to the
next), interior point methods approach the solution from the interior of the
feasible space.
To present briefly the basic idea of interior point algorithms, we start from
the LP problem in the standard form:
4.7 Interior Point Methods for Solving LP Problems 211
min f = cT x
x
s:t: ð4:95Þ
Ax = b
-x≤0
We define its Lagrangian function:
Lðx, λÞ = cT x þ λT ðb - AxÞ - μT x ð4:96Þ
We then apply the KKT conditions to obtain:
AT λ þ μ = c ð4:97aÞ
Ax = b ð4:97bÞ
μ≥0 ð4:97cÞ
μi xi = 0, i = 1,2, . . . ,n ð4:97dÞ
We return now to the standard LP Formulation (4.95) and define the following
logarithmic barrier function B(x, π):
Xn
βℓ ðx, π Þ = cT x - π i=1
ln ðxi Þ ð4:98Þ
with π > 0. As the barrier function ensures that x ≥ 0 will be satisfied, we can
drop the x ≥ 0 constraint, and Problem (4.95) is equivalent to the following
problem:
min βðx, π Þ
x
s:t: ð4:99Þ
Ax = b
We now define the modified Lagrangian function:

Xn
Lðx, λ, π Þ = cT x - π i=1
ln ðxi Þ þ λT ðb - AxÞ ð4:100Þ
We will be using the following definitions:

2 3
x1 0 ⋯ 0
60 x ⋱ ⋮7
6 2 7
X = diagfxi g = 6 7 ð4:101Þ
4⋮ ⋱ ⋱ 05
0 ⋯ 0 xn
23
1
617
6 7
e=6 7 ð4:102Þ
4⋮5
1
Note that x = Xe. We now express the KKT conditions for (4.100):
AT λ þ πΧ - 1 e = c ð4:103aÞ
Ax = b ð4:103bÞ
We define s = πX-1e, and we finally obtain:
AT λ þ s = c ð4:104aÞ
Ax = b ð4:104bÞ
XSe = πe ð4:104cÞ
Note again that s = Se. It is important to note the similarities with the KKT
conditions for the standard LP problem (Eq. (4.97)) and to realize that we can
recover them by allowing π → 0. Based on the equivalence of the KKT condi-
tions of the standard LP formulation and Formulation (4.99), we may develop a
methodology for solving (4.99) iteratively with the additional requirement that
we also need to ensure that π → 0 (i.e., decreasing the value of π in every
iteration).
One way to achieve that is to solve at each iteration a quadratic approxima-
tion of the Problem (4.99). To this end, note that the gradient ∇βℓ and the
hessian ∇2βℓ of the logarithmic barrier function are given by:
∇βℓ ðx, π Þ = c - πX - 1 e ð4:105aÞ

∇2 βℓ ðx, π Þ = πX - 2 ð4:105bÞ
The quadratic approximation for determining the search direction p is as

follows:
1
min ∇ T β l p þ pT ∇ 2 β l p
p 2
s:t: ð4:106Þ
Aðx þ pÞ = b
Assuming that Ax = b, it follows that Ap = 0. This is classical “Newton”

problem for which we may express the KKT conditions through the following
matrix equations:
Learning Summary 213
" # " T #
∇2 β ℓ AT -p ∇ βℓ
= ð4:107Þ
A 0 λ 0
The algorithmic implementation is relatively simple, and we start the algorithm

with an initial feasible x0 and π 0. We then, at iteration k, solve (4.107) to
determine pk and λk. We solve the one-dimensional problem mina βℓ(xk, π k),
where xk = xk - 1 + apk, s.t. Axk = b. We increase the counter, update the
multiplier used π k = ρπ k - 1, ρ 2 (0, 1), and check for convergence. If conver-
gence has not been achieved, we return to solving Problem (4.107).
This has been a very brief presentation of the vast field of interior point
methods. The interested reader is referred to the literature given at the end of
this book for further study of this subject.
Learning Summary
In this chapter, we studied an important special case of constrained optimiza-

tion problems in which the objective function and all constraints are linear
leading to a linear programming (LP) problem:
min cT x
x
s:t:
Ax = b
Cx ≤ d
xL ≤ x ≤ xU
where A is a m-by-n constant matrix, C is a p-by-n constant matrix, b is a

m dimensional constant vector, and d is a p dimensional constant vector. The
simplex algorithm assumes that the LP problem has been defined
(or transformed) in the standard form:
min cT x
x
s:t:
Ax = b
0≤x
The simplex method is based on successive movements between neighboring

extreme points (by exchanging one variable between the basic and nonbasic
variables) and moving across the boundary of the feasible space. The interior
point methods, on the other hand, approach the solution from the interior of
the feasible space by applying Newton’s method to a linearly constrained,
nonlinear (barrier) objective function. Linear programming models have been

developed for a multitude of problems involving, among others, network
models, scheduling models, cutting stock models, and statistical estimation
models.
Terms and Concepts

Cutting Stock problem
Extreme point of feasible space in LP problems
Facility location model
Initial feasible solution
Interior point methods
Maximum flow
Network Models
Production and employee scheduling problems
Shortest Route problem
Simplex method
Standard LP problem
Statistical estimation model
Transshipment problem
Transportation problem
Trim Loss problem
Vertex solution
Problems
4.1 In Table P4.1, a sample of the saturation properties of water in the range
273.16–473.15 K is presented. Use these data to develop an equation that
determines the saturation pressure of water as a function of absolute
temperature.
4.2 Use the data from Problem 4.1 to develop an equation that determines the
enthalpy of evaporation of water as a function of the absolute
temperature.
4.3 Solve graphically the following LP problem, and determine the Lagrange
multipliers:
Problems 215
Table P4.1 Saturation i T (K) Psat (kPa) Δhvap (kJ/kg)

properties of water
1 273.16 0.6117 2 500.9
2 293.15 2.3392 2 453.5
3 313.15 7.3851 2 406.0
4 333.15 19.947 2 357.7
5 353.15 47.416 2 308.0
6 373.15 101.42 2 256.4
7 393.15 198.67 2 202.1
8 413.15 361.53 2 144.3
9 433.15 618.23 2 082.0
10 453.15 1002.8 2 014.2
11 473.15 1 554.9 1 939.8
max f = 3x1 þ 2x2

x 1 , x2
s:t:
2x1 þ x2 ≤ 8
x1 þ 3x2 ≤ 15
0 ≤ x1 , x2
4.4 Repeat Problem 4.3 using the simplex method. Validate your solution
using MATLAB.
4.5 Your company operates three coal mines A, B, and C which provide
800, 1000, and 1400 t of coal, respectively, per week. Five customers
(1, 2, 3, 4, and 5) have ordered 1000, 800, 600, 600, and 1200 t of coal,
respectively, for next week. Transportation cost are shown in the table
that follows:
cij in $/t 1 2 3 4 5
A 6 24 2 24 21
B 27 15 12 18 18
C 9 2 6 19 3
The penalty for not satisfying the demand for customers 1 and 3 is
8 $/t and for customers 2, 4, and 5 is 6 $/t. Determine the weekly
shipping schedule that minimizes the total cost.
4.6 A power plant (see Fig. P4.6) uses an extraction turbine that receives
mS = 200 t/h of superheated steam at 454 °C and 60 atm.
The electrical power generated is given by the following equation:
Pel ðMWÞ = 0:4mS - 0:38mHP - 0:35mLP

Pel
m m
Fig. P4.6 Turbine generator for combined heat and power generation
where mHP is the production rate of high-pressure steam (in t/h) and mLP
is the production rate of low-pressure steam (in t/h). The operating
constraints are the following:
(a) At least 15 t/h of LP steam must be produced.
(b) HL steam production to LP steam production ration must be at least
4:3.
(c) The maximum amount of LP and HP steam that can be produced is
50% of the saturated steam fed to the unit.
The selling price of electricity is 0.1 $/kWh. LP steam can be sold for
20 $/t and HP steam for 25 $/t. Maximize the profit of the operation.
4.7 You are responsible for the production scheduling of five different prod-
ucts (say P1, P2,. . ., P5) which can be produced using three machines (say
M1, M2, and M3). Products P1 and P3 can be sold for 10 $/unit and
products P2, P4, and P5 for 8 $/unit. Labor cost is $8/h for all machines,
while raw material costs are 4$ for products P1 and P3 and $2 for P2, P4,
and P5. All machines are available for 5 days per week (120 h/week or
7200 min/week). The processing times in min for each product and
machine are the following:
Selling price Raw mat. cost

ptij (min) M1 M2 M3 ($/unit) ($/unit)
P1 18 12 8 10 4
P2 10 14 15 8 2
P3 12 6 10 10 4
P4 15 0 5 8 2
P5 10 16 3 8 2
Formulate a LP problem to determine the optimal production sched-

ule, and use MATLAB to obtain the solution.
Problems 217
Fig. P4.8 A water

management network
4.8 In Fig. P4.8, a network is shown which involves water supplies (water
wells) on the left and major residential areas on the right (water con-
sumers). The amounts given in the water sources (water supplies) or
sinks (water demands) are in m3/d, while the weights on the arcs are the
costs in $/m3. Develop a LP formulation for the minimum cost satisfaction
of the water demand, and solve the problem using MATLAB.
4.9 One of the most well-known problems in optimal control is known as the
students problem which can be described as follows:
ZT
min f ðuðt ÞÞ = uðt Þdt
uðt Þ
0
s:t:
dxðt Þ
= - axðt Þ þ buðt Þ, xð0Þ = 0
dt
x ðT Þ = x f
0 ≤ u ðt Þ ≤ u U
Assume that a = 0.1, b = 0.5, T = 15, xf = 50, and uU = 15; use finite
differences to approximate the solution of the differential equation, and
prove that the discrete problem is a LP problem. Solve the problem in
MATLAB.
Chapter 5
Integer and Mixed Integer Programming
Problems
5.1 Introduction
In all chapters up to this point we have studied problems in which all variables
were continuous. In this chapter, we will study optimization formulations and
problems in which either all or some of the variables obtain integer or binary
(either 0 or 1) values. This is arguably the most important class of optimization
problems in engineering as it encompasses the modeling of decisions. We will
first present a number of example problems in which integer (mostly binary)
variables appear naturally in the mathematical formulation. We will then
present some solution strategies and the solver available in MATLAB®.
5.2 Examples of Integer Programming Formulations
We will present a number of representative examples of the use of integer

programming (IP) models. The aim is for the reader to become familiar with
their development and to gradually build some basic modeling skills in devel-
oping IP models.
Example 5.1 A Knapsack Problem

Assume that you have managed, over the recent years, to save $70,000 and
that you are looking for a combination of investments that will maximize the
net present worth (NPW) of your capital. Your financial advisor tells you that
there are four investments available that match the risk criteria that you have
stated. A summary of these investments is presented in Table 5.1. Note that if
one invests 35 k$ in investment 1, then the expected return has a NPW of 55 k$,
while if one invests 25 k$ in investment 2, then the expected return has a NPW

AG 2022
220 5 Integer and Mixed Integer Programming Problems
Table 5.1 Summary of investment opportunities

Investment Investment Investment Investment
1 2 3 4
Cash outflow (k$) 35 25 20 15
NPW (k$) 55 40 30 20
of 40 k$, etc. Any combination of investment opportunities is permissible

provided that the cash outflow does not exceed the available capital of 70 k$.
The first thing to think about is what the optimization variables are in this
example problem. We realize that what we are looking for is whether to select
or not a specific investment opportunity or a specific combination of invest-
ment opportunities. Our decision that needs to be modeled is a yes/no decision
related to the selection (yes) or to the rejection (no) of each one of the available
investment opportunities. This leads us to define the binary (1 or 0) variables yi
which obtain the value of 1 (or yes decision) if investment i is made and the
value of 0 (or no decision) if investment i is not made (for i = 1, 2, 3, 4). This is
normally stated as follows:

1, if investment i is made
yi = , i = 1, 2, 3, 4 ð5:1Þ
0, otherwise
Our aim is to make a combined selection of investments so as to maximize the

return on our investment. If we select investment 1, then the NPW is equal to
55 k$, while if we do not select investment 1, then the NPW due to investment
1 is zero. This can be modeled by the product 55yi for which we note that:

55, if investment i = 1 is made or y1 = 1
55y1 = ð5:2Þ
0, otherwise
The objective function follows directly if we consider all available investments:
max 55y1 þ 40y2 þ 30y3 þ 20y4 ð5:3Þ

y1 ,y2 ,y3 ,y4
Following the same reasoning if investment 1 is made, then 35 k$ should be

invested, while if investment 2 is made, then 25 k$ should be invested, etc. The
constraint that we face is that at most, 70 k$ can be invested, or:
35y1 þ 25y2 þ 20y3 þ 15y4 ≤ 70 ð5:4Þ

5.2 Examples of Integer Programming Formulations 221
The complete formulation is therefore:
min - 55y1 - 40y2 - 30y3 - 20y4

y1 ,y2 ,y3 ,y4
s:t: ð5:5Þ
35y1 þ 25y2 þ 20y3 þ 15y4 ≤ 70
yi = 0 or 1, i = 1,2,3,4
The mathematical problem given by Formulation (5.5) is of the

general form:
Xn
max vy
i=1 i i
yi
s:t: ð5:6Þ
Xn
w y ≤W
i=1 i i
yi = 0 or 1, i = 1,2,⋯,n
where vi is the value of item i, wi is the weight of item i, and W is the maximum
capacity. This is the famous knapsack problem in combinatorial optimization: a
set of items is given, each with a weight wi and a value vi, and we seek to
determine the number of items to include in a collection so as to maximize the
collective value, while the total weight is less than or equal to a given capacity
W. Its name comes from the problem faced by anyone who is constrained by a
fixed-size knapsack and must fill it with the most valuable (non-divisible)
items.
After contacting the financial adviser to let her know that you will be
interested in investing your savings (but you have to wait until you have
finished this chapter so as to determine what is the best combination of the
investment opportunities), she informs you on some additional constraints
that you have to take into consideration:
(a) You must invest in at least two investment opportunities.
(b) As there is a lot of interest in investments 1 and 2, you cannot select both at
the same time.
(c) If you decide to invest in investment plan 1, then you also need to invest in
investment plan 4.
(d) You may increase the amount invested in investment opportunity 3 with-
out limit, and each dollar you invest above the minimum of 20 k$ has a
NPW of 1.58 $.
Clearly, you need to amend the formulation in order to account for these
additional complications.
In order to express mathematically condition a, we note that the sum

y1 + y2 + y3 + y4 is equal to the number of investment opportunities selected.
In order to select at least two investment opportunities, the sum must be
greater than 2:
y1 þ y2 þ y 3 þ y4 ≥ 2 ð5:7Þ
or:
X4
2- y
i=1 i
≤0 ð5:8Þ
For condition b, we can express the constraint as follows:
y1 þ y 2 ≤ 1 ð5:9Þ
Note that if you select both investment opportunity 1 and investment oppor-
tunity 2, then y1 = y2 = 1 and y1 + y2 = 2, and the inequality is violated
(infeasible solution). If you select investment opportunity 1 and not investment
opportunity 2, then y1 = 1 and y2 = 0 and y1 + y2 = 1, and the inequality is
satisfied as equality. If you select investment opportunity 2 and not investment
opportunity 1, then y1 = 0 and y2 = 1 and y1 + y2 = 1, and the inequality is
satisfied as equality. If you do not select any of the investment opportunities
1 and 2, then y1 = 0 and y2 = 0 and y1 + y2 = 0, and the inequality is satisfied.
We conclude that constraint (5.9) forbids the simultaneous selection of invest-
ment opportunities 1 and 2 but allows all permissible combinations (only one
of the two or none).
Condition c can be expressed through the following inequality constraint:
y1 ≤ y4 ð5:10Þ
or:
y 1 - y4 ≤ 0 ð5:11Þ
Note that if investment opportunity 1 is selected, then y1 = 1. From (5.10), it

then follows that 1 ≤ y4 ≤ 1, or y4 = 1, and investment opportunity 4 is also
selected. If investment opportunity 1 is not selected, then y1 = 0. From (5.10), it
then follows that 0 ≤ y4 ≤ 1, or y2 can take any permissible value.
Condition d is more complicated and requires the introduction of the
continuous and non-negative variable x to denote the amount invested in
investment opportunity 3 more than the minimum of 20 k$. This variable
must take the value of zero if investment opportunity 3 is not selected and
any value between the minimum investment of 0 k$ and maximum of
(70–20=) 50 k$ if investment opportunity 3 is selected. These conditions can

be satisfied simultaneously by using the following inequality constraints:
0 ≤ x ≤ 50y3 ð5:12Þ
Note that if y3 = 0, then 0 ≤ x ≤ 0 or x = 0, while if y3 = 1, then 0 ≤ x ≤ 50.

However, we are not finished yet as we need to modify both the objective
function (5.3) to account for any amount invested in investment opportunity
3 more than the minimum:
max 55y1 þ 40y2 þ 30y3 þ 1:58x þ 20y4

y1 ,y2 ,y3 ,y4
ð5:13Þ
and constraint (5.4) that guarantees that we do not invest more that 70 k$:
35y1 þ 25y2 þ 20y3 þ x þ 15y4 ≤ 70 ð5:14Þ
The overall formulation is as follows:
min - 1:58x - 55y1 - 40y2 - 30y3 - 20y4

x,y1 ,y2 ,y3 ,y4
s:t: ð5:15Þ
x þ 35y1 þ 25y2 þ 20y3 þ 15y4 ≤ 70
- y1 - y2 - y3 - y4 ≤ - 2
y1 - y4 ≤ 0
x - 50y3 ≤ 0
-x≤0
yi 2 f0, 1g
Note that while (5.5) is a linear formulation with binary variables only
(an integer linear programming or ILP problem), Formulation (5.15) is also
linear but involves both continuous and integer variables (a mixed integer
linear programming or MILP problem).
Example 5.2 Set Covering Problem
In Fig. 5.1, a geographical area consisting of ten counties (denoted by a, b,
c,. . ., j) is shown. There are eight available locations (denoted by k = 1, 2, . . ., 8)
at which certain major health service facilities can be located. A service facility
k can serve a county provided that the service facility is located at its border.
Given this restriction, we may note that county a can be served by service
facilities 1 and 2, county b can be served by service facilities 2 and 3, . . . ., and
county j can be served by service facilities 4, 5, 6, 7, and 8.
g f
h j
a
d
i
c
b
Fig. 5.1 Representative set covering problem
Our objective is to locate (build) the minimum number of service centers

(facility locations) to “cover” all available counties. This is a special case of the
famous set covering problem in which each member of a given set (set of
counties) must be “covered” by a member of some other related set (potential
service locations) with the aim to minimize the number of elements of the
second set that are required to achieve the stated objective.
To develop the mathematical description of the problem, we define the
binary variables yk, k2{1,2,3,. . .,8} to denote the location of a service facility
at position k:
(
1, if service station is to be located at point k
yk = , k 2 f1, 2, 3, ::, 8g
0, otherwise
ð5:16Þ
The objective function follows immediately as our aim is to minimize the

number of service facilities to build:
X8
min y
k=1 k
= y1 þ y2 þ y3 þ y4 þ y 5 þ y6 þ y7 þ y8 ð5:17Þ
y1 ,y2 ,y3 ,y4 ,y5 ,y6 ,y7 ,y8
The constraints follow from the requirement to “cover” every county. As

county a is “covered” if we place a service center at location 1 or at location
2 or at both locations, we may write:
county a : y1 þ y2 ≥ 1 ð5:18Þ
In a similar way:
county b : y2 þ y3 ≥ 1 ð5:19Þ
county c : y3 þ y4 ≥ 1 ð5:20Þ
county d : y4 þ y5 ≥ 1 ð5:21Þ
county e : y5 þ y6 ≥ 1 ð5:22Þ
county f : y6 þ y 7 ≥ 1 ð5:23Þ
county g : y1 þ y7 ≥ 1 ð5:24Þ
county h : y1 þ y2 þ y7 þ y8 ≥ 1 ð5:25Þ
county i : y2 þ y 3 þ y4 þ y8 ≥ 1 ð5:26Þ
county j : y4 þ y5 þ y6 þ y7 þ y8 ≥ 1 ð5:27Þ
yk 2 f0, 1g, 8k ð5:28Þ
Example 5.3 Integer Programming of Recreational Problems: The Magic

Square Problem and the Sudoku Puzzle Problem as ILP Problems
In Fig. 5.2, a famous engraving by the German Renaissance artist Albrecht
Dürer is shown. The engraving contains (upper right corner just below the bell)
a solution to the well-known recreational problem of the magic square (MSP). A
magic square is a n-by-n (n ≥ 3) square grid filled with the positive integers
1, 2,. . ., n2 such that each cell contains a different integer and the sum of the
integers in each row, column, and main diagonal is equal to M = n(n2 + 1)/2
(known as the magic constant). This is not an example of great practical
importance but is very interesting and challenging (in terms of solving the
problem as ILP problem for n > 6 or 7). An example of a solution to the MSP for
the case of n = 3 is the following:
Note that as n = 3, each row, column, and the two main diagonals sum up to
M = 3(32 + 1)/2 = 15.
Assume that we are given n and we want to solve the MSP by integer linear
programming. The integers that we can place into the n × n cells are the
integers k = 1, 2,. . ., n2. Let’s use index i = 1, 2,. . ., n to denote the row and
index j = 1, 2,. . ., n to denote the column and also define the binary variables
yijk to denote the placement of integer k into the i–j cell or not:
Fig. 5.2 Melencolia I is a 1514 engraving by the German Renaissance artist Albrecht Dürer,
and its central subject is an enigmatic and gloomy winged female figure thought to be a
personification of melancholia. The engraving features a 4-by-4 magic square!. (From
Wikipedia/Wikipedia domain/public domain work of art)

1, if integer k is placed in the cell at row i and column j
yijk = ð5:29Þ
0, otherwise
We also define the continuous variable xij to be equal to the value of the integer
that has been placed into the i–j cell. xij can be obtained from yijk by the
following equation:
Xn2
xij = k=1
k yijk , 8i,j ð5:30Þ
To satisfy the restrictions set by the recreational problem, the sum of each row
must be equal to the magic number:
Xn
M= x ,
j = 1 ij
8i ð5:31Þ
and the same must hold true for each column:
Xn
M= x ,
i = 1 ij
8j ð5:32Þ
The problem statement also requires that the two diagonals have the
same sum:
x11 þ x22 þ ⋯ þ xkk þ ⋯xnn = M ð5:33Þ
xn1 þ xn - 1,2 þ ⋯ þ xn - ðk - 1Þ,k þ ⋯x1n = M ð5:34Þ
For a complete formulation, we must ensure that each integer k is used

only once:
Xn Xn
i=1
y
j = 1 ijk
= 1, 8k ð5:35Þ
and that each cell contains one integer only:

Xn2
y
k = 1 ijk
= 1, 8i,j ð5:36Þ
The equations that have been presented so far define what the feasible
space of the problem is using only linear constraints in terms of the binary
and continuous variables. To develop a complete ILP formulation, we need to
devise an appropriate objective function. The statement of the MSP does not
include any objective function as its aim is to define a feasibility problem. Other
classes of MSP have additional objectives. We can, therefore, define any arbi-
trary objective function such as maximize the difference between the integers
placed in cell 1–1 and cell n–n:
min x11 - xnn ð5:37Þ

yijk ,xij
A similar recreational problem is that of the sudoku puzzle problem in

which you are asked to fill a 9-by-9 grid with integers from 1 to 9 so that
each integer appears only once in each row, column, and each major 3-by-3
square. The initial grid is partially filled with integer numbers, and the task is to
fill in the unoccupied cells. An example sudoku puzzle is the following (taken
from https://sudoku.game/):
To express the restrictions involved in filling in the sudoku cells, we need to

define the following indices:
i = 1, 2, 3 to denote the rows within an internal 3-by-3 grid
j = 1, 2, 3 to denote the columns within an internal 3-by-3 grid
m = 1, 2, 3 to denote the row of the external 3-by3 grid
n = 1, 2, 3 to denote the column of the external 3-by-3 grid
k = 1, 2, 3,. . ., 9 to denote the possible integers that can be used to fill in the
cells
To clarify the exact use of these indices, the following can be consulted:
We also define the binary variables ymnijk as follows:

8
> 1, if integer k is placed in the cell with external row and column m, n
>
>
>
>
< &internal row=column i, j
ymnijk =
>
>
>
>
>
:
0, otherwise
ð5:38Þ
An example from the sudoku given in the previous page is y23124 = 1. We can
now express the sudoku number placement restrictions using these binary
variables. The first one is that each cell contains a single integer:
X9
y
k = 1 mnijk
= 1, 8m,n,i,j ð5:39Þ
To understand this equation, it is important to note that each combination of

the first four indices m,n,i,j corresponds to a unique cell of the sudoku. There
are as many binary variables defined for this cell as there are potential integers
that can be placed in this cell. However, one of these nine binary variables must
be equal to 1 (indicating that we have placed the corresponding integer into the
cell), and all others must be equal to 0.
The second restriction is that each integer appears only once in each
column:
X3 X3
m=1
y
i = 1 mnijk
= 1, 8n,j,k ð5:40Þ
Note that by enumerating all combinations of m and i, we are actually enumer-

ating all cells that belong to a particular column that is selected by assigning
values to n and j.
The third restriction is that each integer appears only once in each row:
X3 X3
n=1
y
j = 1 mnijk
= 1, 8m,i,k ð5:41Þ
Finally, each integer appears only once in each internal 3-by-3 grid:
X3 X3
i=1
y
j = 1 mnijk
= 1, 8m,n,k ð5:42Þ
Again, as sudoku puzzle problem is defined as a feasibility problem and any

arbitrary objective function is acceptable.
Example 5.4 ILP Model for Truck Load Determination in Liquid Fuels
Distribution
In Fig. 5.3, a characteristic example of a tank truck, used by oil companies to
distribute liquid fuels such as gasoline and diesel, is shown. These tank trucks
have several compartments for loading simultaneously several different fuels.
The orders received by the customers are initially processed and organized
according to the geographical area of the customers and then sent to the
appropriate department for generating a preliminary dispatching schedule. In
this example, we consider the case where several tank trucks are available for
satisfying the orders shown in Table 5.2. Each order might correspond to a
single customer or customers aggregated according to their geographical
proximity. The aim is to satisfy each order by minimizing the potential devia-
tions from the initial order called “quantity adjustments.” These adjustments
Fig. 5.3 Tank trucks used in liquid fuel distribution by oil companies have several compart-
ments for loading products with different quality specifications
Table 5.2 Orders to be Volumes in m3 Order 1 Order 2 Order 3

delivered by the tank truck
Liquid fuel 1 16 12 12
shown in Fig. 5.3
Total 48 49 52
are deemed necessary as it is impossible to “fit” all potential orders into the
available tank trucks. In this example, we only consider negative quantity
adjustments (delivering less than the volume ordered) at a cost which is
proportional to the adjustment made and which is usually determined at
managerial level. Our aim is to propose a mathematical formulation that can
be used to solve the problem.
To obtain some understanding of the problem, we consider order 1. To solve
the problem, we decide to satisfy first the fuel with the largest volume. We may
use compartments 2, 3, and 5 to load all 29 m3 of liquid fuel 3. Then we use
compartment 1 for liquid fuel 1 (but we will deliver 16 - 9 = 7 m3 less than the
order) and finally use compartment 4 to load liquid fuel 2. Even though the
total available volume in the tank truck is 47 m3 and the order is 48 m3, we will
be delivering only 41 m3, i.e., 15% quantity adjustment relative to the volume
of the order. This is clearly not very satisfactory, and we need to find out
whether we can do any better. We may keep on trying until we find a satisfac-
tory solution, but it will be much better if we can always find the best solution
using a computer to do all the hard work.
We first define the set c = {1, 2, 3, 4, 5} to denote the compartments of the
tank truck and the set f = {fuel 1, fuel 2, fuel 3} to denote the liquid fuels
included in the orders. We then define the binary (decision) variables yf,c as
follows:

1, if fuel f is placed in compartment c
yf ,c = ð5:43Þ
0, otherwise
The first requirement is that only one fuel is loaded in a compartment, i.e.:
X3
y
f = 1 f ,c
≤ 1, 8c ð5:44Þ
It should also be noted that a fuel in a specific order can be loaded in more than
one compartment to satisfy the demand, and all fuels must be loaded in at least
one compartment (i.e., we may deliver smaller volumes, but we must include
all fuels in the order):
X5
y
c = 1 f ,c
≥ 1, 8f ð5:45Þ
As it is unlikely that we will satisfy all demands, we define the non-negative

continuous variables sf to denote the quantity (volume) adjustments (volume
of fuel not “fit” to the tank truck). The volume of the fuel loaded to the tank
truck plus the volume adjustment must always be equal to the volume of the
fuel in the order df:
X5
c=1
V f ,c þ sf = df , 8f ð5:46Þ
0 ≤ sf ≤ S f , 8f ð5:47Þ
where Sf is the maximum permissible volume adjustment for fuel f.

Finally, each compartment has a finite minimum and maximum capacity:
V c, min yf ,c ≤ V f ,c ≤ V c, max yf ,c ,8f ,c ð5:48Þ
The objective function to be minimized is the penalty due to volume

adjustments:
X3
min cs
f =1 f f
ð5:49Þ
yf ,c ,sf ,V f ,c
where cf is the penalty that corresponds to volume adjustment for fuel type f.
The complete formulation is the following:
X3
min cs
f =1 f f
yf ,c ,sf ,V f ,c
s:t: ð5:50Þ
X3
y
f = 1 f ,c
≤ 1, 8c
X5
y
c = 1 f ,c
≥ 1, 8f
V c, min yf ,c ≤ V f ,c ≤ V c, max yf ,c ,8f ,c
X5
V þ sf = df , 8f
c = 1 f ,c
0 ≤ sf ≤ S f , 8f
yf ,c 2 f0, 1g, 8f ,c
Example 5.5 ILP Model for Scheduling the Operation of Thermal Power Units
(the Unit Commitment Problem)
Thermal power units are complex production units with significant costs
associated with the starting up or the shutting down of a unit. There are also
important constraints related to the rate at which the power production can be
increased or decreased while the plant is in operation. Any thermal power unit
can be characterized by the following parameters of the unit:
Cup,i: the startup cost of unit i (in $)
Cdn,i: the shutdown cost of unit i (in $)
Cfx,i: is the fixed cost of operation of unit i (in $/h)
Cvr,i: is the unit variable cost of operation of unit i (in ($/h)/MW)
PM,i: is the maximum output power of unit i (in MW)
Pm,i: is the minimum output power of unit i (in MW)
Rup,i: is the maximum power increment or ramp-up limit (in MW/h) of unit i
Rdw,i: is the maximum power decrement ramp-down limit (in MW/h) of unit
i
The problem is to decide when to start up and when to shut down a set of
power plants i = {1, 2,. . ., N} so as to satisfy a varying demand Dt, where t is a
time period within the time horizon of interest t = {1, 2,. . ., 24} (i.e., one day
divided in 1 h time periods or any other appropriate selection of time periods
t = {1, 2, 3,. . ., H}).
To evaluate the operating cost, we need to define several binary variables to
indicate the state of each power unit at each time period. All events are
assumed to take place at the beginning of each time interval and to remain at
the same state until the beginning of the next time interval. It is important to
note that each power unit can be:
1. In normal operation
2. In shutdown state (not in operation)
3. In starting up state
4. In shutting down state
Let’s define the binary variable yi,t as follows:

1, if plant i is in normal operation at time interval t
yi,t = ð5:51Þ
0, otherwise
For any unit to be in normal operation at time interval t, a start-up event must
have taken place at any time interval t’ < t, and no shutdown event has
occurred in the meantime. We need to define the binary variable ui,t to denote
a start-up event and the binary variable di,t to denote a shutdown event:

1, if plant i starts up at time interval t
ui,t = ð5:52Þ
0, otherwise

1, if plant i shuts down at time interval t
di,t = ð5:53Þ
0, otherwise
The binary variables are related through the following logical equation:
yi,t - yi:t - 1 = ui,t - di,t , 8i,t ð5:54Þ
where yi,0 are known. Careful consideration is needed in order to understand

the way that Eq. (5.54) works and “connects” the start-up and shutdown events
with the state of each power unit.
If plant i is in normal operating state, then its power output at time interval
t can be any number between the minimum and maximum power:
Pm,i yi,t ≤ Pi,t ≤ PM,i yi,t , 8i,t ð5:55Þ
The power output from all available units must satisfy the demand Dt at time
interval t:
XN
P
i = 1 i,t
≥ Dt , 8t ð5:56Þ
In addition, in normal operating state, the output power can vary at each time
interval, but the increase or decrease in the output power between consecutive
time intervals is limited by the ramp-up and ramp-down limits:
Rdw,i yi,t ≤ Pi,t - Pi,t - 1 ≤ Rup,i yi,t , 8i,t ð5:57Þ
where Pi,0 are known.

The objective function is the following:
XN XH
min i=1 t=1
C fx,i yi,t þ C vr,i Pi,t þ C up,i ui,t þ C dn,i di,t ð5:58Þ
yi,t ,ui,t ,di,t ,Pi,t
The first term accounts for the fixed costs and the second one for the variable
costs, and both contribute only when power plant i is in operation (yi,t = 1).
The third and fourth terms account for the cost of start-up (when ui,t = 1) and
shutdown (when di,t = 1) of plant i.
Example 5.6 ILP Model for the Single-Machine Scheduling Problem

Scheduling is the field of study concerned with the optimal allocation of
resources (machines or processors) over time, to a set of activities or tasks.
Scheduling problems are classified according to the characteristics of the pro-
cessors and the characteristics of the tasks. In this example, we will study the
case of a single machine problem which can be used to process N jobs without
any sequence-dependent constraints. To make the example more concrete,
let’s consider the case where we need to satisfy the demand for three different
types of products: paints of different colors, namely, white (W), red (R), and
blue (B) paint. Data for the problem are presented in Table 5.3. The white
(W) paint needs 12 h of machine operation (preparation and operation of a
mixing tank with addition of ingredients and subsequent processing including
packaging), and it must be delivered (due time) in 60 h (zero time is under-
stood to be the time when the first paint production commences). In the case of
delayed delivery, there is a penalty of 15 $/h of delay (usually estimated at
managerial level). The red (R) paint must be delivered in 52 h, its processing
time is 48 h, and the penalty for delayed delivery is 10 $/h. The blue (B) paint
has a processing time of 36 h, a due time of 84 h, and a penalty of 30 $/h.
Let’s develop a possible solution and investigate its characteristics. We will
adopt the rule that we schedule the tasks according to their due time (the
earliest to be delivered is processed first). According to this rule, paint R is
produced first followed by paint W, and finally, paint B is produced. The
proposed schedule is shown in Fig. 5.4. Paint R is ready for delivery 4 hours
in advance of the due time, and paint W becomes available exactly at the time of
its delivery. However, the production of paint B is completed at t = 96 h, and
there is a delay in its delivery τB = 96 - 84 = 12 h. The resulting penalty for the
delay in delivering paint B is τΒ × wB = 12 h × 30 $/h = 360 $. Our aim is to
develop an ILP formulation that can be used to develop automatically the best
possible sequence of paint production.
Several different formulations have been proposed over the years for
modeling the single machine scheduling problem, and we will present one of
them which treats the time as a continuous variable. The most important
element of the problem is the order at which the tasks are processed from
the processor or machine. Let’s define the binary variables yi,j, where i,
j = {W, R, B} are the tasks, through which the ordering of the processing of
tasks can be inferred:
Table 5.3 Data for the Paint color Due time Penalty
paint production scheduling (i) Processing time pti in h dti in h wi in $/h
problem
W 12 60 15
R 48 52 10
B 36 84 30
Fig. 5.4 A potential solution to the paint production scheduling problem

1, if task i is performed before task j
yi,j = ð5:59Þ
0, otherwise
In the solution shown in Fig. 5.4, yR,W = yR,B = yW,B = 1, and all other yi,j = 0. We
also define the continuous variable sti to denote the time at which task i starts
processing in the machine. It then follows that the time at which processing of
task i is completed, denoted by fti, is given by:
f t i = st i þ pt i , 8i ð5:60Þ
where pti is the processing time for task i. To determine whether there is a time
delay in completing task i, a non-negative delay time τi is used:
f t i - τi ≤ dt i , 8i ð5:61Þ
For the solution shown in Fig. 5.4, it follows that stR = 0, stW = 48, and stB = 60
and, using (5.60), ftR = 0 + 48 = 48, ftW = 48 + 12 = 60, and ftB = 60 + 36 = 96.
We now substitute the numbers in (5.61) to obtain:
Paint R 48 - τR ≤ 52 ð5:62Þ
Paint W 60 - τW ≤ 60 ð5:63Þ
Paint B 96 - τB ≤ 84 ð5:64Þ
It then follows that the solution is τR = τW = 0 and τB = 12 h (it is reminded

that we seek for the minimum non-negative τR, τW, and τB so that the inequal-
ities are satisfied).
The most complicating part of the formulation is the requirement that there
is no overlapping of the tasks. If task i starts at time sti and task j at time stj and
task i precedes (is performed before) task j (i.e. yi,j = 1), then:
st i þ pt i ≤ st j , 8i,j ð5:65Þ
However, if task j precedes task i (i.e., yi,j = 0), then:
st j þ pt j ≤ st i , 8i,j ð5:66Þ
Inequalities (5.65) and (5.66) cannot hold simultaneously, but we need

a method to select the “valid” one based on the value of the binary variables
yi,j. This can be achieved by using the following formulation:
)
st i þ pt i ≤ st j þ M 1 - yi,j
, 8i,j ð5:67Þ
st j þ pt j ≤ st i þ Myi,j
where M is a sufficiently large positive constant. This is a classical modeling

trick to handle cases where only one of two constraints can be active. Note that
if yi,j = 1, the first constraint is active, and the second is redundant (because its
right-hand side will include M, which is much larger than any combination of stj
and ptj). If yi,j = 0, the first constraint is redundant (as M appears in the right-
hand side), and the second is active. As we aim at minimizing the penalty
incurring due to the delayed completion of the tasks, the following overall
formulation follows:
P
min
yi,j ,st i ,τi i2fR, W, Bg w i τi
s:t: ð5:68Þ
st i þ pt i - τi ≤ dt i , 8i
)
st i þ pt i ≤ st j þ M 1 - yi,j
, 8i,j : j > i
st j þ pt j ≤ st i þ Myi,j
st i ,τi ≥ 0, 8i
yi,j 2 f0, 1g, 8i,j : j > i
Note that in the final formulation, only the combinations i,j for which j > i holds
true (i.e., R-W, R-B, and W-B) are used. This is correct as if we have assigned
value to yi,j, then knowledge of yj,i is redundant (as yi,j + yj,i = 1 must always
hold true).
5.3 Solving Integer Programming Problems Using

the Branch and Bound Method
In the previous section, we have presented several IP formulations which may

involve continuous as well as binary variables. If we think of what the general
formulation is, we will conclude that for mixed, integer (practically binary)
linear programming (MILP) problems, a general mathematical formulation is
the following:
min f = cT x þ dT y
x,y
s:t: ð5:69Þ
Ax þ By = b
Cx þ Dy ≤ e
- x ≤ 0,y 2 f0, 1gn
where c, d, b, and e are constant vectors; A, B, C, and D are constant matrices;

x is the vector of continuous variables; and y is the vector of binary variables.
The first question to ask is how we can prove that a promising solution
( f*, x*, y*) is the optimal solution for Problem (5.69). One popular method
for proving optimality is to construct an algorithm that generates, in a clever
way, a decreasing sequence of upper bounds:
f 1 > f 2 > ⋯ > f k ≥ f ð5:70Þ
(k denotes the iteration counter) and at the same time an increasing sequence
of lower bounds:
f1 <f2 <⋯<fk ≤f ð5:71Þ
If the lower- and upper-bound converge (in an acceptable number of iterations

k) so that, for a suitably chosen small positive constant ε, the following
holds true:
f k - f k ≤ ε ð5:72Þ
then we can conclude that the optimal solution of (5.69) has been obtained. The
important question, from the practical point of view, is how one can generate
the decreasing sequence of upper bounds and the increasing sequence of lower
bounds.
For MILP problems of the form given by (5.69), it is important to note that if,
in the k-th iteration of the algorithm, we assign constant values to the binary
variables y = yk, then the problem is transformed to a LP problem in terms of x:
5.3 Solving Integer Programming Problems Using the Branch and Bound Method 239
min f = cT x þ dT yk
x
s:t: ð5:73Þ

e = b - Byk
Ax = b

Cx ≤ e
e = e - Dyk
-x≤0
As we have seen in the previous chapter, efficient algorithms are available for
solving LP problems today. Assume that an optimal solution of (5.73) exists
and is given by ( fk, xk, yk). We may conclude that f k is always an upper bound
on the optimal solution of (5.69), i.e., for a fixed vector of binary variables yk:
fk ≥f ð5:74Þ
The equality holds true only if yk = y*. It then follows that by fixing the binary
variables to any arbitrary values, the solution of the resulting LP problem is an
upper bound to the optimal solution. This also suggests a method for generat-
ing upper bounds: solving the initial problem for a constant vector of the
binary variables. As the algorithm proceeds, the best upper bound is updated:
n o
f k = min f k - 1 , f k ≥ f ð5:75Þ
It is important to note that if the solution of (5.73) is feasible and optimal, then
it is also feasible for Problem (5.69) (provided that yk is also a feasible set of
binary variables). The need is not to find any feasible solution but to find
“good” feasible solutions that provide tight upper bounds on the optimal
solution.
This general idea of producing upper bounds based on fixing the values of
the binary variables and solving the resulting LP problem to generate a feasible
solution is common to most MILP solution algorithms. They differ in the
methodology used to generate lower bounds. Here we will be presenting a
methodology known as LP-based Branch and Bound (B&B) methodology. In
this methodology, the generation of increasing lower bounds is based on the
linear programming relaxation idea. To understand the methodology, we need
first to define the term relaxation.
When we face a “difficult” problem, we can attack the problem by “relaxing”
the characteristics that make the problem difficult to solve and ensure that the
relaxed problem offers a lower bound on the objective function of the initial
problem. When it comes to binary programming problems, the complicating
factor is the requirement that the y variables are binary, i.e., yi2{0,1}. We may
relax the requirement that the yi variables obtain the values of either zero or
one by the requirement that yi are continuous variables in the interval between
zero and one, i.e., yi2[0,1]. We practically enlarge the feasible set over which we
seek to minimize the objective function. This is the reason why the relaxed
problem offers a lower bound. As we have more options (wider feasible space)
in trying to minimize the objective function, it is guaranteed that the objective
function will always be better (smaller) than the objective function obtained
when the complicating restrictions are taken into consideration.
We consider the general MILP problem given by Formulation (5.69). We
consider the following relaxed problem by replacing the yi2{0,1} requirement
with the yi2[0,1] requirement:
x,y
s:t: ð5:76Þ
Ax þ By = b
Cx þ Dy ≤ e
- x ≤ 0,yi 2 ½0, 1,8i
Formulation (5.76) is a LP problem which can be solved using widely available

software.
Assume that at the first iteration of the algorithm, the solution obtained for
the relaxed problem (5.76) is ( fR0, x0, y0). If there is no feasible solution for the
relaxed problem, then there is no feasible solution for the initial problem
(5.69), and the algorithm terminates. If all yi obtain binary values, then the
optimal solution for (5.76) is feasible for the initial problem (5.69) and there-
fore optimal for the initial problem. These two options terminate the algorithm
at the initialization step but are not common in problems of interest.
In the most common case, in the optimal solution of the relaxed problem
(5.76) (we will refer to (5.76) as R0 problem), some of the relaxed binary
variables will obtain non-integral values, i.e., they are between zero and one
(and not exactly zero or one). The value of the objective function of the relaxed
problem fR0 is a lower bound for the optimal solution of (5.69). How do we
proceed? Remember that what we are trying to do is to avoid facing the
integrality constraints. We can, and this is one of the options available, select
among the binary variables the one that is closest to be either 0 or 1 and
“branch” on this variable. In this way, we generate two new subproblems, the
one corresponding to yk = 1 (node R1) and the other to yk = 0 (node R2) as
shown in Fig. 5.5. The next step is to solve the corresponding relaxed problems
R1 and R2 (with yk equal to the binary variable denoted in Fig. 5.5). There are
three potential outcomes:
1. The relaxed problem is infeasible.
2. The relaxed problem has an optimal solution with integer values for the
y (binary) variables.
3. The relaxed problem has an optimal solution with non-integral values for
the y (binary) variables.
Fig. 5.5 Partial B&B tree

R
yk yk
R R
In case 1, the branch is fathomed (is not developed any further) as imposing
any additional constraints will not alter the infeasibility. In case 2, the branch is
also fathomed as imposing additional constraints will only worsen the objec-
tive function (and therefore the optimal solution corresponding to this branch
has already been found).
We use integer solutions (case 2 above) to generate upper bounds on the
objective function. The currently available best integer solution is called the
incumbent and is denoted by f *:
f ¼ incumbent
¼ value of the objective function at the best feasibleðbinaryÞ
solution that has been found so far
In the case we discover a new feasible solution with all yi obtaining binary
values, we compare the value of the objective function with the incumbent and
update the incumbent if an improved integer solution (with lower objective
function) has been discovered.
In case 3 we only update the lower bound for the descendants of this
subproblem, and we then generate a new branch by selecting a new branching
variable. It is interesting to note that subsequent “generations” created by the
branching of a particular subproblem must always have a larger value for the
solution of the relaxed problems as they are produced by adding new con-
straints on the binary variables (increasing lower bound on a branch of
the tree).
The procedure continues by selecting any active (not dismissed or
fathomed) node and solving the relaxed problem. We continue doing this
until we have fathomed all nodes and the incumbent corresponds to the
optimal solution. If no incumbent has been found, then the initial problem is
infeasible. We summarize the fathoming criteria:
1. The relaxed problem is infeasible.
2. The relaxed problem has a binary solution (for the y variables).
3. The relaxed problem does not have an integer solution, but the objective
function is greater than the currently available upper bound (incumbent).
We will now solve an extended case study to clarify the implementation details
of the B&B methodology.
We consider the Knapsack problem studied in Example 5.1:
min - 55y1 - 40y2 - 30y3 - 20y4

y1 ,y2 ,y3 ,y4
s:t: ð5:77Þ
35y1 þ 25y2 þ 20y3 þ 15y4 ≤ 70
yi = 0 or 1, i = 1,2,3,4
to demonstrate the application of the LP-based B&B methodology. We start by

relaxing the requirement that yi2{0,1}, i = 1, 2, 3, 4 with the requirement that
yi2[0,1], i = 1, 2, 3, 4 and solve the resulting LP problem. This can be done in
MATLAB® as follows:
>> clear all

>> c=[-55 -40 -30 -20];
>> A=[ 35 25 20 15];
>> b=70;
>> LB=zeros(4,1);
>> UB=ones(4,1);
>> [y,f,flag]=linprog(c,A,b,[],[],LB,UB)
y = 1.0000
1.0000
0.5000
0
f = -110
flag = 1
We note that the solution y = [1 1 0.5 0]T is not integral and that the
objective function is f 0 = -110. This is a lower bound on the objective function
(i.e., the optimal solution of (5.77) cannot be better/lower than -110). We
branch on the only non-integral variable which is y3. We create two nodes:
node R1 with y3 = 1 and node R2 with y3 = 0. This is also shown in Fig. 5.6. We
solve the relaxed problems in these two nodes to obtain the following results:
Node R1: y = [0.7143 1 1 0]T which is not integral with objective function
f 1 = -109.3.
Node R2: y = [1 1 0 0.6667]T which is not integral with objective function
f 2 = -108.3.
y y
R R
y y
y y
R R R R
y y y y
-105
R R R R
OPTIMAL y y
R
R
Fig. 5.6 B&B tree for the Knapsack problem of Example 5.1
This can be achieved in MATLAB, for the case of R1, as follows:
>> Aeq=[0 0 1 0];

>> beq=1;
>> [y,f,flag]=linprog(c,A,b,Aeq,beq,LB,UB)
y = 0.7143
1.0000
(continued)
1.0000
0
f = -109.2857
flag = 1
The solutions of the relaxed problems R1 and R2 are also shown in Fig. 5.6.
Both solutions are non-integral and we continue.
We decide to develop further node R1 by creating two additional nodes:
node R3 with y1 = 1 and node R4 with y1 = 0. Node R3 has a non-integral
solution, but node R4 offers the first binary solution y = [0 1 1 1]T and the
objective function is f 4 = -90 (see Fig. 5.6). We have therefore an upper bound
for the optimal solution f = - 90 (incumbent).
We continue by examining nodes R5 and R6 which are obtained by assigning
binary values to y2 (the only nonintegral variable in the solution of the relaxed
problem at node R3). R5 is infeasible, and R6 gives an improved integer solution
and an improved upper bound f = - 105 (incumbent). Nodes R4 and R6 are
fathomed: node R6 has an integer solution, and node R5 is infeasible. Only node
R2 remains to be explored further, and we continue as shown in Fig. 5.6. The
reader is encouraged to repeat the steps using MATLAB. When all nodes have
been fathomed, we conclude that the best integer solution corresponds to node
R 6.
We summarize the steps taken at every iteration of the LP-based B&B
methodology when applied to mixed integer (binary) linear programming
(MILP) problems:
1. Select one subproblem (node) from the remaining ones (the most
recently created or the most promising) and among the binary vari-
ables that have a non-integral value in the solution (the first in the
natural ordering or the closest to be either 0 or 1). This is the
branching variable, and use it to create two new subproblems: the
one corresponds to the value of zero and the other to the value of one
for the branching variable.
2. Solve the LP relaxation of the two new subproblems, and obtain the
value of the objective function.
3. Apply the fathoming tests: the node is fathomed if:
(a) The LP relaxation is infeasible.
(b) The LP relaxation has binary solution (for the y variables).
(c) The LP relaxation has an optimal value that is worse (larger) than
the incumbent.
In case b above, if the objective function is better (smaller) than the
incumbent, then update the incumbent before checking case c.
(continued)
4. If no remaining nodes/subproblems exist, then the algorithm has

terminated, and the incumbent is the solution. If there is no incum-
bent, then the problem is infeasible.
As we have already discussed, the algorithm is initialized by setting the

upper bound to +1, the lower bound to -1, and solving the LP relaxation of
the initial problem. The solution then offers an improved lower bound (unless
it is infeasible or has an integer solution in which cases, the algorithm termi-
nates). The solution of the relaxed problems at subsequent nodes can generate
an improved incumbent or global upper bound (in the case that an improved
integer solution is obtained) or an improved lower bound (in the case a feasible
but non-integral solution is obtained) for the descendants of the particular
node. When this lower bound becomes at any node greater than the current
incumbent, then this node is fathomed as no improved upper bound can be
obtained from this node. The importance of discovering a “good” incumbent is
therefore extremely important in speeding up the B&B algorithm.
We will now consider an additional example and apply the LP-based B&B
methodology. We will consider the MILP formulation of the paint production or
single-machine scheduling problem presented in Example 5.6. The complete
mathematical formulation is the following (see (5.68)):
min wW τW þ wR τR þ wB τB
yi,j ,st i ,τi
s:t: ð5:78Þ
st W - τW ≤ dt W - pt W
st R - τR ≤ dt R - pt R
st B - τB ≤ dt B - pt B
st W - st R þ MyW,R ≤ M þ pt W
st W - st B þ MyW,B ≤ M þ pt W
st R - st B þ MyR,B ≤ M þ pt R
st R - st W þ MyW,R ≤ - pt R
st B - st W þ MyW,B ≤ - pt B
st B - st R þ MyR,B ≤ - pt B
st W ,st R ,st B ,τW ,τR ,τB ≥ 0
yW,R ,yW,B ,yR,B 2 f0, 1g
The optimization variables are the starting times (stW, stR, and stB), the delay
time (τW, τR, τΒ), and the binary variables that denote the ordering of the
production sequence (yW,R, yW,B, yR,B). The due times dti, the processing times
pti, and the penalties for delayed delivery are all given in Table 5.3. To facilitate
the solution in MATLAB, we write the inequality constraints in matrix form:
2 3 2 3 2 3
1 0 0 -1 0 0 0 0 0 st W dt W - pt W
6 7 6 7 6 7
6
6 0 1 0 0 -1 0 0 0 0 7 6 7 6
7 6 st R 7 6 dt R - pt R 7
7
6 7 6 7 6 7
6
6 0 0 1 0 0 -1 0 0 0 7 6 7 6
7 6 st B 7 6 dt B - pt B 7
7
6 7 6 7 6 7
6
6 1 -1 0 0 0 0 M 0 0 7 6
7 6 τW 7 6
7 6 M þ pt W 7 7
6 7 6 7 6 7
6
6 1 0 -1 0 0 0 0 M 0 7 6 7 6
7 6 τR 7 ≤ 6 M þ pt W 7 7
6 7 6 7 6 7
6
6 0 1 -1 0 0 0 0 0 M 7 6
7 6 τB 7 6
7 6 M þ pt R 7 7
6 7 6 7 6 7
6
6 -1 1 0 0 0 0 -M 0 0 7 6 7 6
7 6 yW,R 7 6 - pt R 7 7
6 7 6 7 6 7
6
4 -1 0 1 0 0 0 0 -M 0 7 6 7 6
5 4 yW,B 5 4 - pt R 7 5
0 -1 1 0 0 0 0 0 -M yR,B - pt B
ð5:79Þ
Using the data on Table 5.3 and the compact Formulation (5.79), we can
solve the LP relaxation of the overall formulation in MATLAB as shown below
(script file):
clear all
% W R B
pt=[12 48 36];
dt=[60 52 84];
w =[15 10 30];
c=[zeros(3,1);w';zeros(3,1)];
M=100;
A=[1 0 0 -1 0 0 0 0 0;
0 1 0 0 -1 0 0 0 0;
0 0 1 0 0 -1 0 0 0;
1 -1 0 0 0 0 M 0 0;
1 0 -1 0 0 0 0 M 0;
0 1 -1 0 0 0 0 0 M;
-1 1 0 0 0 0 -M 0 0;
-1 0 1 0 0 0 0 -M 0;
0 -1 1 0 0 0 0 0 -M];
b=[dt(1)-pt(1);
dt(2)-pt(2);
dt(3)-pt(3);
M-pt(1);
M-pt(1);
M-pt(2);
-pt(2);
-pt(3);
-pt(3)];
(continued)
LB=zeros(9,1);
UB=[M; M; M; M; M; M; 1; 1; 1];
[x,f,flag]=linprog(c,A,b,[],[],LB,UB)
>> introBnB3
Optimization terminated.
x = 21.2886
1.5376
18.5970
0.0000
0.0000
0.0000
0.4856
0.5894
0.6091
f = 1.5010e-11
flag = 1
Note that the solution of the initial LP relaxation gives a zero lower bound
for the objective function, and the binary variables obtain non-integer values.
At the initial node, we select the first binary variable yW,R as the branching
variable and create two new nodes R1 (yW,R = 1) and R2 (yW,R = 0). We then
proceed and solve the LP-relaxed subproblems. The results are shown in
Fig. 5.7. The results at node R1 can be used to obtain the improved lower
bound of 80. No node can be fathomed, and we repeat. We select node R1 and
yW,B as the branching variable and generate nodes R3 and R4 as shown in
Fig. 5.7. R3 and R4 give non-integer solutions, and we select R3 and yR,B as the
branching variable and generate nodes R5 and R6 which both have integer
solutions with equal objective functions. The common value of the objective
function becomes the first incumbent which is equal to 440. Using this incum-
bent, R4 can be fathomed, and R2 remains the only available node. We continue
to finally discover that the optimal solution corresponds to node R9 and the
optimal solution is identical to the one shown in Fig. 5.4. Note that B&B has not
been very efficient in this case study as we had to examine 13 nodes out of the
potential 15 nodes before we can guarantee optimality.
R
y
y
f f
R R
y
y y y
f f
f f
R R R R
y y
y y y
y
f f f f f
R R R R R R
OPTIMAL
Fig. 5.7 B&B tree for the single-machine scheduling problem of Example 5.6
5.4 Solving MILP Problems in MATLAB®
The MILP solver available in MATLAB® is intlinprog and solves the prob-
lem given by (5.69). Its general structure is the following:
5.4 Solving MILP Problems in MATLAB® 249
Note that intlinprog solves the more general mixed integer linear pro-
gramming where the integers can obtain any integer value and not just binary
variables. In this book, we restrict attention to binary variables. Note however
that any integer Y can be expressed as a function of binary variables yi:
Y = 20 y1 þ 21 y2 þ ⋯ þ 2k - 1 yk þ ⋯ þ 2N - 1 yN ð5:80Þ
Note that for N = 10, we may express all integers up to Y = 1023 as a function
of ten binary variables (note that N = the smaller integer larger than log2(Y ),
log2(1023) = 9.9986, and N = 10, for instance).
We can now solve the Knapsack problem in MATLAB as follows:
>> clear all

>> c=[-55 -40 -30 -20];
>> A=[ 35 25 20 15];
>> b=70;
>> LB=zeros(4,1);
>> UB=ones(4,1);
>> INTEGERS=[1 2 3 4];

>> [x,f,flag]=intlinprog(c,INTEGERS,A,b,[],[],LB,UB)
Intlinprog stopped at the root node because the objective value is

within a gap tolerance of the optimal value,
options.AbsoluteGapTolerance = 0 (the default value).
The intcon variables are integer within tolerance,
options.IntegerTolerance = 1e-05 (the default value).
x = 1.0000
0
1.0000
1.0000
f = -105.0000
flag = 1
This agrees well with the solution that it was found by our “manual”
application of the B&B methodology summarized in Fig. 5.6.
We will now also solve the single-machine scheduling problem in MATLAB:
clear all
% W R B
pt=[12 48 36];
dt=[60 52 84];
w =[15 10 30];
c=[zeros(3,1);w';zeros(3,1)];
M=100;
A=[1 0 0 -1 0 0 0 0 0;
0 1 0 0 -1 0 0 0 0;
0 0 1 0 0 -1 0 0 0;
1 -1 0 0 0 0 M 0 0;
1 0 -1 0 0 0 0 M 0;
0 1 -1 0 0 0 0 0 M;
-1 1 0 0 0 0 -M 0 0;
-1 0 1 0 0 0 0 -M 0;
0 -1 1 0 0 0 0 0 -M];
b=[dt(1)-pt(1);
dt(2)-pt(2);
dt(3)-pt(3);
M-pt(1);
M-pt(1);
M-pt(2);
-pt(2);
-pt(3);
-pt(3)];
LB=zeros(9,1);
UB=[M; M; M; M; M; M; 1; 1; 1];
INTEGERS=[7 8 9]
[x,f,flag,output]=intlinprog(c,INTEGERS,A,b,[],[],LB,UB)
Branch and Bound:
nodes total num int integer relative

explored time (s) solution fval gap (%)
5 0.01 3 3.600000e+02 7.756233e+01
11 0.01 3 3.600000e+02 0.000000e+00
Intlinprog stopped because the objective value is within a gap

tolerance of the optimal value, options.AbsoluteGapTolerance =
0 (the default value).
The intcon variables are integer within tolerance,
options.IntegerTolerance = 1e-05 (the default value).
(continued)
5.5 Solving MINLP Problems Using the B&B and Outer Approximation 251
x = 48.0000
0
60.0000
0
0
12.0000
0
1.0000
1.0000
f = 360.0000
flag = 1
This solution agrees well with the solution obtained by “manual” application
of the B&B methodology and summarized in Fig. 5.7, as expected.
5.5 Solving MINLP Problems Using the B&B and Outer

Approximation
When the objective function or the constraints of an optimization problem that

involves integer (binary) variables are nonlinear, then we obtain the more
general class of optimization problems studied in this book. These problems
are called mixed integer nonlinear programming (MINLP) problems, and their
general structure is the following:
min f ðx, yÞ
x,y
s:t: ð5:81Þ
hðx, yÞ = 0
gðx, yÞ ≤ 0
x 2 X ⊆ Rn , y 2 f0, 1gm
MILP problems is a special case of MINLP problems where the objective

function, equality, and inequality constraints are linear in both the continuous
variables x and binary variables y. When specific values yk are assigned to the
complicating binary variables, then the MINLP problem (5.81) is simplified to
an NLP problem (it is reminded that MILP problems simplify to LP problems
for fixed yk). The solution of the resulting NLP is always an upper bound to the
optimal solution of the MINLP problem (5.81). In the same way, a relaxation
can be defined by relaxing the constraints yi2{0,1} to yi2[0,1], and as is the case
for the MILP problems, the relaxation offers a lower bound to the solution of
(5.81). With these observations in mind, we can extend the B&B algorithm that
has been presented for MILP problems directly to MINLP problems. However,
in the case of MILP problems, we have the distinct advantage that for the
LP-based relaxations, we can always find the global minimum as they are
convex problems. This is, unfortunately, not the case of the general relaxed
MINLP (or RMINLP) problems as convexity is scarce in realistic problems. To
guarantee convergence, we need to ensure that we can locate, in each iteration
of the B&B algorithm, the global minimum of the relaxed problem. In most
cases, we are satisfied by using a local NLP solver and finally discover a near-
optimal solution or simply a good solution.
An algorithm that has been quite successful in solving MINLP problems is
the outer approximation algorithm. It is reminded that for a convex function
f(x), the tangent line approximation at each point has the following property:

f ðxÞ ≥ f xk þ ∇f T xk x - xk ð5:82Þ
i.e., the linear approximation of the objective function is always an underesti-

mation of the objective function. Consider now the special form of an inequality
constrained MINLP problem which is linear and separable in the binary
variables:
min f ðxÞ þ cT y
x,y
s:t: ð5:83Þ
gðxÞ þ By ≤ 0
x 2 X ⊆ Rn , y 2 f0, 1gm
We also assume that the feasible space defined by the inequality constrains is
convex. Then, as shown in Fig. 5.8 for the case of a convex feasible region
defined by three inequalities, there are finite points xi, i2F such that:

g xi þ ∇gT xi x - xi ≤ 0, i 2 F ð5:84Þ
defines an overestimation of the initial convex feasible region. Putting these

two ideas together, we can propose that the solution of the following problem:
min μ þ cT y
x,y,μ
s:t: ) ð5:85Þ
f ðx Þ þ ∇f ðx Þ ðx - xi Þ ≤ μ
i T i
, 8i 2 F
gðxi Þ þ ∇gT ðxi Þ ðx - xi Þ þ By ≤ 0
x 2 X ⊆ Rn , y 2 f0, 1gm
x x
x
x
x
x
Fig. 5.8 The outer approximation of a convex region overestimates the feasible region
offers a lower bound on the optimal solution of problem (5.83). Note that
(5.85) is a MILP problem that can be solved to global optimality. The outer
approximation (5.85) involves an overestimation of the feasible region and an
underestimation of the objective function, and its solution is, therefore, a lower
bound to (or better than) the solution of the initial MINLP problem (5.83).
Furthermore, the solution of (5.85) at iteration k offers a new set of values for
the binary variables yk, and the resulting NLP problem:
min f ðxÞ þ cT yk
x
s:t: ð5:86Þ
gðxÞ þ By ≤ 0 k
x 2 X ⊆ Rn , y 2 f0, 1gm
offers an upper bound on the solution of the initial MINLP (5.83). This is the
basic idea on which the outer approximation methodology has been developed.
To avoid reexamining a specific combination of values for the binary variables,
we add the following integer cut constraints to Formulation (5.85):
X X
y
i2Bk i
- y
i2N k i
≤ Bk - 1 ð5:87Þ
where Bk consists of all i for which yki = 1, Nk consists of all i for which yki = 0,
and |S| denotes the cardinality (number of elements) of S.
Fig. 5.9 System

S S S
consisting of N systems (a)
in series and (b) in parallel
R RR R
a
R – –R –R –R
Example 5.7 MINLP Model for the Reliability Optimization of a Series-Parallel

System and Solution Using B&B
Reliability of a system is defined as the probability that the system will
perform its operation (not fail) throughout a prescribed operating period.
Systems are connected in several complex configurations, and special tech-
niques are required to determine their reliability. The simplest configurations
are the series and parallel configurations:
• Series (see Fig. 5.9a): system performs satisfactorily if all components are
fully functional.
• Parallel (see Fig. 5.9b): system performs its operation if any one component
remains operational.
A critical computer-controlled system (CCS) in a process consists of three
systems in series (a sensor, a computer, and a pump), and each system can be
composed by up to three identical systems in parallel (see Fig. 5.10). The
sensor (S), the computer (C), and the pump (P) have different reliability
characteristics and different costs. Our aim is to select:
• How many identical sensors to install
• How many identical computer systems to install
• How many identical pumps to install
to achieve a minimum acceptable reliability of the overall system. If wi, i = {S, C,
P} is the cost of installed equipment and Ri is the reliability of each type of
individual equipment, then the optimization problem is:
R – –R R – –R R – –R
S S S
S S S
S S S
R R R R
Fig. 5.10 Analysis of the computer control system under study
min
nS ,nC ,nP
wS nS þ wC nC þ wP nP
s:t: ð5:88Þ
nS nC nP
½1 - ð1 - RS Þ ½1 - ð1 - RC Þ ½1 - ð1 - RP Þ ≥ RCCS, min
nS ,nC ,nP 2 f1, 2, 3g
where RCCS,min is the minimum acceptable reliability of the overall system and
nS, nC, and nP are the number of sensors, computers, and pumps, respectively.
This can be transformed to a MINLP with binary-only variables where the
binary variables appear linearly:
min w S xS þ w C x C þ wP xP
xS ,xC ,xP
y0,S ,y0,C ,y0,P ,y1,S ,y1,C ,y1,P
s:t: ð5:89Þ

RCCS, min - 1 - QxSS 1 - QxCC ½1 - QxPP ≤ 0
xS = 20 y0,S þ 21 y1,S
xC = 20 y0,C þ 21 y1,C
xP = 20 y0,P þ 21 y1,P
y0,S þ y1,S ≥ 1
y0,C þ y1,C ≥ 1
y0,P þ y1,P ≥ 1
xS ,xC ,xP 2 ½1, 3
y0,S ,y0,C ,y0,P ,y1,S ,y1,C ,y1,P 2 f0, 1g
where we have introduced the unavailability Qi = 1–Ri.

We will consider the case where wS = 8, wC = 6, and wP = 10 (all in

appropriate scaled monetary units per unit) and RS = 0.9, RC = 0.8, and
RP = 0.7 with minimum acceptable overall reliability RCCS,min = 0.65. To
solve the problem using B&B, we first build the following m-files for the
objective function and the nonlinear inequality constraint:
function f=ObjFun(x)
f=8*x(1)+6*x(2)+10*x(3);
function [g,h]=NonLin(x)
h=[];
g=0.65-(1-0.1^x(1))*(1-0.2^x(2))*(1-0.3^x(3));
We then solve the relaxed problem using the following script:
clear all
%X =[ xS xC xP y0S y1S y0C y1C yOP y1P]
x0 =[ 3 3 3 1 1 1 1 1 1];
LB =[ 1 1 1 0 0 0 0 0 0];
UB =[ 3 3 3 1 1 1 1 1 1];
A =[ 0 0 0 -1 -1 0 0 0 0;
0 0 0 0 0 -1 -1 0 0;
0 0 0 0 0 0 0 -1 -1];
b =-ones(3,1);
Aeq=[ 1 0 0 -1 -2 0 0 0 0;
0 1 0 0 0 -1 -2 0 0;
0 0 1 0 0 0 0 -1 -2];
beq=[0;0;0];
[xopt,fopt,flag]=fmincon(@ObjFun,x0,A,b,Aeq,beq,LB,UB,
@NonLin)
>> reliabilityOptimMINLP
xopt = 1.0220 1.4226 1.3337 0.9875 0.0172 0.8128 0.3049

0.8247 0.2545
fopt = 30.0483
flag = 1
The value obtained by the binary variables is shown in Fig. 5.11. We note
that the objective function of R0 node is a lower bound on the objective
function. As the first binary variable (in the ordering used) is closest to be
integer, we branch on y0,S to obtain nodes R1 (y0,S = 0) and R2 (y0,S = 1). The
solutions of the relaxed problem at the two nodes do not give a binary solution,
and we continue by branching first on y0,C and then on y0,P. The first integer
solution is obtained at node R5 with an objective function of 35 (incumbent).
We continue to develop the B&B tree which is shown in Fig. 5.11. Nodes R1, R8,
R9, and R10 are fathomed for the following reasons:
R 1: the objective function of the relaxed problem is greater than the
incumbent.
R 8: the objective function of the relaxed problem is greater than the
incumbent.
R 9: the relaxed problem is infeasible.
R10: the relaxed problem has a binary solution.
Expanding node R3 is left as an exercise to the reader (to show that no
improved integer solution can be obtained).
The optimal solution corresponds the solution at node R5 and is shown in
Fig. 5.12. It involves the use of one sensor, one controller, and two pumps with
an overall cost of 34 monetary units and an overall reliability that is slightly
greater than the minimum acceptable overall reliability.
Example 5.8 A Numerical MINLP Example and Solution Using B&B
We will consider the following numerical example of an MINLP problem:

min x21 þ x22 þ ðy1 þ 1:5y2 þ 0:5y3 Þ
y1 ,y2 ,y3 ,x1 ,x2
s:t:
ðx 1 - 2 Þ 2 - x 2 ≤ 0
- x1 þ 2y1 ≤ 0
x1 - x2 - 4ð1 - y2 Þ ≤ 0
- x 1 þ ð1 - y 1 Þ ≤ 0
- x2 þ y2 ≤ 0
- x1 - x2 þ 3y3 ≤ 0
- y1 - y2 - y3 þ 1 ≤ 0
0 ≤ x1 ≤ 4
0 ≤ x2 ≤ 4
y1 ,y2 ,y3 2 f0, 1g
f R
y
y
f
R f R
y
y
f R f R
y
y
f=34
R f R
binary
1
0 y
1
y
0
0 f
1
f R
R
y y
infeasible f R
R
binary
Fig. 5.11 B&B tree for the reliability-optimization problem of Example 5.7
R – – R – – R – –
S S S
S S S
S S S
R R R R – –
Fig. 5.12 Solution of the reliability optimization problem
To demonstrate how we can solve this numerical example efficiently in

MATLAB, we note that the problem at hand can be written as follows:
min f ðx Þ þ c T y
y1 ,y2 ,y3 ,x1 ,x2
s:t:
gðxÞ ≤ 0
Ax þ By ≤ d
0 ≤ x1 ≤ 4
0 ≤ x2 ≤ 4
y1 ,y2 ,y3 2 f0, 1g
where f ðxÞ = x21 þ x22 , g(x) = (x1 - 2)2 - x2, and:

2 3 2 3 2 3
-1 0 þ2 0 0 0
2 3 6 þ1 -17 6 þ4 7 6 þ4 7
6 7 6 0 0 7 6 7
1 6 7 6 7 6 7
6 7 6 -1 0 7 6 -1 0 0 7 6 -17
c = 4 1:5 5, A = 6
6 0
7, B = 6
7 6
7, d = 6 7
6 -17 6 0 þ1 0 7
7
6 0 7
6 7
0:5 6 7 6 7 6 7
4 -1 -15 4 0 0 þ3 5 4 0 5
0 0 -1 -1 -1 -1
We start the B&B solution methodology by first building the following

MATLAB files:
function obj=minlp_obj(X)
y=X(1:3); % binary variables
x=X(4:5); % continuous variables
obj = (x(1)^2+x(2)^2) + [1; 1.5; 0.5]'*y;
end
function [g,h]=minlp_constr(X)
y=X(1:3); % binary variables
x=X(4:5); % continuous variables
h=[]; g =(x(1)-2)^2-x(2);
end
We then solve the relaxed problem using the following script:
>> runNumericalMINLP
(continued)
Norm of First-order
Iter F-count f(x) Feasibility Steplength step optimality
0 6 2.500000e+00 2.000e+00 2.000e+00
1 12 2.686736e+00 1.132e-04 1.000e+00 1.265e+00 1.021e+00
2 18 2.494607e+00 3.453e-02 1.000e+00 4.284e-01 5.403e-01
3 24 2.531718e+00 4.995e-04 1.000e+00 7.831e-02 1.285e-02
4 30 2.532344e+00 1.192e-06 1.000e+00 1.741e-03 1.699e-03
5 36 2.532346e+00 5.142e-09 1.000e+00 1.440e-04 3.296e-05
6 42 2.532346e+00 1.030e-12 1.000e+00 2.031e-06 5.415e-08
xopt =
0.3767
0
0.6233
1.1539
0.7159
fopt = 2.5323
flag = 1
We therefore note that the solution of the relaxed problem is not an integer
solution and the value of the objective function (+2.5323) is a lower bound on
the optimal solution of the MINLP problem. We branch on the first binary
variable (y1) to obtain two nodes: node R1 (y1 = 0) and node R2 (y1 = 1). We
solve the new relaxed problems:
>> Aeq=[1 0 0 0 0]; beq=1; % node R2

>> [xopt,fopt,flag]=fmincon(@minlp_obj,x0,[B A],d,Aeq,beq,lb,
ub, @minlp_constr,options)
Norm of First-order
0 6 2.500000e+00 2.000e+00 2.000e+00
1 12 5.250000e+00 0.000e+00 1.000e+00 1.118e+00 1.000e+00
2 18 5.000000e+00 0.000e+00 1.000e+00 5.000e-01 4.000e-01
3 24 5.000000e+00 0.000e+00 1.000e+00 0.000e+00 2.220e-16
xopt = 1
0
0
2
0
(continued)
fopt = 5
flag = 1
>> Aeq=[1 0 0 0 0]; beq=0; % node R1

Norm of First-order
0 6 2.500000e+00 2.000e+00 2.000e+00
1 12 2.833333e+00 0.000e+00 1.000e+00 1.491e+00 1.000e+00
2 18 2.697676e+00 1.995e-02 1.000e+00 3.228e-01 3.886e-01
3 24 2.720044e+00 1.968e-06 1.000e+00 1.973e-02 1.704e-02
4 30 2.720046e+00 1.291e-07 1.000e+00 7.252e-04 9.292e-04
5 36 2.720046e+00 8.461e-09 1.000e+00 1.852e-04 2.779e-07
xopt = 0
0.3740
0.6260
1.1424
0.7355
fopt = 2.7200
flag = 1
We note that the solution at node R1 does not give an integer solution (see
Fig. 5.13) but the solution at node R2 is integer, and this becomes the incum-
bent solution. Node R1 is the only active node and we branch on y2. The relaxed
problems at nodes R3 (y1 = y2 = 0) and R4 (y1 = 0, y2 = 1) have integer
solutions, and the algorithm terminates as there is no active node. Node R4
corresponds to the new incumbent and is also the optimal solution to the
MINLP problem. The complete enumeration tree is shown in Fig. 5.13. Note
that in this case study, all nodes are fathomed due to the fact that the relaxed
problems have integer solution.
>> Aeq=[1 0 0 0 0;0 1 0 0 0]; beq=[0;1]; % node R4

Norm of First-order
0 6 2.500000e+00 2.000e+00 2.000e+00
1 12 3.750000e+00 0.000e+00 1.000e+00 1.803e+00 1.000e+00
2 18 3.500000e+00 0.000e+00 1.000e+00 5.000e-01 4.615e-01
3 24 3.500000e+00 0.000e+00 1.000e+00 0.000e+00 0.000e+00
(continued)
0.3767
0.0000
0.6233
f R
y y
0 1
0.3740 0
0.6260 0
f R f R
binary
y y
0 0
0 1
f R 1 f R4 0
binary binary
Fig. 5.13 B&B tree for the numerical MINLP problem of Example 5.8
xopt =
0
1
0
1
1
fopt =
3.5000
flag =
>> Aeq=[1 0 0 0 0;0 1 0 0 0]; beq=[0;0]; % node R3

(continued)
Norm of First-order
0 6 2.500000e+00 2.000e+00 2.000e+00
1 12 5.500000e+00 0.000e+00 1.000e+00 2.236e+00 2.000e+00
2 18 5.031250e+00 0.000e+00 1.000e+00 8.839e-01 6.250e-01
3 24 5.000000e+00 0.000e+00 1.000e+00 1.768e-01 2.645e-08
xopt =
0
0
1.0000
1.5000
1.5000
fopt =
5.0000
flag =
Learning Summary
In this chapter, we studied an important class of optimization formulations that

include integer (mostly binary) variables in order to model decisions related to
the topology or structure of the system under study or to model “logical”
constraints. The models studied include the mixed integer linear programming
problems:
x,y
s:t:
Ax þ By = b
Cx þ Dy ≤ e
- x ≤ 0,y 2 f0, 1gn
and the mixed integer nonlinear programming models:

Problems 265
min f ðx, yÞ
x,y
s:t:
hðx, yÞ = 0
gðx, yÞ ≤ 0
x 2 X ⊆ Rn , y 2 f0, 1gm
A systematic and general methodology for solving optimization problems

involving integer variables is the branch and bound methodology. In this
chapter, we presented the application of the branch and bound methodology
to linear and nonlinear problems involving binary variables.
Terms and Concepts

Branch and bound (B&B) methodology
Branching variable
Fathoming of a node in the B&B tree
Incumbent solution
Knapsack problem
Magic square problem
Outer approximation
Relaxation
Reliability optimization
Scheduling (single machine) problem
Set covering problem
Su Doku problem
Unit commitment problem
Problems
5.1. Solve Example 5.2 using the B&B methodology. Validate your results
using MATLAB.
5.2. Use MATLAB and intlinprog to find all integer solutions in Example
5.2 that correspond to the same optimal value of the objective function.
5.3. Solve the problem presented in Example 5.4 for Orders 1, 2, and 3. Con-
sider the case where our aim is to minimize quantity adjustments.
5.4. You are considering the inclusion of a new product in the production line
of your company. The forecast for the demand of the new product for the
coming year is as follows (in t/month):
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
800 800 1600 1600 2400 2500 2600 2800 2200 1600 1200 600
There is an inventory of 1000 t available currently. The production of the

new product has a setup cost of 50 k$ and a unit production cost of
0.1 k$/t. The setup cost must be taken into consideration when produc-
tion is scheduled for a month but was not scheduled for the previous
month. The storage of any inventory costs 0.05 k$/t of product stored.
Find the cost optimal solution for producing the new product. Develop a
mathematical formulation, and solve the problem in MATLAB.
5.5. The traveling salesman problem (TSP) is among the most famous opti-
mization problems. A set of nodes (cities) is given and directed or
undirected arcs (roads) connecting the nodes. The constraints of the
problem are:
(a) Each city must be entered exactly once.
(b) Each city must be exited exactly once.
(c) No subtours (closed tours involving a subset of the nodes) are
allowed.
The objective is to minimize the distance traveled (or a related objec-
tive). Develop a model for the TSP using binary variables yij to denote
movement of the salesman between cities i and j (yij = 1) or not (yij = 0).
Apply your formulation to the problem summarized in Fig. P5.5 without
taking constraint c into consideration. Then use integer cuts to eliminate
solutions that do not satisfy constraint c until you obtain a feasible solution.
Fig. P5.5 Simple

traveling salesperson
problem
1 160
60
90 130
100
2 5
100
50 70
80
3 80 4
Problems 267
5.6. You need to produce a product with the following specifications:
Ingredient Minimum (%) Maximum (%)

A 3.0 3.5
B 0.3 0.5
C 1.4 1.7
D 2.7 3.0
The raw materials available are the following:
Cost
Raw material (Relative) %A %B %C %D Amount available
RM1 1.5 4.0 0.0 0.9 2.3 +1
RM2 3.5 0.0 10.0 4.5 15.0 +1
RM3 3.0 0.0 0.0 0.0 40.0 +1
RM4 5.0 0.0 0.0 60.0 18.0 +1
RM5 1.1 0.4 0.0 1.0 0.0 0.1 t
RM6 1.05 0.1 0.0 0.3 0.0 0.1 t
RM7 1.0 0.1 0.0 0.3 0.0 0.1 t
You have been asked to produce 1 t of product to minimize the quality

specifications at the minimum cost. Develop and solve an appropriate
mathematical programming formulation to solve the problem. Repeat the
problem when any three out of the four quality specifications need to be
satisfied (i.e., one can be violated).
5.7. There are seven major cities in a county, and you need to determine
where to locate an emergency service so as to ensure that there is at least
one emergency service within 20 minutes’ driving distance from each
major city. The driving distances between the cities are given in the table
that follows:
tdij (min) to
from City A City B City C City D City E City F City G
City A 0 15 25 30 40 22 29
City B 15 0 22 28 31 17 22
City C 25 22 0 16 33 24 27
City D 30 28 16 0 19 23 33
City E 40 31 33 19 0 16 21
City F 22 17 24 23 16 0 33
City G 29 22 27 33 21 33 0
Formulate an appropriate binary linear programming problem, and

find the solution using MATLAB.
5.8. This problem refers to Example 2 of the paper Kocis and Grossmann,
Industrial and Engineering Chemistry Research, 27, pp. 1407–1421, 1988.
Solve Example 2 of the paper using B&B, and compare your results with
the results reported in the paper. The mathematical description of the

problem is as follows:
min ðy1 þ 2y2 þ 3y3 - y4 Þ ð2y1 þ 5y2 þ 3y3 - 6y4 Þ

x1 ,x2 ,y1 ,y2 ,y3
s:t:
y1 þ 2y2 þ y3 þ 3y4 ≥ 4
y1 ,y2 ,y3 ,y4 2 f0, 1g
The global solution is y = [0 0 1 1]T, f = -6.

Repeat the same for the following problem (Example 3 from the same
publication):
min 2x1 þ 3x2 þ 1:5y1 þ 2y2 - 0:5y3

x1 ,x2 ,y1 ,y2 ,y3
s:t:
x21 þ y1 = 1:25
2 þ 1:5y2 = 3
x1:5
x1 þ y1 ≤ 1:6
1:333x2 þ y2 ≤ 3
- y1 - y2 þ y3 ≤ 0
x1 ,x2 ,x3 ≥ 0, y1 ,y2 ,y3 2 f0, 1g
The global solution is y = [0 1 1]T, x = [1.118 1.310]T, f = 7.667.

5.9. This problem refers to Example 1 of the paper Duran and Grossmann,
Mathematical Programming, 36, pp. 307–339, 1986. Solve Example 1 of
the paper using B&B, and compare your results with the results reported
in the paper. The mathematical description of the problem is as follows:
min 10 þ ð5y1 þ 6y2 þ 8y3 Þ þ ð10x1 - 7x3 Þ

x1 ,x2 ,y1 ,y2 ,y3
- 18 ln ð1 þ x2 Þ - 19:2 ln ð1 þ x1 - x2 Þ
s:t:
- 0:8 ln ð1 þ x2 Þ - 0:96 ln ð1 þ x1 - x2 Þ þ 0:8x3 ≤ 0
- 2 - ln ð1 þ x2 Þ - 1:2 ln ð1 þ x1 - x2 Þ þ x3 þ 2y3 ≤ 0
x2 - x1 ≤ 0
x2 - 2y1 ≤ 0
x1 - x2 - 2y2 ≤ 0
y1 þ y2 - 1 ≤ 0
y1 ,y2 ,y3 2 f0, 1g,0 ≤ x1 ,x2 ≤ 2,0 ≤ x3 ≤ 1
The global solution is y = [0 1 0]T, x = [1.301 0 1] f = -6.0098.

Problems 269
5.10. Solve Example 5.8:

min x21 þ x22 þ ðy1 þ 1:5y2 þ 0:5y3 Þ
y1 ,y2 ,y3 ,x1 ,x2
s:t:
ðx 1 - 2 Þ 2 - x 2 ≤ 0
- x1 þ 2y1 ≤ 0
x1 - x2 - 4ð1 - y2 Þ ≤ 0
- x 1 þ ð1 - y 1 Þ ≤ 0
- x2 þ y2 ≤ 0
- x1 - x2 þ 3y3 ≤ 0
- y1 - y2 - y3 þ 1 ≤ 0
0 ≤ x1 ≤ 4
0 ≤ x2 ≤ 4
y1 ,y2 ,y3 2 f0, 1g
with the outer approximation methodology (OA). It is reminded that the

problem can be stated as:
min μ þ cT y
y1 ,y2 ,y3 ,x1 ,x2,μΟΑ ΟΑ
s:t:
f ðxÞ ≤ μΟΑ
Ax þ By ≤ d
0 ≤ x1 ≤ 4
0 ≤ x2 ≤ 4
y1 ,y2 ,y3 2 f0, 1g
where f ðxÞ = x21 þ x22 , g(x) = (x1 - 2)2 - x2, and:
2 3 2 3 2 3
-1 0 þ2 0 0 0
2 3 6 -17 6 þ4 07 6 þ4 7
6 þ1 7 6 0 7 6 7
1 6 7 6 7 6 7
6 7 6 -1 07 6 -1 0 07 6 -17
c = 4 1:5 5, A = 6 7, B = 6 7, d = 6 7
6 0 -177 6 þ1 07 6 07
6 6 0 7 6 7
0:5 6 7 6 7 6 7
4 -1 -15 4 0 0 þ3 5 4 05
0 0 -1 -1 -1 -1
Fig. P5.10 Description of the batch process
5.11. This problem refers to Example 4 of the paper Kocis and Grossmann,
Industrial and Engineering Chemistry Research, 27, pp. 1407–1421, 1988.
Study the mathematical formulation (use also the paper by Grossmann &
Sargent from the same journal, 18, pp. 343–348, 1978 for further infor-
mation). Solve the case study presented below using B&B. Use MIPB1
formulation as it features a smaller number of binary variables. Show
clearly the development of the B&B tree (Fig. P5.10).
Data:
Products: product A and product B
Stages: stage 1: mixing, stage 2: reaction, stage 3: separation
Cost data:
Mixing vessels: C 1 = 250 V 0:6
1 , V in L, C in $
Reaction vessels: C 2 = 500 V 0:6:
2
Separatores: C 3 = 350 V 0:6
3
Problems 271
Processing time:
tij (h) Stage ( j)

Mixing Reaction Separation
Product (i) 1 2 3
A 8 20 4
B 10 12 3
Size factor (Volume per unit product – L/g):
Sij (h) Stage ( j)

Mixing Reaction Separation
Product (i) 1 2 3
A 2 3 4
B 4 6 3
Production capacity:
Product A: QA = 200,000 kg/y
Product B: QB = 150,000 kg/y
Time horizon: H = 6000 h/y

Other data: equipment volumes are restricted between 250 L and 2500 L
Up to 2 units per stage are allowed.
Mathematical formulation:
1 þ n2 500V 2 þ n3 350V 2
min n1 250V 0:6 0:6 0:6
yj ,V j ,M i ,CTi
s:t:
QA Q
CTA þ B CTB ≤ H
MA MB
S ij Mi ≤ V j ,8i,j
t ij ≤ nj CTi ,8i,j
nj = 1 þ yj ,8j
250 ≤ V j ≤ 2500
M Lj ≤ M j ≤ M Uj

t ij
max ≤ CTi ≤ max t ij
j 2 j
1 ≤ nj ≤ 2
yj 2 f0, 1g
where the optimization variables are as follows:

nj are the number of identical units for stage j.
yj is a binary variable denoting the existence of a second unit of
type j.
Vj is the volume in L of unit at stage j.
Mi is the mass of product i produced in one batch in g.
CTi is the cycle time for product i in h.
and the model parameters (constants):

Qi is the annual production of product i in g/y.
H is the operating time in h/y.
Sij are the size factors in L/g.
tij are the processing times in h.
Chapter 6
Solving Optimization Problems
in GAMS®
6.1 Introduction
In this chapter, the General Algebraic Modelling System or GAMS® will be

introduced. GAMS is a modeling environment for mathematical programming
and optimization purposes, which simplifies the model development process.
Arguably, the best way to introduce GAMS is through examples. We have
followed this approach with MATLAB®, and we will do the same for GAMS.
We will start with a notorious mathematical problem, the circle packing in a
square problem. We have presented a closely related example in Chap. 3 (Sect.
3.4). Circle packing in a square is a problem in applied mathematics, where the
aim is to pack n unit circles into the smallest possible square (with side length
L). The mathematical formulation is a nonlinear programming problem with
inequality only constraints:
min L
xi ,yi ,L
s:t: ð6:1Þ
2 2
xi - xj þ yi - yj ≥ ð2r Þ2 ,8i,j,j > i
)
r ≤ xi ≤ L - r
8i = 1,2, . . . :,n
r ≤ yi ≤ L - r
where (xi, yi) are the coordinates of the center of circle i, i 2 {1, 2, . . ., n}. r is the
radius of the circles and for unit circles r = 1.

AG 2022
274 6 Solving Optimization Problems in GAMS®
6.2 Elements of a GAMS® Model
Each GAMS model consists of the following main elements:

Sets: SETS are used to define the indices in the algebraic representations of
models.
For example, in the unit circle packing in a square problem, we have the
following set consisting of the circles considered and the index i:
i 2 f 1, 2, . . . , n g
or, in a more descriptive form:
i 2 f Circle1 , Circle2 , . . . , Circlen g
Data: The input data of each GAMS model can be SCALARS, PARAMETERS, or
TABLES. SCALARS are single-value quantities (constants), while PARAME-
TERS and TABLES are defined over the sets and constitute vector and
matrix quantities. In the unit circle packing in a square problem, we need
to define the circle radius r, π (=3.14159. . .), and two integers constants
Nmin and Nmax such that Nmin2 ≤ card(i) ≤ Nmax2 (card(A), where A is any
set, is the “number of elements” in the set, in the case of the unit circle
packing in a square problem card(i) = n).
Variables: The decision variables of the optimization model are defined as
VARIABLES in the GAMS modelling language. VARIABLES can obtain any
value (from -1 to +1), while we can also define POSITIVE VARIABLES
(from 0 to +1), NEGATIVE VARIABLES (from -1 to 0), BINARY VARI-
ABLES (0 or 1), and INTEGER VARIABLES (0, 1, 2,. . ., 100).
Equations: The equations describe the mathematical model. Equations can be
defined over the SETS and must be declared and defined in separate
statements. First comes the keyword, EQUATIONS in this case, followed
by the name, domain, and text of one or more groups of equations or
inequalities being declared. In the case of the unit circle packing in a square
problem, we have three inequalities, the first is defined for every i and j with
j > i, and the other two are defined for every i.
Model and Solve Statements: The model is defined as a set of equations which
contain an objective function. The solve statement asks GAMS to solve the
model.
Lines beginning with an asterisk (*) are ignored by GAMS as they are
comments. With this introduction in place, we present our first GAMS model
in Table 6.1. The model consists of six parts. In the first part, the set of circles is
defined:
6.2 Elements of a GAMS® Model 275
Table 6.1 GAMS model for the unit circle packing in a square problem
* SECTION 1: DEFINE SETS AND INDICES ........................

SET i define number of circles /Circle1*Circle5/;
ALIAS (i,j);
* SECTION 2: DEFINE SCALARS, PARAMETERS & TABLES ............

SCALAR pi /3.141592654/;
SCALAR r radius of circle i in m /1/;
SCALARS Nmax,Nmin;
Nmax = CEIL(SQRT(CARD(i)));
Nmin = FLOOR(SQRT(CARD(i)));
* SECTION 3: DEFINE VARIABLES ...............................

POSITIVE VARIABLES x(i),y(i);
VARIABLE L;
* SECTION 4: DEFINE EQUATIONS ...............................

EQUATIONS Ineq1,Ineq2,Ineq3;
Ineq1(i,j)$(ORD(i)<ORD(j)).. POWER(x(i)-x(j),2)+POWER(y(i)-
y(j),2) =G= (2*r)**2;
Ineq2(i).. x(i)+r =L= L;
Ineq3(i).. y(i)+r =L= L;
* SECTION 5: DEFINE BOUNDS AND INITIAL VALUES ...............

x.lo(i)=r; x.up(i)=2*r*Nmax-r; x.l(i)=r;
y.lo(i)=r; y.up(i)=2*r*Nmax-r; y.l(i)=r;
L.lo =2*r*Nmin; L.up =2*r*Nmax; L.l=L.up;
* SECTION 6: MODEL & SOLVE STATEMENTS .......................

MODEL CirclePackingInSquare /ALL/;
OPTION NLP=KNITRO;
SOLVE CirclePackingInSquare USING NLP MINIMIZING L;
SET i define number of circles /Circle1*Circle5/;

ALIAS (i,j);
Although GAMS is case insensitive (SET, Set, and set are the same for
GAMS), we will be using capital letters for reserved word in GAMS. First the
keyword SET is given followed immediately by the index i and the optional
comment “define number of circles”. You should note the typographical
differences between the GAMS format and the usual mathematical format for
listing the elements of a set. GAMS uses slashes “/ /” rather than curly braces “{
}” to delineate the set. A convenient feature to use when you are assigning
members to a set is the asterisk. It applies to cases when the elements follow a
sequence, i.e.:
/Circle1, Cyrcle2, Cyrcle3, Circle4, Circle5/
is equivalent to:
/Circle1*Circle5/
It is important to emphasize the presence of the semicolon at the end of the

first line. Without it, the GAMS compiler would attempt to interpret both lines
as parts of the same statement.
The second line uses the reserved word ALIAS which is used when it is
necessary to have more than one name for the same set. In this way, the index j
is just another name (or an alias) for the index i. After the use of the command
ALIAS(i,j), i and j are completely equivalent (undisguisable).
In the second part of the GAMS program, we declare and assign values to
SCALARS or matrix parameters. In the particular program, only scalar quan-
tities are defined in the way shown. The reserved word SCALAR is given first,
followed by the declaration of the scalar, optional comments, and the number
that is assigned to be the value of the scalar quantity in slashes “/ /”:
SCALAR pi /3.141592654/;
SCALAR r radius of circle i in m /1/;
SCALARS Nmax,Nmin;
Table 6.2 Most commonly abs(x) Absolute value of x, |x|

encountered GAMS function
ceil(x) Ceiling of x, smallest integer ≥x
cos(x) cos of x, x in radians
exp(x) Exponential of x, ex
floor(x) Floor of x, larger integer ≤x
log(x) Natural logarithm, logex
log10(x) Common logarithm, log10x
max(x,y,z,. . .) Maximum value among arguments
min(x,y,z,. . .) Minimum value among arguments
power(x,n) Integer power of x, xn
sin(x) sin of x, x in radians
pffiffiffi
sqrt(x) Square root of x, x
We can avoid using the SCALAR keyword multiple times in the way shown
below:
SCALARS pi /3.141592654/,
r radius of circle i in m /1/,
Nmax,Nmin;
CEIL, SQRT, and FLOOR are functions in GAMS. The most used functions
in GAMS are summarized in Table 6.2. CARD is used to determine the number
of elements in a set. In the particular case where i 2 {Circle1, Circle2, . . .,
Circle5}, CARD(i) = 5 (i.e., the set has five elements).
In the third part of the program, we declare the variables appearing in the
model. The unit circle packing in a square problem has as variables the x-y
coordinates of the center of each circle (xi, yi) which are always positive vari-
ables (POSITIVE VARIABLES that obtain values between 0 and +1). The
other variable appearing in the model is the length of the side of the square,
but, as this is also our objective function, we are forced to define L as an
unrestricted variable (VARIABLE which obtains values from -1 to +1):
POSITIVE VARIABLES x(i),y(i);

VARIABLE L;
The fourth part is arguably the most important as it is the part where we
define the set of equality and inequality constraints of the mathematical model.
It starts with the keyword EQUATIONS followed by a list of equation names
separated by commas. The names can be descriptive or arbitrary but always
start with a letter and can only contain up to 63 alphanumeric characters. The
equation name can be followed by optional text to describe the equation. The
declaration of the equations is followed by their definition:
EQUATIONS Ineq1,Ineq2,Ineq3;
Ineq1(i,j)$ (ORD(i)<ORD(j))..
POWER(x(i)-x(j),2) + POWER(y(i)-y(j),2) =G= (2*r)**2;
Ineq2(i).. x(i)+r =L= L;
Ineq3(i).. y(i)+r =L= L;
In the definition of any equation, the name of the equation is stated first
followed by the domain of its definition. Ineq1, for instance, is defined for all
pairs of i and j for which j > i. To achieve that, we first declare, immediately
after the name, the domain of its definition, i.e., (i,j). To enforce the condi-
tion j > i, we use the dollar operator $ which is a logical operator. The ORD
operator is used to determine the order of an element in a set (relative position
of a member of a set). Apparently if i precedes j, then ord(i) < ord(j), and the
condition $(ORD(i) < ORD(j)) is true. In this way, when five circles are
considered, only the pairs 1–2, 1–3, 1–4, 1–5, 2–3, 2–4, 2–5, 3–4, 3–5, and 4–5
are used when equations are generated. Ineq2 and Ineq3 are both defined
for each element of the set i. Note the two dots “..” that are always used
between the name and domain definition and the start of the algebra. Finally,
equations are defined using common mathematical operations, variables, and
parameters and consist of the left-hand-side expression (lhs_expression)
and the right-hand-side expression (rhs_expression):
8 9
< =E=
> >
=
lhs expression = G = rhs expression
>
: >
;
=L=
where = E = denotes that the lhs_expression must be equal to

rhs_expression (equality constraint), =G = denotes that the
lhs_expression must be greater or equal to the rhs_expression,
and = L = that the lhs_expression must be less or equal to the
rhs_expression (inequality constraints).
The lines that follow:
x.lo(i)=r; x.up(i)=2*r*Nmax-r; x.l(i)=r;

y.lo(i)=r; y.up(i)=2*r*Nmax-r; y.l(i)=r;
L.lo =2*r*Nmin; L.up =2*r*Nmax; L.l=L.up;
are used to define lower bounds (*.lo), upper bounds (*.up), and initial
values (*.l) for all variables appearing in the model. This part is optional but
greatly improves our chances of finding a solution to our problem and is highly
recommended.
Up to this point, we have defined the set and indices, the parameters, and the
constants of the model and the equations. What remains to be done is to define
the equations that form our mathematical model and then solve the problem.
The MODEL statement is used to collect equations into a group and to label
them so that they can be solved. The simplest form of the model statement uses
the keyword ALL, i.e., the model consists of all equations that have been
declared:
MODEL CirclePackingInSquare /ALL/;
The model name “CirclePackingInSquare” in our case can be any valid

name (must start with a letter followed by more letters or digits; it can only
contain up to 63 alphanumeric characters). Instead of using the keyword ALL,
we could have used the names of all equations that we wish to include in the
model in slashes “/ /”:
MODEL CirclePackingInSquare /Ineq1, Ineq2, Ineq3/;
What remains to be done is to select a specific solver:
OPTION NLP=KNITRO;
and, finally, solve the model using the SOLVE . . . USING . . . MINIMIZING/
MAXIMIZING reserved words:
SOLVE CirclePackingInSquare USING NLP MINIMIZING L;
The remaining elements of this last line are self-evident. The specific prob-
lem is a nonlinear programming problem or NLP. Other types of problems are:
LP Linear programming (proposed solver CPLEX)
MIP Mixed integer linear programming (proposed solver CPLEX)
MINLP Mixed integer nonlinear programming (proposed solvers DICOPT,
SBB, BARON)
The variable that is optimized, as we have already mentioned, must always
be an unrestricted variable.
At this point, we have completed building our first model in GAMS, and we
may press F9 or the run GAMS button in the GAMS environment (see Fig. 6.1)
to solve the problem. GAMS activates a new window that supplies information
about the progress in completing the task, and when finished it generates a
Fig. 6.1 GAMS programming environment after solving the unit circle packing in a square
problem
Fig. 6.2 GAMS output for the solution of the unit circle packing in a square problem: (a)
solution report and (b) variables at the solution
short report (see window on the right of Fig. 6.1) and an *.lst file with the
solution of the problem and more information that can be useful. The reader is
referred to the GAMS manual for more information.
The reader needs to study carefully Fig. 6.2 and to make sure that she/he
always check the SOLVE SUMMARY in the *.lst file to make sure that the
SOLVER STATUS is NORMAL COMPLETION and MODEL STATUS is LOCALLY
OPTIMAL (or OPTIMAL for the case of LP or MILP models). If this is not the
case, then the results are not of any value as the solver has apparently failed to
provide a solution. If a valid solution has been obtained, then we can use the
results reported in the *.lst file and in the SolVAR section to recover all
details about the solution obtained.
For the case study under study, the results obtained when five circles are
considered are given by the length of the side of the square L = 5.093 and the
coordinates of the centers of the five circles (what follows is an extract from the
*.lst file):
---- VAR x
LOWER LEVEL UPPER MARGINAL
Circle1 1.000 2.676 5.000 7.2682E-8
Circle2 1.000 1.000 5.000 0.303
Circle3 1.000 1.000 5.000 0.197
Circle4 1.000 4.091 5.000 -2.920E-7
Circle5 1.000 3.000 5.000 7.9222E-9
---- VAR y
Circle1 1.000 4.091 5.000 -2.920E-7
Circle2 1.000 3.000 5.000 7.9365E-9
Circle3 1.000 1.000 5.000 0.197
Circle4 1.000 2.676 5.000 7.2672E-8
Circle5 1.000 1.000 5.000 0.303
Note that four values are reported:

LOWER: lower bound provided by the user
LEVEL: value at the solution
UPPER: upper bound provided by user
MARGINAL: marginal value
The single dots in the output represent zeroes. The entry EPS, which stands
for “epsilon,” means very small but nonzero. The solution for the case of five
circles is also shown in Fig. 6.3. The best known
pffiffiffisolution
for the problem of
packing five unit circles in a square is L = 2 1 þ 2 ≈ 4:828427 (see Fig. 6.4).
Several solvers that are available in GAMS are used, and the results are
summarized as follows:
5 circles 6 circles 7 circles

NLP Best Comput. Best Comput. Best Comput.
solver solution time (s) solution time (s) solution time (s)
MSNLP 4.828427 0.36 5.328201 0.21 5.732051 0.56
BARON 4.828424 25.93 5.328197 10,492.47 5.732051 >18,000
KNITRO 5.090662 0.09 5.328201 0.17 5.906508 0.16
CONOPT4 5.090658 0.05 5.328201 0.05 5.763523 0.06
MINOS5 Infeasible Infeasible Infeasible
3
y
0
0 1 2 3 4 5 6
x
Fig. 6.3 GAMS generated local solution for the unit circle packing in a square problem using
KNITRO solver (5 circles) and all circles initially placed at (r, r) point in x–y space
The solution obtained using either MSNLP or BARON is as follows:
---- VAR x
Circle1 1.000 1.000 5.000 0.500
Circle2 1.000 2.414 5.000 .
Circle3 1.000 3.828 5.000 .
Circle4 1.000 3.828 5.000 .
Circle5 1.000 1.000 5.000 4.528E-13
---- VAR y
Circle1 1.000 1.000 5.000 0.500
Circle2 1.000 2.414 5.000 .
Circle3 1.000 3.828 5.000 .
Circle4 1.000 1.000 5.000 .
Circle5 1.000 3.828 5.000 .
Note the dots appearing in the marginal values (denoting zero values).
3
y
0
0 1 2 3 4 5 6
x
Fig. 6.4 GAMS generated local solution for the unit circle packing in a square problem using
MSNLP or BARON solvers (five circles) and all circles initially placed at (r, r) point in x–y
space
It is important to note that different solvers have different characteristics

and different performance. However, no general conclusion can be drawn from
this single case study. The GAMS user must always compare the performance of
different solvers for the particular case study under investigation. Some solvers
can be better on a specific case study, and some others can be better on other
case studies.
We will now present the solution of another problem in order to introduce
some additional characteristics of GAMS. We will consider the cutting stock
problem studied in Example 4.3. We first present the GAMS model in Table 6.3.
Note the definition of vector and matrix data using the PARAMETER and the
TABLE keywords:
PARAMETER D(j) demand of rods in demands

/ rod5cm 150
rod3cm 100/;
TABLE Y(j,k)
pattern1 pattern2 pattern3 pattern4 pattern5 pattern6
rod5cm 2 1 0 1 0 0
rod3cm 0 1 3 0 2 1;
Table 6.3 GAMS model for the cutting stock problem
$ TITLE Cutting Stock Problem Section 4.3

* SECTION 1: DEFINE SETS AND INDICES ..........................
SETS i available rods /rod10cm, rod7cm, rod4cm/,
j rods in demand /rod5cm, rod3cm/,
k cutting pattern /pattern1*pattern6/;
* SECTION 2: DEFINE SCALARS, PARAMETERS & TABLES ..............
SCALAR Ccut cost of one cut /0.1/;
PARAMETER c(i) cost of available rods

/rod10cm 2,
rod7cm 1.5,
rod4cm 1/;
PARAMETER S(i) supply of available rods

/rod10cm 50,
rod7cm 80,
rod4cm 100/;
PARAMETER kappa(k) cost of available rods

/pattern1 1,
pattern2 2,
pattern3 3,
pattern4 1,
pattern5 2,
pattern6 1/;
PARAMETER D(j) demand of rods in demands

/ rod5cm 150
rod3cm 100/;
TABLE Y(j,k)
rod5cm 2 1 0 1 0 0
rod3cm 0 1 3 0 2 1;
TABLE a(i,k)
rod10cm 1 1 1 0 0 0
rod7cm 0 0 0 1 1 0
rod4cm 0 0 0 0 0 1;
* SECTION 3: DEFINE VARIABLES .................................
POSITIVE VARIABLES x(k) number of times pattern k is cut;
VARIABLE Cost;
* SECTION 4: DEFINE EQUATIONS .................................
EQUATIONS Ineq1(i), Eq1(j), ObjFun;
Ineq1(i).. SUM(k,a(i,k)*x(k)) =L= S(i);
Eq1(j).. SUM(k,Y(j,k)*x(k)) =E= D(j);
ObjFun.. Cost =E=
SUM(i,c(i)*SUM(k,a(i,k)*x(k)))+Ccut*SUM(k,kappa(k)*x(k));
* SECTION 6: MODEL & SOLVE STATEMENTS .......................
MODEL CuttingStock /ALL/;
SOLVE CuttingStock USING LP MINIMIZING Cost;
The most important new element available in GAMS that is introduced is the
summation operation used in both equations. The first inequality constraint:
Ineq1(i).. SUM( k, a(i,k)*x(k) ) =L= S(i);
implements the following inequality constraint:

X
aik xk ≤ S i , 8i 2 f1, 2, 3g
k2f1, 2, ::, 6g
The equivalence between the equality constraint:

X
Y jk xk = Dj , 8j 2 f1, 2g
k2f1, 2, ::, 6g
and its implementation in GAMS:
Eq1(j).. SUM(k,Y(j,k)*x(k)) =E= D(j);
is also self-evident. The summation operation available in GAMS is among the

strongest characteristics that makes programming of nonlinear programming
models in GAMS particularly easy. There is the option of automatic double
summation, as it is the case for the following mathematical operation (see, for
instance, formulation (4.61)):
m X
X n
cij xij = Cost
i=1 j=1
which can be implemented in GAMS as follows:
Eq.. SUM( (i,j), c(i,j)*x(i,j) ) =E= Cost;
We also present a case of a mixed integer problem. We will consider the

paint production scheduling problem studied in Example 5.6 and summarized
in Formulation (5.68). It is reminded that the relevant data are given in
Table 5.3. Table 6.4 presents the GAMS file for the solution of the paint
production scheduling problem. There are several new GAMS elements that
are introduced in this GAMS program. The first is the use of the $TITLE
Table 6.4 GAMS model for the paint production scheduling problem
$ TITLE Paint Production Problem

$ontext
Example 5.6 of the book, Data given in Table 5.3
$offtext
SET i different paints /Red, White, Blue/;
ALIAS (i,j);

SCALAR M large number /1000/;
PARAMETER w(i) penalty for delayed delivery in $ per h
/Red 15, White 10, Blue 30/;
PARAMETER dt(i) due time for paint i
PARAMETER pt(i) processing time for paint i
POSITIVE VARIABLES st(i) starting time for processing paint i,
tau(i) delay time in delivering paint i;
VARIABLE Cost;
BINARY VARIABLES y(i,j);
EQUATIONS Ineq1(i), Ineq2(i,j), Ineq3(i,j), ObjFun;
Ineq1(i).. st(i)+pt(i) =L= tau(i)+dt(i);
Ineq2(i,j)$(ord(i)<ord(j)).. st(i)+pt(i) =L= st(j)+M*(1-
y(i,j));
Ineq3(i,j)$(ord(i)<ord(j)).. st(j)+pt(j) =L= st(i)+M*y(i,j);
ObjFun.. Cost =E= sum( i, w(i)*tau(i) );
* SECTION 5: DEFINE BOUNDS AND INITIAL VALUES .................
* SECTION 6: MODEL & SOLVE STATEMENTS .........................
MODEL PaintProductionSchedulling /ALL/;
OPTION MIP=CPLEX;
SOLVE PaintProductionSchedulling USING MIP MINIMIZING Cost;
* Declare the output file and name it

FILE out /output.dat/;
* Make 'out' the active output file
PUT out;
* Put some text in the first lines ...
PUT 'Paint production Scheduling Problem' / ;
PUT 'Number of Paints=',card(i):<3:0 /;
* Write the results is formated columns
PUT '|Paint||Start Time||Delay Time||Penatly|'/;
PUT '1234567123456789012123456789012123456789'/;
LOOP(i,
PUT ORD(i) :<>7:0,
st.l(i) :<12:1,
tau.l(i) :>12:2,
w(i) :>9:3 /
);
PUTCLOSE out;
keyword which is used to assign a title to our program (in addition, the
$TITLE statement causes the subsequent text to be printed at the top of
each page of output). In the GAMS program of Table 6.4, binary variables are
defined and used:
BINARY VARIABLES y(i,j);
The most important new element used in the program of Table 6.4 is the put
writing facility. The put writing facility generates documents automatically
when GAMS is executed. A document is written to an external file sequentially,
a single page at a time. In the first line of the put writing facility, the internal file
name out is defined and connected to the external file out.dat using the
keyword FILE:
* Declare the output file and name it

FILE out /output.dat/;
The second line of this put writing facility example assigns the file out.dat
as the current file, that is, the file which is currently available to be written to.
* Make 'out' the active output file

PUT out;
In the third line of the writing to the document begins using a put statement
with a textual item:
PUT 'Paint production Scheduling Problem' / ;
Notice that the text is quoted. The slashes following the quoted text repre-
sent carriage returns. The example continues with another textual item
followed by the scalar card(i). Notice that these output items are separated
with commas:
PUT 'Number of Paints=',CARD(i):<3:0 /;

Some more textual items follow:
* Write the results is formated columns

PUT '|Paint||Start Time||Delay Time||Penatly|'/;
PUT '1234567123456789012123456789012123456789'/;
Writing the results into the output file selected requires varying the index in
a systematic way. This is achieved in this case using the LOOP statement which
has the general format:
LOOP( i,
. . . .statements . . .
);
Within the LOOP statement, we use again the PUT statement to write into
the out file the elements that are of interest to us:
PUT ORD(i) :<>7.0,

st.l(i) :<12:1,
tau.l(i) :>12:2,
w(i) :>9:3 /
Note that: <>7:0 is used to format the way ORD(i) is written into the
output file. This is an example of the local format feature. The syntax of this
feature is as follows:
item:{<>}width:decimals
The item is followed by a justification symbol, the field width, and the
number of decimals to be displayed. The specification of the number of deci-
mals is only valid for numeric output. The following local justification symbols
are applicable:
> Right justified
< Left justified
<> Center justified
Omitting any of the components causes their corresponding global format
settings to be used. The item width and decimals are delimited with colons as
shown above. The output that is automatically generated (out.dat) after
execution is the following:
6.3 Two Recreational Problems Solved in GAMS® 289
Paint production Scheduling Problem

Number of Paints= 3
|Paint||Start Time||Delay Time||Penatly|
1234567123456789012123456789012123456789
1.00 48.0 0.00 15.000
2.00 0.0 0.00 10.000
3.00 60.0 12.00 30.000
The keyword PUTCLOSE is used to close a file during the execution of a

GAMS program.
Up to this point, we have introduced most of the commonly used features of
a GAMS program, and we can, based on these features, solve particularly
complex optimization models. We will devote the rest of the chapter to solve
some optimization problems in GAMS in order to explore the capabilities of the
software, introduce some more advanced elements, and help the reader
improve his/her GAMS modelling ability.
6.3 Two Recreational Problems Solved in GAMS®
In this section, we will introduce further elements of GAMS through two

recreational problems. Note that in this presentation, our aim is not to present
the most compact or the more efficient program in GAMS but to present them
with the aim to incorporate interesting features available in GAMS. In the first
problem, we will study the famous “River Crossing Problem” (RCP): on his way
home, a farmer came to the bank of a river and rented a boat, but crossing the
river by boat, the farmer could carry only himself and only one of his pur-
chases: the wolf, the goat, or the cabbage. If left unattended together, the wolf
would eat the goat, or the goat would eat the cabbage. The farmer’s challenge is
to carry himself and his purchases to the far bank of the river, leaving each
purchase intact (see Fig. 6.5). Our aim in this section is to propose an integer
formulation of the RCP.
There is a thorough analysis of this interesting recreational problem in the
literature (Borndörfer et al., Alcuin’s Transportation Problems and Integer
Programming, In Butzer, P L, Ed, Charlemagne and His Heritage: 1200 Years
of Civilization and Science in Europe. Brepols, Belgium, 1998, pp. 379–409).
There are several different approaches to attack this challenging problem.
We will follow an approach that has a direct generalization to problems that
are of interest to chemical engineering. We first define the set of “items”, i 2 {W,
G, C, M}, where W denotes the wolf, G denotes the goat, C denotes the cabbage,
and F denotes the farmer. We also use the index t 2 {0, 1, 2, . . ., n} to denote the
time (or state) after a river crossing has taken place. Clearly t = 0 corresponds
to the initial state or at zero time and t = 1 the time after the first crossing, etc.
We furthermore define the binary variables zi,t and yi,t as follows:
Fig. 6.5 The “River Crossing Problem”
8
>
< 1, if i is on the near ðleftÞ bank of the river at time t
zi,t =
>
:
0, if i is not on the near ðleftÞ bank of the river at time t
8
< 1, if i is on the far ðrightÞ bank of the river at time t
>
yi,t =
>
:
0, if i is not on the far ðrightÞ bank of the river at time t
Having defined the basic variables of the model, we then define the param-
eter directiont which shows when the crossing at t is from the near bank to the
far bank (= -1) or from the far bank to the near bank (= +1):
directiont = ð - 1Þ1þt
We now present the equations through which we can determine whether an

item can be found in the near or far bank of the river at t + 1 given its state at t:
zi,tþ1 = zi,t þ directiont ui,t , 8i,t

yi,tþ1 = yi,t - directiont ui,t , 8i,t
where we have defined the following “control variables”:

8
>
< 1, if i is crossing the river between the time intervals t&t þ 1
ui,t =
>
:
0, otherwise
As the boat can only carry the farmer and up to one additional item, it
follows that:
X
ui,t ≤ 2, 8t
i2fW, G, C, F g
ui,t ≤ uF,t , 8i 2 fW, G, C g,t
The second constraint ensures that any item can cross the river if and only if
the farmer is on the boat (i.e., the wolf, the goat, or the cabbage cannot cross the
river alone). We may simplify the equations by using the fact that an item can
be at either the left bank or the right bank:
zi,t þ yi,t = 1, 8i,t
Finally, we need to exclude the “forbidden” states at which the wolf and the
goat or the goat and the cabbage are on the same bank of the river and also take
into consideration the fact that these states are allowable if the farmer is on the
same bank of the river (the items are under supervision, and they cannot eat
each other):
9
zW,t þ zG,t ≤ 1 þ zF,t >
>
>
yW,t þ yG,t ≤ 1 þ yF,t =
8t
zG,t þ zC,t ≤ 1 þ zF,t >
>
>
;
yG,t þ yC,t ≤ 1 þ yF,t
To have a complete model, we need to define an indicator integer variable

AllCrossedt that becomes equal to 1 when all items have crossed the river
intact. To determine this variable, we note that all items have crossed the river
when zi, t = 0, 8 i and yi, t = 1, 8 i. If any of the yi, t is equal to zero, then not all
items have crossed the river. We may therefore write:
AllCrossedt ≤ yi,t , 8i,t
Finally, we use the following objective function with the aim to enforce the
fastest possible completion of the crossing:
X
n
max AllCrossedt
t=0
The complete mathematical formulation contains binary variables only and

is as follows:
X
n
max AllCrossedt
zi,t , yi,t ,ui,t ,AllCrossedt
t=0
s:t: 9
zi,tþ1 = zi,t þ directiont ui,t > >
=
yi,tþ1 = 1 - zi,t 8i,t
>
>
;
AllCrossedt ≤ yi,t
X 9
ui,t ≤ 2 >
>
>
>
i2fW,G,C,F g >
>
>
>
ui,t ≤ uF,t , 8i 2 fW, G, C g > >
>
>
>
=
zW,t þ zG,t ≤ 1 þ zF,t 8t
>
>
yW,t þ yG,t ≤ 1 þ yF,t >
>
>
>
>
>
zG,t þ zC,t ≤ 1 þ zF,t >
>
>
>
>
;
yG,t þ yC,t ≤ 1 þ yF,t
zi,t ,yi,t ,ui,t ,AllCrossedt 2 f0, 1g,8i,t
The formulation can be greatly simplified as there are several redundant

constraints in the formulation and not all variables need to be defined as binary
variables. The interested reader is referred to the GAMS MODEL LIBRARY
(model cross.gms) for an alternative, very clever, and efficient formulation.
After solving the model, we obtain the following extract from the *.lst file
(as always, we first check the SOLVER STATUS and the MODEL STATUS to
ensure that the information provided in the *.lst file corresponds to an optimal
solution):
---- VAR u control variable: which item is on the boat at t
W.2 . 1.000 1.000 EPS

G.0 . 1.000 1.000 EPS
G.3 . 1.000 1.000 EPS
G.6 . 1.000 1.000 EPS
C.4 . 1.000 1.000 EPS
F.0 . 1.000 1.000 EPS
F.1 . 1.000 1.000 EPS
F.2 . 1.000 1.000 EPS
F.3 . 1.000 1.000 EPS
F.4 . 1.000 1.000 EPS
F.5 . 1.000 1.000 EPS
F.6 . 1.000 1.000 EPS
Table 6.5 GAMS model for the river crossing problem
$TITLE river crossing problem

SETS i /W,G,C,F/,
t /0*10/;

PARAMETER direction(t);
* -1 leaving left bank, +1 leaving right bank
direction(t)=POWER(-1,ord(t));

BINARY VARIABLES y(i,t) items at the right (far) bank at t,
z(i,t) items at the left (near) bank at t,
AllCrossed(t) indicator: all items have
crossed,
u(i,t) control variable: item i on the boat
at t;
VARIABLE FinalTime;

EQUATION
LeftBankDynamics(i,t) balance of items on the left ,
RightBankDynamics(i,t) balance of items on the right,
Up2TwoPassengers(t) no more that 2 items on the boat,
ManPassenger(i,t) farmer on the boat for crossing,
ForbiddenLeft1(t) wolf cannot eat goat-left bank,
ForbiddenLeft2(t) goat cannot eat cabbage-left bank,
ForbiddenRight1(t) wolf cannot eat goat-right bank,
ForbiddenRight2(t) goat cannot eat cabbage-right bank,
AllHaveCrossed(i,t) all have crossed the river intact,
objfun a dummy objective function;
LeftBankDynamics(i,t+1).. z(i,t+1) =E= z(i,t) +

direction(t)*u(i,t);
RightBankDynamics(i,t).. y(i,t) =E= 1-z(i,t);
Up2TwoPassengers(t).. SUM(i,u(i,t)) =L= 2;
ManPassenger(i,t)$(ord(i)<4).. u('F',t) =G= u(i,t) ;
ForbiddenLeft1(t).. z('W',t)+z('G',t) =L= 1+z('F',t);
ForbiddenLeft2(t).. z('C',t)+z('G',t) =L= 1+z('F',t);
ForbiddenRight1(t).. y('W',t)+y('G',t) =L= 1+y('F',t);
ForbiddenRight2(t).. y('C',t)+y('G',t) =L= 1+y('F',t);
AllHaveCrossed(i,t).. AllCrossed(t) =l= y(i,t);
objfun.. FinalTime=E= SUM(t,AllCrossed(t));
* SECTION 5: DEFINE BOUNDS AND INITIAL VALUES .................

* initial state: all items on the near bank of the river
z.fx(i,t)$(ord(t)=1) = 1;
* SECTION 6: MODEL & SOLVE STATEMENTS .........................

MODEL RiverCrossingProblem /ALL/;
OPTION MIP=CPLEX
SOLVE RiverCrossingProblem USING MIP MaxIMIZING FinalTime;
We have only kept the nonzero elements for saving space. We note that at
the first crossing u(G.0) = 1 & u(F.0) = 1 and the farmer crosses the river
from the near to the far bank together with the goat. In the second crossing u
(F.1) = 1 only and returns to the near bank alone. In the third crossing, u
(W.2) = 1 & u(F.2) = 1, and the farmer crosses the river from the near to
the far bank together with the wolf. Then the farmer returns to the near bank
together with the goat as u(G.3) = 1 & u(F.3) = 1 (fourth crossing) and
then leaves the goat on the near bank and crosses the river carrying the
cabbage as u(C.4) = 1 & u(F.4) = 1 (fifth crossing). Then the farmer
returns alone to the near left bank (sixth crossing) and finally crosses the
river for seventh and final time together with the goat as u(G.6) = 1 & u
(F.6) = 1. There is a second completely equivalent solution in which in the
third crossing, instead of crossing the river carrying the wolf, the farmer can
select to carry the cabbage, then returns with the goat, and finally crosses the
river from the near bank to the far bank two additional times, initially carrying
the wolf and finally the goat. Again, seven crossings are necessary, and the
solution is equivalent.
We now move to the second problem that we will study in this section: the
Traveling Salesman (or Salesperson) Problem or simply TSP. In the TSP prob-
lem, we consider n cities, and the salesman wants to start from city 1, visit all
cities exactly one time, and finally return to city 1 by minimizing the “cost” of
travelling. We will assume that the cost of travelling between city i and city j is
cij, which is always a positive constant. We will also restrict attention to the
so-called symmetric TSP problem in which the cost of traveling between j and
i is exactly the same as the cost of traveling between i and j. We will also
consider that there are direct connections between all cities, and if this is not
the case, then we can always set dij = M, where M is a very large number, to
make the particular selection unattractive.
Fig. 6.6 TSP example

problem
60 160
90 130
100
100
50
70
80
80
An example TSP problem is shown in Fig. 6.6. The cost of travelling between
any two cities is independent of the direction of the movement and is given in
Fig. 6.6. To develop the mathematical model, we define the binary variables yij
that are equal to 1 if the salesperson travels from city i to city j, 8i, j 2 {1, 2, . . ., 5}.
The mathematical formulation is easy to derive as it follows easily from the
general assignment problem:
XX
min
y
cij yij
ij
i j
s:t:
X
yji = 1,8i
j,j ≠ i
X
yij = 1,8i
j,j ≠ i
yij 2 f0, 1g,8i,j
The first equality constraint ensures that the salesman arrives at each city
and the second one that the salesman departs from each city. Is this formula-
tion a complete representation of the TSP problem? The following is a GAMS
file that implements the formulation:
$ TITLE TSP Example Problem with 5 cities
SET i cities /1*5/; ALIAS (i,j)
TABLE c(i,j) cost of travelling between i&j

1 2 3 4 5
1 60 90 130 160
2 60 50 100 100
3 90 50 80 80
4 130 100 80 70
5 160 100 80 70 ;
BINARY VARIABLE x(i,j);

VARIABLE cost;
EQUATIONS Arrive(i), Depart(i), ObjFun;

Arrive(i).. SUM(j,x(j,i)) =E= 1;
Depart(i).. SUM(j,x(i,j)) =E= 1;
ObjFun.. SUM((i,j),c(i,j)*x(i,j)) =E= Cost;
x.fx(i,i)=0;
MODEL TSPexample /ALL/;

OPTIONS MIP=CPLEX;
SOLVE TSPexample USING MIP MINIMIZING Cost;
When we solve the model, we obtain the following solution (extract from the
*.lst file, only the nonzero elements are given to save space):
---- VAR x
1.2 . 1.000 1.000 60.000
2.3 . 1.000 1.000 50.000
3.1 . 1.000 1.000 90.000
4.5 . 1.000 1.000 70.000
5.4 . 1.000 1.000 70.000
---- VAR cost -INF 340.000 +INF .
This solution is also shown in Fig. 6.7.

What is immediately observed is that the solution is not a complete closed
tour but involves two subtours that are not connected: subtour 1 → 2 → 3 → 1
and subtour 4 → 5 → 4. This demonstrates clearly that the formulation is not a
complete one, and additional constraints are necessary to make the formation
of subtour infeasible. These constraints are known as subtour elimination
constraints.
One way to include subtour elimination constraints is to enumerate all
potential subsets of the initial set of cities or vertices i 2 V = {1, 2, . . ., n}
with more than two elements, i.e., all v, with 2 < card(v) < n - 1 (there cannot
be a subtour with 1 city while the subtours with n cities are feasible solutions).
For a subtour to be formed involving all elements of V0 , there must be as many
nonzero xij in this set as it is the number of elements in the same set (see
Fig. 6.7, for instance, for the case of a subset with three elements and a subset
of two elements), i.e., the following must hold true:
Fig. 6.7 TSP example

problem initial solution
that involves subtours
60
90
70
50 70
XX
xij = cardðvÞ
i2v j2v
To eliminate this, we may add the following constraints:

XX
xij ≤ cardðvÞ - 1, for all v ⊂ V : 2 ≤ cardðvÞ < cardðV Þ
i2v j2v
In the case study of Fig. 6.6, we need to apply these inequalities for all
subsets with two elements, three elements, and four elements. How many
2-element subsets do we have? The answer is that the number of 2-element
subsets is equal to the ways that we may select two objects from a set of five
objects: n!/(n - m)!m! = 5!/3!2! = 10. We can therefore write the following
inequality constraints:
Set elements Inequality constraint

1–2 x12 + x21 ≤ 1
1–3 x13 + x31 ≤ 1
1–4 x14 + x41 ≤ 1
1–5 x15 + x51 ≤ 1
2–3 x23 + x32 ≤ 1
2–4 x24 + x42 ≤ 1
2–5 x25 + x52 ≤ 1
3–4 x34 + x43 ≤ 1
3–5 x35 + x53 ≤ 1
4–5 x45 + x54 ≤ 1
There are also ten 3-element subsets:

1–2–3 x12 + x13 + x23 + x21 + x31 + x32 ≤ 2
1–2–4 x12 + x14 + x24 + x21 + x41 + x42 ≤ 2
1–2–5 x12 + x15 + x25 + x21 + x51 + x52 ≤ 2
1–3–4 x13 + x14 + x34 + x31 + x41 + x43 ≤ 2
1–3–5 x13 + x15 + x35 + x31 + x51 + x53 ≤ 2
1–4–5 x14 + x15 + x45 + x41 + x51 + x54 ≤ 2
2–3–4 x23 + x24 + x34 + x32 + x42 + x43 ≤ 2
2–3–5 x23 + x25 + x35 + x32 + x52 + x53 ≤ 2
2–4–5 x24 + x25 + x45 + x42 + x52 + x54 ≤ 2
3–4–5 x34 + x35 + x45 + x43 + x53 + x54 ≤ 2
Finally, there are five 4-element subsets:

1–2–3–4 x12 + x13 + x14 + x23 + x24 + x34 + x21 + x31 + x41 + x32 + x42 + x43 ≤ 3
1–2–3–5 x12 + x13 + x15 + x23 + x25 + x35 + x21 + x31 + x51 + x32 + x52 + x53 ≤ 3
1–2–4–5 x12 + x14 + x15 + x24 + x25 + x45 + x21 + x41 + x51 + x42 + x52 + x54 ≤ 3
1–3–4–5 x13 + x14 + x15 + x34 + x35 + x45 + x31 + x41 + x43 + x51 + x53 + x54 ≤ 3
2–3–4–5 x23 + x24 + x25 + x34 + x35 + x45 + x32 + x42 + x43 + x52 + x53 + x54 ≤ 3
Clearly, despite the fact that many of these constraints are redundant, the
number of additional constraints that we need to integrate in our formulation
is significant. GAMS, however, makes this easy.
Instead of adding all these constraints in our formulation, we can follow a
step-by-step procedure where we initially ignore all of them, and we then add
them by increasing the cardinality of the sets considered in each step. In our
case, we start by adding all subtour elimination constraints that correspond to
2-element subsets:

SET i cities /1*5/; ALIAS (i,j);
TABLE c(i,j) cost of travelling between i & j

1 2 3 4 5
1 60 90 130 160
2 60 50 100 100
3 90 50 80 80
4 130 100 80 70
5 160 100 80 70 ;

VARIABLE cost;
EQUATIONS Arrive(i), Depart(i), Subtour(i,j), ObjFun;

Subtour(i,j).. x(i,j)+x(j,i) =L= 1;
x.fx(i,i)=0;

OPTIONS MIP=CPLEX;
The solution obtained is the following:
---- VAR x
1.2 . 1.000 1.000 60.000
2.3 . 1.000 1.000 50.000
3.5 . 1.000 1.000 80.000
4.1 . 1.000 1.000 130.000
5.4 . 1.000 1.000 70.000
---- VAR cost -INF 390.000 +INF .
This solution is the optimal solution of the TSP case study and is shown in
Fig. 6.8. As there is no subtour involved in this solution, we do not need to add
any additional constraints. If a solution with disconnected subtours had been
obtained, then we would have added the subtour elimination constraints that
correspond to all subsets involving three elements, etc.
An alternative approach that is efficient in practice is to solve the relaxed
problem, i.e., the problem without the subtour elimination constraints, and
then if subtours are discovered, then integer cut constraints are added to
eliminate only the subtours that have already discovered. This can be achieved
in the case study we investigate by first solving the relaxed formulation to
obtain the results shown in Fig. 6.7. Then a constraint is added to eliminate the
subtour involving cities 1 and 4. Solving the problem again results in a new
solution where a subtour involving cities 1 and 2 appears. Using subtour
elimination constraints for subtours involving cities 1 & 4 and 1 & 2:
Fig. 6.8 Optimal solution

of the TSP example
problem
60
130
80
50 70


1 2 3 4 5
1 60 90 130 160
2 60 50 100 100
3 90 50 80 80
4 130 100 80 70
5 160 100 80 70 ;

VARIABLE cost;
EQUATIONS Arrive(i), Depart(i), Subtour45, Subtour12, ObjFun;

Subtour45.. x('4','5')+x('5','4') =L= 1;
Subtour12.. x('1','2')+x('2','1') =L= 1;
x.fx(i,i)=0;

OPTIONS MIP=CPLEX;
results again in the solution shown in Fig. 6.8.

A second, fundamentally different approach to incorporate the subtour
elimination constraints is also commonly presented in the literature. In this
alternative approach, dummy variables 0 ≤ ui ≤ n - 1, 8 i are intruded that
satisfy the constraint:
ui - uj þ nxij ≤ n - 1, u1 = 1, 2 ≤ i ≠ j ≤ n
The GAMS implementation for this approach is as follows:

SET a(i,j);
a(i,j)=1$(ord(i)>1 AND ord(j)>1 AND ord(i) ne ORD(j));
PARAMETER n; n=card(i);
(continued)
1 2 3 4 5
1 60 90 130 160
2 60 50 100 100
3 90 50 80 80
4 130 100 80 70
5 160 100 80 70 ;
VARIABLES u(i), cost;
EQUATIONS Arrive(i), Depart(i), Subtour, ObjFun;

Subtour(i,j)$a(i,j).. u(i)-u(j)+n*x(i,j) =L= n-1;
u.lo(i)=1; u.up(i)=n-1;
x.fx(i,i)=0;
u.fx('1')=0;

OPTIONS MIP=CPLEX;
The solution obtained is as follows:
---- VAR x
1.4 . 1.000 1.000 130.000
2.1 . 1.000 1.000 60.000
3.2 . 1.000 1.000 50.000
4.5 . 1.000 1.000 70.000
5.3 . 1.000 1.000 80.000
---- VAR u
2 1.000 4.000 4.000 EPS
3 1.000 3.000 4.000 .
4 1.000 1.000 4.000 EPS
5 1.000 2.000 4.000 .
---- VAR cost -INF 390.000 +INF .
The solution is the same as the one obtained before. It is interesting to note
that the dummy variable ui, i ≥ 2 is actually an indication variable that denotes
tour ordering, such that ui < uj implies that city i is visited before city j.
The TSP problem is the most notorious problem in mathematical program-
ming and combinatorial optimization (problems at which the optimal solution
is a subset of a finite set). A characteristic case study of problems that are
particularly easy to describe but extremely difficult to solve is known as
NP-hard problems. One reason for that is the combinatorial explosion of the
alternative solutions or number of equations that are needed to have a com-

plete formulation. For the TSP problem, we have (n - 1) choices when leaving
city 1, (n - 2), when leaving city 2, etc. The alternative feasible solutions are
therefore (n - 1)! which is a number that increases faster than en! If we manage
at some point in the future to develop an algorithm for solving the TSP problem
efficiently, then the same algorithm can be the basis for solving numerous
combinatorial problems and certainly many difficult problems in chemical
engineering.
Learning Summary
In this chapter, we introduced GAMS, a powerful modelling environment for

optimization studies. We also have used GAMS to solve, among others, two
interesting recreational problems that are of direct interest to chemical
engineering.
Terms and Concepts

GAMS modelling environment and its advantage over MATLAB.
TSP problem as an example of NP-hard problems.
Problems
6.1 Solve Example 5.2 using GAMS.

6.2 Solve Example 5.3 (magic square problem) with n = 3, using GAMS.
6.3 Solve the Magic Square problem with n = 3,4,. . .,7 with GAMS. Record
the computational time and the number of variables and the number of
equations as a function of n. Prepare a short report and comment on the
reason(s) why the problem can be more difficult to solve relative to your
first impression. Use the minimization of the sum of the diagonal ele-
ments as the dummy objective function of the problem.
6.4 Solve the problem presented in Example 5.4 for Orders 1, 2, and 3. Con-
sider the case where our aim is to minimize quantity adjustments. Use
GAMS to generate a solution.
6.5 Use GAMS to solve Problem 5.4.
Problems 303

6.10 In the paper by Pritsker, Watters, and Wolfe (A zero-one programming
Approach to Scheduling with Limited Resources, The Rand Corporation,
RM-5561-PR, 1968), one of the most successful approaches in the
scheduling of activities has been presented. Study the paper, and explain
the derivation of the following MILP formulation:
0 1
X X
min pj @ t - dj yjt A
yjt
j2J t2T, t > dj
s:t:
tþðτj - 1Þ
X X
yjk ≤ 1,8t 2 T
j2J k=t
X
└T┘
yjk = 1,8j 2 J
k = τj
yjk = f0, 1g,8j 2 J,k 2 T
where t 2 T = {0, 1, 2,. . ., H} is the discretized time horizon of interest,

j 2 J = {Job 1, Job 2,. . ., Job N} are the activities to be performed, τj is the
time (duration) necessary to complete Job j, dj is the day that the job
j must have been completed, or otherwise o penalty pj is imposed for
each time interval (until is finally completed and delivered). yjt is a
binary variable that denotes that job j is completed at the end of time
interval t.
In a particular example, we need to execute six jobs with the follow-
ing characteristics:
Job τj (h) dj (h) pj ($/h)

1 5 2 500
2 4 4 400
3 3 8 200
4 5 12 100
5 2 13 700
6 7 17 100
Total 26
Solve the problem in GAMS to determine the best schedule for com-
pleting the jobs.
6.11 An alternative formulation to the Pritsker, Watters, and Wolfe (PWW)
formulation for the job scheduling problem, presented in Problem 6.10,
is based on a continuous representation of time (and thus avoids the
time discretization which is the major drawback of the PWW formula-
tion). In this formulation, we define the binary variables yij to denote
whether job i precedes (executed before) job j (yij = 1). This alternative
model introduces the continuous variables xj which denote that (con-
tinuous) time at which the processing of job j starts (the completion time
is xj + τj). The complete mathematical formulation is as follows:
X
min
þ -
pj sj-
yij ,xj ,sj ,sj j2J
s:t:

xj þ τj þ sj - sj- = dj ,8j 2 J
þ
9
Myij þ xi ≥ xj þ τj >
>
=
,8i,j : i < j
>
>
M 1-y þ x ≥x þ τ ;
ij j i i
yij = f0, 1g,xj ,sþ

≥0
j ,sj
-
yij = 0,8i,j : i ≤ j
where M is a sufficiently large number, sþ

j is a non-negative number
that denotes the time that job has completed in advance of the due time
dj, and sj- is a non-negative number that denotes the delay time in
completing job j.
Solve the case study considered in Problem 6.10, and compare the
results between the two approaches.
6.12 The thermal isomerization of a-pinene to dipentene and allo-ocimene
which in turn yields α- and β-pyronene and a dimer was studied by
Fuguitt and Hawkins (1947). The proposed reaction scheme for this
homogeneous chemical reaction is:
Problems 305
k k
k
k
The concentrations of the reactant and the four products were

reported by Fuguitt and Hawkins (J. Am. Chem. Soc., 1945, 67 (2),
242–245, & 1947, 69(3), 319–322) at eight time intervals, and these
data are reproduced in the following table:
y1 y2 y3 y4 y5
Time (h) a-pinene dipentene allo-ocimene pyronene dimmer
0 100 0 0 0 0
1230 88.35 7.3 2.3 0.4 1.75
3060 76.4 15.6 4.5 0.7 2.8
4920 65.1 23.1 5.3 1.1 5.8
7800 50.4 32.9 6.0 1.5 9.3
10,680 37.5 42.7 6.0 1.9 12.0
15,030 25.9 49.1 5.9 2.2 17.0
22,620 14.0 57.4 5.1 2.6 21.0
36,420 4.5 63.1 3.8 2.9 25.7
Mathematical models can be derived which give the concentration of

the various species as a function of time if the chemical reaction orders
are known. Hunter and MacGregor (1967), assuming first-order kinetics
throughout, derived the following equations:
dy1
= - ðk 1 þ k 2 Þy1
dt
dy2
= k 1 y1
dt
dy3
= k2 y1 - ðk 3 þ k4 Þy3 þ k5 y5
dt
dy4
= k 3 y3
dt
dy5
= k 4 y3 - k 5 y5
dt
An objective function that can be used to determine the reaction rate

constants ki, i = 1, 2, ..., 5 of the model, although not the best available for
the case of multi-response data, is the least squares objective:
X 8
5 X 2
min yjexp ðt k Þ - yj ðt k Þ
ki
j=1 k=1
Use GAMS to solve the optimization problem, and estimate the reac-
tion rate constants. Solve the differential equations dy(t)/dt = f(y(t))
using the following simple rule of integration:
1
yðt Þ = yðt - δt Þ þ ½f ðyðt ÞÞ þ f ðyðt - δt ÞÞ
2
Increase the number of points in the discretization until you have

sufficient accuracy.
Hint: as the value of the reaction rate constants is extremely small, it
is beneficial to use the transformation k i = eκi and determine the κ i0 s.
Chapter 7
Representative Optimization Problems
in Chemical Engineering
Solved in GAMS1
7.1 Introduction
In this chapter, GAMS1 will be used to solve representative optimization

problems from the chemical engineering discipline. We will study several
examples taken from a wide spectrum of application areas. The aim is for the
reader to improve her/his modelling skills, adopt good modelling practices,
appreciate the strengths and limitation of currently available optimization
software, and use these case studies as the basis for building more detailed
optimization models.
7.2 Optimization of a Multiple-Effect Evaporation

System
Evaporation systems are common in the food industry primarily as a means of

concentrating milk, fruit juices, and sugar solutions prior to crystallization.
Evaporation can also be used to raise the solids content of dilute solutions
prior to spray- or freeze-drying. The process of evaporation involves the
application of heat to vaporize water at low temperatures by heating the
product in a vacuum to avoid quality degradation. Energy utilization can be
improved by using heat exchangers to extract heat from the vapors to preheat
the feed or by using multiple effects where the vapors produced from one
effect are used to provide heat in the next effects. The description of the
operation of an evaporation unit involves simple material and energy balances.
The cost of energy and the cost of equipment must be put in a common,
annualized basis to be able to design cost-optimal systems.

AG 2022
308 7 Representative Optimization Problems in Chemical Engineering Solved. . .
Fig. 7.1 A single effect

evaporator
V T
V Ts
Q ,A ,P ,T , ,U
L x T L x T
A single-effect evaporator system is shown in Fig. 7.1. A liquid stream with

mass flow rate L0, solids concentration x0 (mass fraction), and temperature T0
is fed to the system. Two product streams are obtained: a vapor stream with
mass flow rate V1 and a liquid product stream with mass flow rate L1 with
solids concentration x1 (mass fraction). Both streams are at the operating
temperature of the evaporator T1. The mathematical model of the evaporator
consists of the overall material balance, the material balance of the solids, and
the energy balance:
L0 ¼ L1 þ V 1 ð7:1Þ
L0 x0 ¼ L1 x1 ð7:2Þ
L0 hðx0 , T 0 Þ þ Q1 ¼ L1 hðx1 , T 1 Þ þ V 1 H ðT 1 Þ ð7:3Þ
where Q1 is the rate of heat transfer from the heating steam to the solution. The
heating steam has a mass flow rate V0 and is saturated at temperature T s0 . h is
the enthalpy of the liquid stream which is a function of the mass fraction of the
solids and the temperature, i.e., h ¼ h(x,T). H is the enthalpy of the steam, which
is a function of the steam temperature only, i.e., H ¼ H(T). Q1 can be expressed
through the following equations:

Q1 ¼ V 0 H T s0 h T s0 ð7:4Þ

Q1 ¼ A1 U 1 T 0s T 1 ð7:5Þ
where A1 is the heat transfer area and U1 is the overall heat transfer coefficient
which is assumed to be a decreasing function of the mass fraction of the solids,
i.e., U ¼ U(x).
An important element of the modelling of aqueous solution of solids is the
rise in the boiling point (BPR) relative to that of pure water at the same
pressure:
BPRðxÞ ¼ T ðxÞ T s ð7:6Þ

7.2 Optimization of a Multiple-Effect Evaporation System 309
where T is the boiling temperature of the solution with solids concentration

x and Ts is the boiling point (saturation temperature) of pure water. BPR is
usually a linear function of the mass fraction and becomes nonlinear at very
high concentrations. It is reminded that the saturation temperature of pure
water is related to the saturation pressure (Ps) of water through the well-
known Antoine equation:
B
ln Ps ¼ A ð7:7Þ
C þ Ts
In Table 7.1, we summarize the equations necessary to calculate the boiling

point rise, the enthalpy, and the vapor pressure of a specific sugar solution.
The equations that we have presented up to this point are a complete
mathematical model for the evaporation process. What is missing is an appro-
priate cost function. The appropriate cost function to minimize is the total
annual operating cost that consists of the annualized cost of the installed
evaporator and the cost of utility steam:
TAC ¼ CCF FBM C evap þ t y V 0 clps ð7:8Þ
where: TAC is the approximate total annual cost ($/y); CCF is the capital charge
factor (1/3); FBM is the bare module factor (2.25); ty is the operating time
(8322 h/y); clps is the unit cost of the low-pressure steam (30 $/t); Cevap is the
purchase cost of a falling film evaporator given by (Turton et al., Analysis,
Synthesis, and Design of Chemical Processes, 4th ed., Prentice Hall, 2013):
log 10 C evap ¼ 3:9119 þ 0:8627 log 10 A 0:008ð log 10 AÞ2 ð7:9Þ
Table 7.1 Properties of a sugar solution (x is the mass fraction of sugars, T is the temper-
ature, and Ts is the saturation temperature in C)
Property Equation Units

Boiling point rise BPR ¼ (1.8 þ 6.2x)x C
Overall heat transfer U ¼ exp (8.14 0.078 ln (x) þ 0.26 ln (x)2) kJ
h m2 C
coefficient
Specific enthalpy of hw ¼ 9.14 þ 3.8648T þ 3.3337 103T2 9.8 106T3 kJ
kg
liquid water
Specific enthalpy of H ¼ 2502.04 þ 1.8125T þ 2.585 104T2 9.8 106T3 kJ
kg
steam
Heat capacity of cps ¼ 1.84 kJ
kg C
sugars (solids)
Specific enthalpy of h ¼ x cpsT þ (1 x) hw(T ) kJ
kg
solution

Saturation pressure of Ps ¼ exp 11:622 T s3798:3 bar
þ227:03
pure water
We consider the following feed: L0 ¼ 6.3 kg/s, x0 ¼ 0.1, and T0 ¼ 26.7 C. We

also consider the case where saturated steam at T s0 ¼ 160 C is available. The
aim is to produce a solution that is at least 50% sugars (x1 0.5). The GAMS
model of Table 7.2 is developed. We set the minimum pressure in the evapo-
rator to be 0.1 bar (see Problem 7.1 where the reader is asked to investigate the
effect of varying the minimum evaporator pressure on economics). The solu-
tion obtained is summarized in the following extract of the *.lst file:

—— VAR Ts 26.700 45.747 160.000 .
—— VAR Ps 0.100 0.100 2.000 9.7873E+5
—— VAR T 26.700 48.197 160.000 .
—— VAR L . 1.260 +INF .
—— VAR V . 5.040 +INF .
—— VAR x 0.100 0.500 1.000 .
—— VAR A EPS 98.545 500.000 .
—— VAR U . 1.139 +INF .
—— VAR Q . 12550.939 +INF .
—— VAR hL . 145.369 +INF .
—— VAR hW . 202.057 +INF .
—— VAR HV . 2588.900 +INF .
—— VAR V0 . 6.017 +INF .
—— VAR Cutil . 5.4082E+6 +INF .
—— VAR Cequip . 3.9521E+5 +INF .
—— VAR TAC . 5.7043E+6 +INF .
—— VAR ObjFun -INF 5.7043E+6 +INF .
Note that the solution is defined by the active constraints Ps 0.1 bar and
x 0.5 and that the cost-optimal evaporator has a heat transfer area of
98.545 m2 and consumes 6.017 kg lps steam/s. The steam economy (the
mass of water evaporated over the utility steam consumed) is (5.040/
6.017) ¼ 0.838, which is typical for single evaporator systems (usually in the
range 0.75–0.95).
In trying to improve the economics of the process, we may consider the case
of a double-effect evaporator shown in Fig. 7.2. We modify the GAMS program
of Table 7.2 to that of Table 7.3 (the only important difference being the
introduction of the index i to denote the evaporator). By solving the model
for two evaporators, we obtain the following solution:
---- VAR Ps saturation pressure in bar

evap1 0.100 0.645 2.000 .
evap2 0.100 0.100 2.000 1.2111E+6
(continued)
7.2 Optimization of a Multiple-Effect Evaporation System 311
Table 7.2 GAMS program for the single-effect evaporator optimization
$ TITLE Single Effect Evaporator
SCALAR L0 feed mass flowrate in kg per s /6.3/;

SCALAR x0 mass fraction of sugars in feed /0.1/;
SCALAR T0 temperature of feed in deg C /26.7/;
SCALAR cps heat capacity of sugars in kJ per kg deg C /1.84/;
SCALAR Ts0 utility steam temperature i deg C /160/;
SCALAR ty operating hours per year /8322/;
SCALAR cs unit cost of utility steam in $ per kg /0.03/;
SCALAR FBM bare module factor /2.25/;
SCALAR CCF capital charge factor /0.333/;
PARAMETERS h0 spec. enthalpy of the feed in kJ per kg,

Dhs utility steam enthalpy of vaporization;
h0 = x0*cps*T0+(1-x0)*(9.14+3.8648*T0+3.3337E-3*T0**2-9.8E-
6*T0**3);
Dhs= 2492.9-2.0523*Ts0-30.752*1E-4*Ts0**2;
POSITIVE VARIABLE Ts saturation temperature in deg C,

Ps saturation pressure in bar
T operating temperature in deg C
L liquid product mass flowrate in kg per s
V vapour product mass flowrate in kg per s
x sugars mass fraction
A heat transfer area in m^2
U heat transfer coef kW per m^2 deg C
Q heat transfer rate in kW
hL specific enthalpy of liquid in kJ per kg
hW spec. enth. of liquid water in kJ per kg
HV spec. enth. of vapour water in kJ per kg
V0 utility steam consumption in kg per s
Cutil utility annual cost in $ per y
Cequip purchase cost of evaporator in $
TAC approximate total cost in $ per y;
VARIABLE ObjFun;
EQUATIONS TotalMassBalance, SugarMassBalance, EnergyBalance,

UtilitySteam, OverHeatTrCoef, HeatTransfArea,
BoilPointElev, SaturationPress, ObjFunDefinition,
QualityConstr, CalculatehL, Calculatehw,
CalculateHV, UtilityCost, EquipCost,
TAnnualCost;
TotalMassBalance.. L0 =E= L + V;
SugarMassBalance.. L0*x0 =E= L*x;
EnergyBalance.. L0*h0 =E= L*hL + V*HV - Q;
UtilitySteam.. Q =E= V0*Dhs;
OverHeatTrCoef.. U*3600=E= exp(8.14+(-
0.078+0.26*log(x))*log(x));
HeatTransfArea.. Q =E= A*U*(Ts0-T);
BoilPointElev.. T =E= Ts + (1.8+6.2*x)*x;
SaturationPress.. Ps =E= exp(11.622-3798.3/(Ts+227.03));
CalculatehL.. hL =E= x*cps*T+(1-x)*hw;
Calculatehw.. hw =E= 9.14+3.8648*T+3.3337E-3*T**2-9.8E-
6*T**3;
(continued)
Table 7.2 (continued)
CalculateHV.. HV =E= 2502.04+1.8125*T+2.5850E-4*T**2-9.8E-

6*T**3;
QualityConstr.. x =G= 0.5;
ObjFunDefinition.. ObjFun=E= TAC;
UtilityCost.. Cutil =E= V0*(3600*ty)*cs;
EquipCost.. Cequip=E=10**(3.9119+(0.8627-
0.0088*log10(A))*log10(A));
TAnnualCost.. TAC =E= CCF*FBM*Cequip+Cutil;
x.lo=x0; x.up=1; x.l=0.5;

T.lo=T0; T.up=Ts0; T.L=100;
Ts.lo=T0; Ts.up=Ts0; Ts.l=100;
Ps.lo=0.1; Ps.up=2; Ps.l=1;
A.lo=EPS; A.up=500; A.l=100;
MODEL SingleEfectEvaporator /ALL/;

OPTION NLP=CONOPT4;
SOLVE SingleEfectEvaporator USING NLP MINIMIZING ObjFun;
---- VAR T operating temperature in deg C

evap1 26.700 88.369 160.000 .
evap2 26.700 48.197 160.000 .
---- VAR V vapour product mass flowrate in kg per s

evap1 . 2.447 +INF .
evap2 . 2.593 +INF .
---- VAR x sugars mass fraction

evap1 0.100 0.164 1.000 .
evap2 0.100 0.500 1.000 .
---- VAR A heat transfer area in m^2

evap1 EPS 38.617 500.000 EPS
evap2 EPS 123.810 500.000 .
---- VAR Q heat transfer rate in kW

evap1 . 7117.756 +INF .
evap2 . 5600.975 +INF .
(continued)
7.3 Complex Chemical Reaction Equilibrium 313
V V
T T
V Ts
Q ,A ,P , Q ,A ,P ,
T , ,U T, ,U
L L
L x T
x x
T T
Fig. 7.2 A double-effect evaporator

---- VAR V0 . 3.412 +INF .
---- VAR Cutil . 3.0670E+6 +INF .
---- VAR Cequip purchase cost of evaporator in $

evap1 . 1.8141E+5 +INF .
evap2 . 4.7729E+5 +INF .

---- VAR TAC . 3.5606E+6 +INF .
It is important to note that the TAC decreases from M$5.7 for a single-effect
evaporator to M$3.56 for a double-effect evaporator system. The total heat
transfer area increases from 98.5 to 162.43 m2, but the steam consumption
decreases from 6.017 to 3.412 kg/s (and the steam economy increases from
0.838 to 1.477). Further improvements can be obtained by increasing the
number of evaporators and/or introducing a heat recovery heat exchanger
that preheats the fresh feed.
7.3 Complex Chemical Reaction Equilibrium
We have already analyzed the problem of equilibrium reactions in the gas

phase in Chap. 3 and in Examples 3.4 and 3.9. We now present a more realistic
case study, and we will compare the theoretical results with experimental data.
The mathematical formulation has been presented in Chap. 3 and is
repeated here:
Table 7.3 GAMS program for the multi-effect evaporator optimization
$ TITLE Multiple Effect Evaporator

SET i evaporator number /evap1*evap2/; ALIAS (i,j);
OPTION optcr=1e-9;
SCALAR L0 feed mass flowrate in kg per s /6.3/;
SCALAR x0 mass fraction of sugars in feed /0.1/;
SCALAR T0 temperature of feed in deg C /26.7/;
SCALAR cps heat capacity of sugars in kJ per kg deg C /1.84/;
SCALAR Ts0 utility steam temperature i deg C /160/;
SCALAR ty operating hours per year /8322/;
SCALAR cs unit cost of utility steam in $ per t /0.03/;
SCALAR FBM bare module factor /2.25/;
SCALAR CCF capital charge factor /0.333/;
PARAMETERS h0 spec. enthalpy of the feed in kJ per kg,
Dhs0 utility steam enthalpy of vaporization;
h0 = x0*cps*T0+(1-x0)*(9.14+3.8648*T0+3.3337E-3*T0**2-9.8E-
6*T0**3);
Dhs0= 2492.9-2.0523*Ts0-30.752*1E-4*Ts0**2;
POSITIVE VARIABLE Ts(i) saturation temperature in deg C,

Ps(i) saturation pressure in bar
T(i) operating temperature in deg C
L(i) liquid prod. mass flowrate in kg per s
V(i) vapor product mass flowrate in kg per s
x(i) sugars mass fraction
A(i) heat transfer area in m^2
U(i) heat transfer coef. in kW per m^2 degC
Q(i) heat transfer rate in kW
hL(i) spec. enthalpy of liquid in kJ per kg
hW(i) spec. enth. of liq. water in kJ per kg
HV(i) spec. enth. of vap water in kJ per kg
Dhs(i) heat of condensation in kJ per kg
V0 utility steam consumption in kg per s
Cutil utility annual cost in $ per y
Cequip(i) purchase cost of evaporator in $
TAC approximate total annual cost in $ per y;
VARIABLE ObjFun;
EQUATIONS TotalMassBal, SugarMassBal, EnergyBal,

Utility, OverHeatTrCoef, HeatArea,
BoilPointElev, SaturationPress, ObjFunDefinition,
QualityConstr, CalculatehL, Calculatehw,
CalculateHV, UtilityCost, EquipCost,
CalcDhs, TAnnualCost;
TotalMassBal(i).. L0=E=L(i)+sum(j$(ord(j) le ord(i)),V(j));

SugarMassBal(i).. L0*x0 =E= L(i)*x(i);
EnergyBal(i).. L(i-1)*hL(i-1)+(L0*h0)$(ord(i) eq 1) =E=
L(i)*hL(i)+V(i)*HV(i)-Q(i);
Utility(i).. Q(i) =E= V(i-1)*Dhs(i-1)+(V0*Dhs0)$(ord(i) eq 1);
OverHeatTrCoef(i).. U(i)*3600 =E= exp( 8.14+(-
0.078+0.26*log(x(i)))*log(x(i)) );
HeatArea(i) Q(i)=E=A(i)*U(i)*(Ts(i-1)+Ts0$(ord(i) eq 1)-T(i));
BoilPointElev(i).. T(i) =E= Ts(i) + (1.8+6.2*x(i))*x(i);
SaturationPress(i).. Ps(i) =E= exp(11.622-
3798.3/(Ts(i)+227.03));
CalculatehL(i).. hL(i) =E= x(i)*cps*T(i)+(1-x(i))*hw(i);
(continued)
7.3 Complex Chemical Reaction Equilibrium 315
Calculatehw(i).. hw(i) =E= 9.14+3.8648*T(i)+3.3337E-3*T(i)**2-

9.8E-6*T(i)**3;
CalculateHV(i).. HV(i) =E= 2502.04+1.8125*T(i)+2.5850E-
4*T(i)**2-9.8E-6*T(i)**3;
CalcDhs(i).. Dhs(i) =E= 2492.9-2.0523*Ts(i)-30.752*1E-
4*Ts(i)**2;
QualityConstr.. x('evap2') =G= 0.5;
ObjFunDefinition.. ObjFun=E= TAC;
UtilityCost.. Cutil =E= V0*(3600*ty)*cs;
EquipCost(i).. Cequip(i)=E= 10**(3.9119+(0.8627-
0.0088*log10(A(i)))*log10(A(i)));
TAnnualCost.. TAC =E= CCF*FBM*sum(i,Cequip(i))+Cutil;
V.up(i)=L0; L.up(i)=L0;
x.lo(i)=x0; x.up(i)=1; x.l(i)=0.5;
T.lo(i)=T0; T.up(i)=Ts0; T.L(i)=100;
Ts.lo(i)=T0; Ts.up(i)=Ts0; Ts.l(i)=100;
Ps.lo(i)=0.1; Ps.up(i)=2; Ps.l(i)=1;
A.lo(i)=1; A.up(i)=500; A.l(i)=100;
MODEL SingleEfectEvaporator /ALL/;

OPTION NLP=conopt4;
SOLVE SingleEfectEvaporator USING NLP MINIMIZING ObjFun;
" #
X
NC
ΔGof,i X
NC
min G ðn i Þ ¼ ni þ ln ni ln ni
ni 0
i¼1
RT i¼1
s:t: ð7:10Þ
X
NC
ni ai,k ¼ a0k , k ¼ 1, 2, . . . , NE
i¼1
where ni are the mole of chemical species i at the product stream (there are NC
chemical species present), ΔGof,i is the standard-state Gibbs free energy of
formation of chemical species i, T is the temperature of the reaction, and R is
the ideal gas constant. aik denote the number of atoms of element k in chemical
species i, and NE are the elements present in the system. The atoms of element
k present in the feed are a0k . The main computational problem arising when we
need to determine the equilibrium at different temperatures is due to the fact
that ΔGof,i is a function of temperature. To automatically determine the equilib-
rium composition as a function of the temperature, we need to include into the
GAMS program the calculation of ΔGof,i at each temperature.
The analytic determination of ΔGof,i is discussed in most chemical engineer-
ing thermodynamics textbooks (such as Elliott & Lira, Introductory Chemical
Engineering Thermodynamics, Pearson, 2012, or Abbot Van Ness, Thermody-
namics with Chemical Applications, Schaum’s Series, 2nd ed., McGraw Hill,
1989). The calculation makes use of the definition of the ideal gas heat capacity
of chemical species i in polynomial form:
X
4
Cpi ¼ Cp1,i þ Cp2,i T þ Cp3,i T 2 þ Cp4,i T 3 ¼ Cpik T k1 ð7:11Þ
k¼1
The question that we need to answer is how, for any given chemical species, to
calculate ΔGof,T , i.e., the standard Gibbs free energy of formation at temperature
T, if ΔGof,T r is known, i.e., the standard Gibbs free energy of formation at the
reference temperature Tr ¼ 298.15 K. The answer is given by the van’t Hoff
equation:
Z
ΔGof,T ΔGof,T r T Δhof,T
¼ dT ð7:12Þ
RT RT Tr RT 2
where:
X Z T X
4
Δhof,T ¼ vi Δhof,T r ,i þ ΔCpk T k1 dT ð7:13Þ
i T r k¼1
P
where ΔCpk ¼ i vi ΔCpki , and vi are the stoichiometric numbers for the
formation reaction of species i from the elements in the naturally occurring
molecular form at the standard state (298.15 K and 1 bar). By taking these into
consideration, Eq. (7.13) can be written as:
X
4
Δhof,T ¼ Δhof,T r þ ΔCpk T k1
k¼1
or:
ΔCp2 2 ΔCp3 3 ΔCp4 4

Δhof,T ¼ J þ ΔCp1 T þ T þ T þ T ð7:14Þ
2 3 4
where J is a constant that can be calculated from the known pair of data:
T r , Δhof,T r . We finally substitute (7.14) into (7.13) to obtain:

ΔGof,T J 1 ΔCp2 ΔCp3 2 ΔCp4 3
¼ ΔCp1 ln T þ Tþ T þ T I ð7:15Þ
RT RT R 2 6 12
The final equation involves two integration constants J and I which are deter-
mined by applying Eqs. (7.14) and (7.15) for the reference temperature
Tr ¼ 298.15 K, for which values of Δhof,T r and ΔGof,T r are available in tables of
thermodynamic data.
7.4 Optimal Design of a Methanol-Water Distillation Column 317
Fig. 7.3 Catalytic steam

reforming of ethanol
problem
Table 7.4 Experimental data for the catalytic (30% Ni/ZrO2) steam reforming of ethanol
Temperature mol H2/mol mol CO/mol mol CO2/mol mol CH4/mol
( C/K) EtOH EtOH EtOH EtOH
400/673.15 2.1 0.58 0.54 0.63
450/723.15 3.1 0.38 1.05 0.51
500/773.15 3.8 0.33 1.14 0.45
550/823.15 4.4 0.39 1.25 0.36
600/873.15 5.2 0.49 1.28 0.23
650/923.15 5.8 0.54 1.35 0.12
Data from Biswas & Kunzru, International Journal of Hydrogen Energy, 32, pp. 969–980, 2007
We will study the case study of the catalytic steam reforming of ethanol at
high temperatures (see Fig. 7.3) for which experimental results are available
and are summarized in Table 7.4. The GAMS file that solves this problem is
based on Formulation (7.10), and most of its lines implement Eqs. (7.11)–
(7.13). The GAMS file is given in Table 7.5. The results of the optimization
model are compared to the experimental results in Fig. 7.4. The agreement is
considered satisfactory.
7.4 Optimal Design of a Methanol-Water Distillation

Column
Distillation is arguably the most important separation process in chemical

engineering. It is a separation process that is based on the generation of a
new phase, by thermal means, which is enriched in the most volatile compo-
nents. By stacking many equilibrium trays together (cascade), in which vapor
and liquid phases are in equilibrium, high purities can be achieved. To discover
the cost-optimal design for a given separation is not a trivial task as it involves,
among others, the selection of the optimal number of trays, the optimal
location of the feed tray, and the selection of the optimal reflux ratio.
Table 7.5 GAMS program for the catalytic steam ethanol reforming problem
$ TITLE Chemical Equilibrium

Options optcr=1e-8;Options optca=1e-8;
SET i components
/O2,C,H2,H2O,CO,CO2,CH4,C2H4,CH3CH2OH,CH3CHO,CH3COCH3/
k elements /C, H, O/
m equation for cp /1*4/
TEMP /1*26/;
ALIAS(i,ip);
* units kJ per kmol

PARAMETER Dhfig(i) / O2 = 0
C = 0
H2 = 0
H2O = -241835
CO = -110530
CO2 = -393510
CH4 = -74894
C2H4 = 52510
CH3CH2OH = -234950
CH3CHO = -166200
CH3COCH3 = -215700/;
PARAMETER Dgfig(i) / O2 = 0
C = 0
H2 = 0
H2O = -228614
CO = -137160
CO2 = -394380
CH4 = -50450
C2H4 = 68430
CH3CH2OH = -167730
CH3CHO = -133302
CH3COCH3 = -151200/;
TABLE Cp(i,m) heat capacity polynomial in kJ per kmol K
* cp1 cp2 cp3 cp4
1 2 3 4
O2 28.110 -3.6800E-06 1.7460E-05 -1.0650E-08
C -10.352 9.2635E-02 -1.0577E-04 4.4127E-08
H2 27.140 9.2740E-03 -1.3810E-05 7.6450E-09
H2O 32.240 1.9240E-03 1.0550E-05 -3.5960E-09
CO 30.870 -1.2850E-02 2.7890E-05 -1.2720E-08
CO2 19.800 7.3440E-02 -5.6020E-05 1.7150E-08
CH4 19.250 5.2130E-02 1.1970E-05 -1.1320E-08
C2H4 3.806 1.5660E-01 -8.3480E-05 1.7550E-08
CH3CH2OH 9.014 2.1410E-01 -8.3900E-05 1.3730E-09
CH3CHO 17.531 1.3239E-01 -2.1550E-05 -1.5900E-08
CH3COCH3 6.301 2.6060E-01 -1.2530E-04 2.0380E-08 ;
TABLE A(k,i) elements in species
O2 C H2 H2O CO CO2 CH4 C2H4 CH3CH2OH CH3CHO CH3COCH3
C 0 1 0 0 1 1 1 2 2 2 3
H 0 0 2 2 0 0 4 4 6 4 6
O 2 0 0 1 1 2 0 0 1 1 1;
TABLE Stoich_f(i,ip) stoichiometric table of formation reactions
O2 C H2 H2O CO CO2 CH4 C2H4 CH3CH2OH CH3CHO
CH3COCH3
O2 0 0 0 0 0 0 0 0 0 0 0
C 0 0 0 0 0 0 0 0 0 0 0
H2 0 0 0 0 0 0 0 0 0 0 0
H2O -0.5 0 -1 +1 0 0 0 0 0 0 0
CO -0.5 -1 0 0 +1 0 0 0 0 0 0
CO2 -1 -1 0 0 0 +1 0 0 0 0 0
CH4 0 -1 -2 0 0 0 +1 0 0 0 0
C2H4 0 -2 -2 0 0 0 0 +1 0 0 0
(continued)
CH3CH2OH -0.5 -2 -3 0 0 0 0 0 +1 0 0
CH3CHO -0.5 -2 -2 0 0 0 0 0 0 +1 0
CH3COCH3 -0.5 -3 -3 0 0 0 0 0 0 0 +1 ;
SCALAR T /1000/; SCALAR Tr /298.15/; SCALAR Rg /8.314/;
PARAMETER DHf, DGf, Dcp(i,m), lnKeq, Jc, Ic, DGf_RT;
DHf(i) = sum(ip, Stoich_f(i,ip)*Dhfig(ip) ); Display DHf;
DGf(i) = sum(ip, Stoich_f(i,ip)*Dgfig(ip) ); Display DGf;
Dcp(i,m) = sum(ip, Stoich_f(i,ip)*Cp(ip,m) ) ; Display Dcp;
lnKeq(i) = -DGf(i)/(Rg*Tr); Display lnKeq;
Jc(i) = DHf(i) - sum(m,Dcp(i,m)*Tr**ord(m)/ord(m)); Display Jc;
Ic(i)=lnKeq(i)+Jc(i)/(Rg*Tr)-
(cp(i,'1')*log(Tr)+Dcp(i,'2')*Tr/2+Dcp(i,'3')*Tr**2/6+Dcp(i,'4')*Tr**3
/ 12)/Rg;
DGf_RT(i)= -(Ic(i)*Rg-
Jc(i)/T+(Dcp(i,'1')*log(T)+Dcp(i,'2')*T/2+Dcp(i,'3')*T**2/6+Dcp(i,'4')
*T**3/ 12))/Rg;
**************8 MOLE H2O per MOLE of CH3CH2OH are fed to the reactor
Parameter Water_2_EtOH_Ratio /8/;
Parameter b0; b0(k) = A(k,'CH3CH2OH')+A(k,'H2O') *
Water_2_EtOH_Ratio;
POSITIVE VARIABLES n(i), NT;

VARIABLES ObjFun;
EQUATIONS ELEM_BAL, TOTAL_MOLE, Objective;

ELEM_BAL(k).. sum(i,a(k,i)*n(i))=E=b0(k);
TOTAL_MOLE.. sum(i,n(i))=E=NT;
Objective.. ObjFun=E=sum(i,n(i)*DGf_RT(i))+sum(i,n(i)*log(n(i)))-
NT*log(NT);
* INITIAL VALUES AND BOUNDS

n.lo(i)=1e-6; NT.lo=sum(i,n.lo(i));
n.up('O2') = (1+1*Water_2_EtOH_Ratio)/2;
n.up('C') = 1e-6; n.up('H2')= (6+2*Water_2_EtOH_Ratio)/2;
n.up('H2O') = Water_2_EtOH_Ratio+1;
n.up('CO')=2; n.up('CO2') = 2;
n.up('CH4') = 2; n.up('C2H4') = 1;
n.up('CH3CH2OH') = 1; n.up('CH3CHO') = 1;
n.up('CH3COCH3') =2/3; NT.up=sum(i,n.up(i));
n.l(i) = n.lo(i); n.l('H2O')=Water_2_EtOH_Ratio;
n.l('CH3CH2OH')=1; NT.l =sum(i,n.l(i));
ObjFun.l = sum(i,n.l(i)*DGf_RT(I))+sum(i,n.l(i)*log(n.l(i)))-
NT.l*log(NT.l);
MODEL CHEM_EQUILIBRIUM /ALL/;

OPTION NLP=BARON;
SOLVE CHEM_EQUILIBRIUM USING NLP MINIMIZING ObjFun;
file ChReaEq /ChReaEq.m/;

PUT ChReaEq ;
PUT #1@7'TEMP ',#1@17 'H2',#1@27 'H2O', #1@37 'CO',#1@47 'CO2',#1@57
'CH4', #1@67 'C2H4',#1@77 'CH3CH2OH',#1@87 'CH3CHO',#1@97 'CH3COCH3',
#1@107 'NT' /;
loop(TEMP, T = 273.15+390+10*ord(TEMP);
DGf_RT(i)= -(Ic(i)*Rg-
Jc(i)/T+(Dcp(i,'1')*log(T)+Dcp(i,'2')*T/2+Dcp(i,'3')*T**2/6+Dcp(i,'4')
*T**3/12))/Rg;
SOLVE CHEM_EQUILIBRIUM USING NLP MINIMIZING ObjFun;
PUT
T:10:4,n.l('H2'):10:4,n.l('H2O'):10:4,n.l('CO'):10:4,n.l('CO2'):10:4,
n.l('CH4'):10:4,n.l('C2H4'):10:4,n.l('CH3CH2OH'):10:4,n.l('CH3CHO'):10
:4,n.l('CH3COCH3'):10:4,Nt.l:10:4/; );
PUTCLOSE ChReaEq;
Fig. 7.4 Comparison of experimental data and model predictions (continuous lines) for the
catalytic steam reforming of ethanol
To take structural alternatives, which involve different number of trays and

different feed locations, into consideration, Viswanathan and Grossmann (Com-
puters and Chemical Engineering, 17(9), pp. 949–955, 1993) have proposed the
“superstructure” presented in Fig. 7.5a. The column has a feed stream that is
fed at a fixed tray (floc). A number of potential trays are postulated for the
rectifying section (section above the feed and below condenser), and each tray
on this section is a candidate position for returning the reflux.
Reflux is assumed to return to one tray only. The exact tray at which the
reflux is returned denotes the end (top) tray of the column. The trays that are
above this tray are nonexistent trays in the design selected.
In the same manner, a number of potential trays are postulated for the
stripping section (section below the feed and above the reboiler). The boilup is
assumed to return to a single tray. The tray that the boilup is fed to the column
denotes the first tray inside the column, and all trays below that tray are
nonexistent trays in the design selected. In this way, we select the number of
existent equilibrium stages in our design and the position of the feed tray.
Fig. 7.5 Structure and Qcond, Acond

notation used in the
distillation column 30 con
optimization where (a) the
complete column, and (b)
a single tray 29 REF i D
28
27
26
25
24
23
22
21
20
abovef 19
18
17
16
15
14
13
12
F 11
z 10
floc
T 9
8
7
6
below 5
4
3
2
BU i
reb
1
Qrebd, Areb
(a)
(b)
To develop the optimization model use is made of the following standard

notation (index j denotes the component, j 2 {1,2,. . .,NC}, and index i denotes
the tray i 2 {1,2,. . .,NF,. . .,NT}, 1 ¼ reboiler, NT ¼ condenser, and NF ¼ feed
tray; {2,3,. . .,NF 1} is the section below the feed, and {NF þ 1,NF þ 2,. . .,
NT 1} is the section above the feed):
Li: molar flow rate of the liquid stream coming out from tray i
Vi: molar flow rate of the vapor stream coming out from tray i
ti: temperature on tray i
xi,j: molar fraction of component j on tray i-liquid phase
yi,j: molar fraction of component j on tray i-vapor phase
hL,i: specific enthalpy of the liquid on tray i
hV,i: specific enthalpy of the vapor on tray i
REFi: molar flow rate of reflux fed on tray i
BUi: molar flow rate of boilup fed on tray i
Using this notation, we may write the overall material balance, the compo-
nent material balances, and the energy balance for each tray:
i ¼ 1 (reb):
X
NF1
Liþ1 ¼ Li þ BUk
k¼2
!
X
NF1
Liþ1 xiþ1,j ¼ Li xi,j þ BUk yi,j
k¼2
!
X
NF1
Liþ1 hL,iþ1 þ Qreb ¼ Li hL,i þ BUk hV,i
k¼2
i ¼ 2,. . .,NF 1 (belowf):
Liþ1 þ V i1 þ BUi ¼ Li þ V i

Liþ1 xiþ1,j þ V i1 yi1,j þ BUi y1,j ¼ Li xi,j þ V i yi,j
Liþ1 hL,iþ1 þ V i1 hV,i1 þ BUi hV,1 ¼ Li hL,i þ V i hV,i
i ¼ NF (floc):
Liþ1 þ V i1 þ F ¼ Li þ V i
Liþ1 xiþ1,j þ V i1 yi1,j þ Fzf,j ¼ Li xi,j þ V i yi,j
Liþ1 hL,iþ1 þ V i1 hV,i1 þ Fhf ¼ Li hL,i þ V i hV,i
i ¼ NF þ 1, . . ., NT 1 (abovef):
Liþ1 þ V i1 þ REFi ¼ Li þ V i

Liþ1 xiþ1,j þ V i1 yi1,j þ REFi xNT,j ¼ Li xi,j þ V i yi,j
Liþ1 hL,iþ1 þ V i1 hV,i1 þ REFi hL,NT ¼ Li hL,i þ V i hV,i
i ¼ NT (con):
X
NT 1
V i1 ¼ D þ REFk
k¼NFþ1
!
X
NT1
V i1 yi1,j ¼ Dxi,j þ REFk xi,j
k¼NFþ1
!
X
NT1
V i1 hV,i1 Qcond ¼ DhL,i þ REFk hL,i
k¼NFþ1
The model is completed when we add the vapor-liquid equilibrium model

(in our case, an activity model is assumed to be valid):
yi,j Pi ¼ γ i,j xi,j Psat

j ðT i Þ
X
NC X
NC
xi,j ¼ yi,j ¼ 1
j¼1 j¼1
where γ i, j is the activity coefficient of component j on tray i which is a function

of the liquid composition and temperature. Finally, we need also to add
equations for the calculation of the specific enthalpy of the vapor and liquid,
the activity coefficients, the saturation pressures, and any other
thermophysical property that is necessary.
To handle the structural decision relative to the number of trays in the
stripping and the rectifying section, we define the binary variables zi 2 {0, 1}
and the following linear inequalities:
0 REFi REFU zi , 8i ¼ fNF þ 1, NF þ 2, . . . , NT 1g

X
NT1
zi ¼ 1
I ¼NFþ1
0 BUi BUU zi , 8i ¼ f2, 3, . . . , NF 1g

X
NF1
zi ¼ 1
I¼2
REFU and BUU are upper bound on the corresponding variables. These con-
straints ensure that only one z is equal to 1, and all others are equal to 0 in both
the stripping and the rectifying sections. The trays for which zi ¼ 1 define the
first and the last tray of the column.
To present an application of the model, we consider the case of an equimolar

mixture of methanol (Me) and water (W) with molar flow rate F ¼ 100 kmol/h
available as liquid close to its saturation temperature Tf ¼ 72.6 C and atmo-
spheric pressure (P ¼ 101.3 kPa). Our aim is to separate the mixture into a top
product which is at least 98% by mole in methanol and a bottoms product that
contains no more than 2% by mol methanol. For this binary mixture, the Van
Laar model can be used for calculating the activity coefficient:
2
AW,Me xW
ln γ Me ¼ AMe,W
AMe,W xMe þ AW,Me xW
2
AMe,W xMe
ln γ W ¼ AW,Me
AMe,W xMe þ AW,Me xW
where AMe,W ¼ 0.7989 and AW,Me ¼ 0.5625. The saturation pressure of the two
components is calculated using the Antoine equation (temperature in C and
pressure in kPa):
3644:297
ln PsMe ¼ 16:5938
T þ 239:765
3799:887
ln PsW ¼ 16:262
T þ 226:346
To calculate the cost optimal solution, we minimize the following approxi-

mate total annual cost:

TAC ¼ CCF F BM C equip þ t y Qreb clps þ Qcond ccw
where: TAC is an approximate total annual cost ($); CCF is the capital charge
factor (selected 1/3); FBM is the installed equipment cost factor; ty is the
operating time (8322 h/y); clps is the unit cost of the low-pressure steam
(14.05 $/GJ); ccw is the unit cost of the cooling water (0.354 $/GJ); Cequip is
the purchase cost of the column, trays, and the heat exchangers.
The purchase cost of the column (ccol), trays (ctray), and heat exchangers
(che) is calculated through the Guthrie’s correlations (in $@1968):
C col ¼ 935:5 H 0:81

c D1:05
c , Hc , Dc in m
0:97
H
C tray ¼ 125:2 c D1:45
c
1:1
C he ¼ 477 A0:65 , A in m2
7.5 A Representative Optimal Control Problem 325
To transform the equipment cost into $@2020, an approximate factor of

5 (¼$@2020/$@1968) can be used. The installation factors correspond to
equipment constructed from stainless steel and are 5.5, 2.7, and 4.07 for the
column, trays, and heat exchangers, correspondingly. To determine the height
of the column Hc, we assume 0.61 m (2400 ) tray spacing and 10% extra space for
the bottom and top sections of the column. To determine the diameter, we
assume a vapor velocity of 0.6 m/s and that the net area of each tray is 90% of
the total area of the tray that is based on the tray diameter Dc.

Hc ¼ 1:1 N trays 1 0:61
2
πDc
0:6 0:9 ρV,i V i
4
The number of trays can be inferred from the values of the binary variables zi:
X
NT1 X
NF1
N trays ¼ 1 þ i zi i zi
i¼NFþ1 i¼2
The model is now complete, and based on this model, a GAMS program is
developed to solve the methanol-water separation problem. The model is
presented in Table 7.6. The solution of the problem gives the optimal design
shown on Fig. 7.6. The column has 18 equilibrium stages (including the
reboiler), a diameter of 1.282 m, and a height of 10.746 m. The reflux ration
is 0.806, the reboiler duty is 3,275.95 MJ/h, and the condenser duty is
3221.19 MJ/h. The overall approximate TAC is $518,731.8 and is dominated
by the utilities cost which is $392,527.6 (75.6% of TAC).
7.5 A Representative Optimal Control Problem
All problems that we have studied in this book involved an underlying math-
ematical description that consists of algebraic equalities and inequalities.
However, there are important problems in chemical engineering in which the
performance of a systems is described by ordinary differential equations
(ODEs) or partial differential equations (PDEs) or a combination of differential
equations and algebraic equations (DAEs). The fact that differential equations
are involved in the description of the behavior of certain systems complicates
the solution of the optimization problems. This is due to the fact that the ODEs,
PDEs, or DAEs need first to be transformed into algebraic equations in order
for the problem to be posed in the general frameworks that have been
presented so far. An additional complication that arises is due to the fact that
the optimization variables can be a function of the independent variables (time
or space) and the size of the corresponding optimization variable vector is
infinite.
Table 7.6 GAMS program for the methanol-water distillation column design
$Ontext
Methanol-Water Distillation Column
$Offtext
OPTION OPTCR=1E-6;
OPTION OPTCA=1E-6;
SETS j components / Me , W /
i stages / 1*30 /
reb(i) reboiler
con(i) condenser
col(i) stages in the col
floc(i) location of the feed stage / 10 /
abovef(i) stages above the feed stage
belowf(i) feed stage and those below it ;
reb(i) = yes$(ord(i) eq 1) ;
con(i) = yes$(ord(i) eq card(i)) ;
col(i) = yes - (reb(i)+con(i)) ;
belowf(i) = yes $ ( (ord(i) le 9 ) and (ord(i) ge 2 ) );
abovef(i) = yes $ ( (ord(i) ge 11 ) and (ord(i) le 29 ) );
ALIAS (i,k);
* ANTOINE EQ CONSTANTS logPs[kPa] = A-B/(C+T[degC])

PARAMETER A(j) / Me 16.5938, W 16.262 /;
PARAMETER B(j) / Me 3644.2970, W 3799.887 /;
PARAMETER C(j) / Me 239.7650, W 226.346 /;
* LIQUID ENTHALPY POLYNOMIAL hL[kJ/kmol]= (HL1+HL2*T[degC]

)*T[degC]
PARAMETER HL1(j) / Me 72.35, W 73.10/;
PARAMETER HL2(j) / Me 0.16077, W 0.01507/;
*LIQUIDENTHALPY POLYNOMIAL hV[kJ/kmol]=HV0+(HV1+HV2*T)*T[degC]

PARAMETER HV0(j) / Me 40528.2, W 45175.6/;
PARAMETER HV1(j) / Me -4.737, W 27.507/;
PARAMETER HV2(j) / Me 0.16077, W 0.01507/;
PARAMETER zf(j) mole fractions in feed /Me 0.5, W 0.5/;

PARAMETER p(i) pressure in tray i (kPa);
p(i) = 101.3;
SCALARS F feed molar flowrate in kmol per h

tf temperature of the feed (in deg C)
hf specific enthalpy of feed in MJ per kmol
AMW vanLaar constant
AWM vanLaar constant
Rg Ideal gas constant (m3 kPa per kmol K)
pi;
F = 100 ;
tf = 72.6;
hf = sum(j,zf(j)*( Hl1(j)*tf + Hl2(j)*tf*tf ))/1E3;
AMW= 0.7989;
AWM= 0.5625;
Rg=8.3143;
pi=3.1416;
(continued)
DISPLAY reb, con, floc, abovef, belowf, col;

DISPLAY A,B,C,Hl1,Hl2,Hv0,Hv1,Hv2,zF,p,F,tf,hf,AMW,AWM;
POSITIVE VARIABLES
x(i,j) mole-fr of j-th component in liquid on i-th tray.
y(i,j) mole-fr of j-th component in vapour on i-th tray
gama(i,j) activity of j-th component in liquid on i-th tray
L(i) flowrate of liquid leaving tray i (kmol per h)
V(i) flowrate of vapour leaving tray i (kmol per h)
t(i) temperature of tray i (degC)
REF(i) reflux molar flowrate entering tray i (kmol per h)
BU(i) boilup molar flowrate entering tray i (kmol per h)
D top product molar flow rate (kmol per h)
RefluxRatio reflux ratio
Qreb heat load of the reboiler (MJ per h)
Qcond heat load of the condenser (MJ per h)
termM(i) auxiliary (dummy) variable in the van Laar model
termW(i) auxiliary (dummy) variable in the van Laar model
densV(i) vapour density (kmol per m3)
Dc column diameter in m
Hc column height in m
Areb Heat transfer area in reboiler
Acond Heat transfer area in condenser
Ntrays number of equilibrium stages(reboiler plus trays)
UtlCost cost of utility steam in $ per y
EquipCost installed cost of column and trays in $ @ 1968
hl(i) molar sp.enthalpy of liquid on tray i in MJ per kmol
hv(i) molar sp.enthalpy of vapour on tray i in MJ per kmol;
VARIABLES cost
ObjFun;
BINARY VARIABLES
z(i) return tray (z=1) of reflux OR reboil;
EQUATIONS tmbr(i) total material balance reboiler

tmbbf(i) total material balance below feed
tmbf(i) total material balance at feed
tmbaf(i) total material balance above feed
tmbc(i) total material balance condenser
cmbr(i,j) component material balance reboiler

cmbbf(i,j) component material balance below feed
cmbf(i,j) component material balance at feed
cmbaf(i,j) component material balance above feed
cmbc(i,j) component material balance condenser
ebr(i) enthalpy balance reboiler

ebbf(i) enthalpy balance below feed
ebf(i) enthalpy balance at feed
ebaf(i) enthalpy balance above feed
ebc(i) enthalpy balance condenser
defrr reflux ration definition

xsum(i) sum of mole fractions equals to one
ysum(i) sum of mole fractions equals to one
(continued)
defhl(i) definition of hl(i)

defhv(i) definition of hv(i)
phe(i,j) phase equilibrium relation
DefTermW(i) van Laar model

DefTermE(i) van Laar model
DefgamaW(i) van Laar model
DefgamaE(i) van Laar model
DefdensV(i) vapor density

DefDiam(i) column diameter
DefNtray number of equlibrium stages
DefAcond calculate the condenser heat transfer
area
DefAreb calculate the reboiler heat transfer
area
DefColH calculate the height of the column
DefCost calculate the approximate TAC
DefCost1 calculate installed equipment cost
DefCost2 calculate utility cost
const1a reflux returns in only one tray only

const2a(i)
const1b boilup returns in one tray only

const2b(i)
purity1 top product purity

purity2 bottom's product purity;
tmbr(i)$reb(i).. L(i) + sum( k, BU(k)$belowf(k) ) =E= L(i+1);

tmbbf(i)$belowf(i).. L(i)+V(i)-L(i+1)-V(i-1) - BU(i)=E=0;
tmbf(i)$floc(i).. L(i)+V(i)-L(i+1)-V(i-1)-F=E= 0 ;
tmbaf(i)$abovef(i).. L(i)+V(i)-L(i+1)-V(i-1)-REF(i)=E=0;
tmbC(i)$con(i).. D+sum(k,REF(k)$abovef(k))=e=V(i-1);
cmbr(i,'Me')$reb(i).. L(i+1)*x(i+1,'Me') =E=

L(i)*x(i,'Me')+sum(k,BU(k)$belowf(k))*y(i,'Me');
cmbbf(i,'Me')$belowf(i).. L(i)*x(i,'Me') + V(i)*y(i,'Me') =E=

L(i+1)*x(i+1,'Me')+V(i-1)*y(i-1,'Me')+BU(i)*y('1','Me');
cmbf(i,'Me')$floc(i).. L(i)*x(i,'Me') + V(i)*y(i,'Me') =E=

L(i+1)*x(i+1,'Me') + V(i-1)*y(i-1,'Me') + F*zf('Me');
cmbaf(i,'Me')$abovef(i).. L(i)*x(i,'Me') + V(i)*y(i,'Me') =E=

L(i+1)*x(i+1,'Me') + V(i-1)*y(i-1,'Me') + REF(i)*x('30','Me');
cmbC(i,'Me')$con(i).. ( D
+sum(k,REF(k)$abovef(k)))*x(i,'Me')=E= V(i-1)*y(i-1,'Me');
ebr(i)$reb(i).. L(i)*hl(i) +sum(k, BU(k)$belowf(k)

)*hv(i)=E=L(i+1)*hl(i+1)+ Qreb ;
ebbf(i)$belowf(i).. L(i)*hl(i) + V(i)*hv(i) =E=

L(i+1)*hl(i+1)+ V(i-1)*hv(i-1)+ BU(i)*hv('1');
(continued)
ebf(i)$floc(i).. L(i)*hl(i) + V(i)*hv(i) =E=

L(i+1)*hl(i+1) + V(i-1)*hv(i-1) + F*hf ;
ebaf(i)$abovef(i).. L(i)*hl(i) + V(i)*hv(i) =E=

L(i+1)*hl(i+1)+V(i-1)*hv(i-1)+REF(i)*hl('30');
ebC(i)$con(i).. (D + sum(k,REF(k)$abovef(k)) )*hl(i) =E=

V(i-1)*hv(i-1) - Qcond ;
defrr.. RefluxRatio * D =E= sum( k,REF(k)$abovef(k) );
xsum(i).. sum(j,x(i,j)) =e= 1;

ysum(i).. sum(j,y(i,j)) =e= 1;
defhl(i).. 1E3 * hl(i) =E=

sum(j,( (HL1(j)+HL2(j)*t(i))*t(i))*x(i,j));
defhv(i).. 1E3 * hv(i) =E=

sum(j,(Hv0(j)+(HV1(j)+HV2(j)*t(i))*t(i))*y(i,j));
phe(i,j).. y(i,j)* p(i) =E=

x(i,j)*gama(i,j) * exp(A(j)-B(j)/(C(j)+t(i)));
DefTermW(i)..
termM(i)*(AMW*x(i,'Me')+AWM*x(i,'W'))=E=AWM*x(i,'W');
DefTermE(i)..
termW(i)*(AMW*x(i,'Me')+AWM*x(i,'W'))=E=AMW*x(i,'Me');
DefgamaW(i).. gama(i,'Me') =E= exp( AMW * termM(i) * termM(i) );
DefgamaE(i).. gama(i,'W') =E= exp( AWM * termW(i) * termW(i) );
DefdensV(i)$col(i).. densV(i) * (t(i)+273.15) =E= p(i)/Rg;

DefDiam(i)$col(i).. (3600*0.6)*densV(i)*(0.9 * pi *
Dc*Dc/4)=g=V(i);
DefNtray.. Ntrays =e= sum(i,ord(i)*z(i)$abovef(i))
-sum(i,ord(i)*z(i)$belowf(i))+1;
DefColH.. Hc =g= 0.61*(Ntrays-1)*1.1;
DefAcond.. (Qcond/3.6) =E= Acond*1*(t('30')-25);

DefAreb.. (Qreb/3.6) =E= Areb *1*(160-t('1'));
DefCost.. cost=E=(1/3) *(600/120)* EquipCost + UtlCost;

DefCost1.. EquipCost =E= 5.50*935.6*Hc**0.81 *Dc**1.05
+
2.70*125.2*(Hc/1.1)**0.97*Dc**1.45
+ 4.07*477*Areb**0.65
+ 4.07*477*Acond**0.65;
DefCost2.. UtlCost =E=( 14.050 * Qreb /1e+3

+ 0.354 * Qcond/1e+3 )*365*24*0.95;
const1a.. sum(i$abovef(i),z(i)) =e= 1 ;
const2a(i)$abovef(i).. REF(i) =l= z(i)*F;
const1b.. sum(i$belowf(i),z(i)) =e= 1 ;
const2b(i)$belowf(i).. BU(i) =l= z(i)*(2*F) ;
(continued)
purity1.. x('30','Me') =g= 0.98;
purity2.. x('1' ,'Me' )=l= 0.02;
* BOUNDS AND INITIAL VALUES

t.lo(i)=-C('Me')+B('Me')/(A('Me')-log(p(i)));
t.up(i)=-C('W')+B('W')/(A('W')-log(p(i))) ;
t.l(i)=t.up(i)-(t.up(i)-t.lo(i))*(ord(i)-1)/(card(i)-1);
x.l(i,'W') = 0.98-0.96*(ord(i)-1)/(card(i)-1);
x.l(i,'Me')=1-x.l(i,'W'); x.up(i,j)=1; y.up(i,j)=1;
gama.l(i,'Me')=exp(AMW*(AWM*x.l(i,'W')
/(AMW*x.l(i,'Me')+AWM*x.l(i,'W')))**2);
gama.l(i,'W')
=exp(AWM*(AMW*x.l(i,'Me')/(AMW*x.l(i,'Me')+AWM*x.l(i,'W')))**2
);
gama.lo(i,J)=1; gama.up(i,J)=3;
termM.up(i)=1;termW.up(i)=1;
y.l(i,j) = x.l(i,j) * gama.l(i,j) * exp(A(j)-B(j)/(C(j)+t.l(i)))
/p(i);
hv.l(i)=40; hl.l(i)=10;
D.l=F/zf('Me'); L.l('1')=F-D.l;
RefluxRatio.l =0.8; RefluxRatio.lo=0.25; RefluxRatio.up=2;
L.l(i)$abovef(i)=RefluxRatio.l*D.l;
L.l(i)$belowf(i)=RefluxRatio.l*D.l+F;
L.l(i)$floc(i) =RefluxRatio.l*D.l+F;
V.l(i)$abovef(i)=(1+RefluxRatio.l)*D.l;
V.l(i)$belowf(i)=(1+RefluxRatio.l)*D.l;
V.l(i)$floc(i) =(1+RefluxRatio.l)*D.l;
Qcond.lo=1E2; Qcond.up=1E5; Qcond.l=3.2E3;

Qreb.lo =1E2; Qreb.up=1E5; Qreb.l=3.2E3;
Acond.lo=1;Acond.up=1000;Acond.l=10;
Areb.lo=1 ;Areb.up=1000; Areb.l=10;
z.fx('10')=0; z.fx('1')=0; z.fx('30')=0;

z.l(i) =0;
L.fx('30')=0; V.fx('1')=0;
densV.L(i)=0.04;
Dc.lo=0.5; Dc.up=5; Dc.l=1;
Ntrays.lo=3; Ntrays.up=30; Ntrays.l=15;
Hc.lo=1; Hc.up=Ntrays.up*0.6*1.2; Hc.l=Ntrays.l*0.6*1.2;
EquipCost.l=100000; UtlCost.l=300000;
MODEL MeWDist /ALL/;
OPTIONS NLP=CONOPT4;
OPTIONS miNLP=SBB;
SOLVE MeWDist USING miNLP MinIMIZING cost;
30
D
29
28
27
26 REF
25
24
23
22
21
20
19
18
17
16
15
14
13
12
F=100 kmol/h 11
50% Me 10
Tf=72.6 9
8
7
6
5
4
3 BU
2
1
B
Fig. 7.6 Structure and notation used in the distillation column optimization
Fig. 7.7 A batch reactor

for the production of
product P
CR t
CP t Qt
Tt
To make these ideas clear to the reader, we consider the batch reactor of
Fig. 7.7. The reactor has a constant active volume V ¼ 1 m3 and is loaded
initially with the reactant R with initial concentration CR(0) ¼ 1 kmol/m3. The
reacting mixture has constant properties with ρCp ¼ 10 kJ/(m3 K). The reac-
tions that take place are:
R!P!B
k1 k2
where P is the desired product, B is a byproduct, and:

E 1
k 1 ¼ k 1,0 exp 1 ð7:16Þ
R T

E 1
k 2 ¼ k 2,0 exp 2 ð7:17Þ
R T
K1,0 ¼ 4000 (1/h)(m3/kmol), k2,0 ¼ 620,000 (1/h), E1/Rg ¼ 2500 K, and

E2/Rg ¼ 5000 K. T is the absolute temperature of the reacting mixture (in K).
The first reaction is second order with respect to CR and the second reaction
first order with respect to CP. Both reactions are endothermic with enthalpies
of reaction: Δhrxn,1 ¼ 3600 kJ/kmol and Δhrxn,2 ¼ 1800 kJ/kmol. The reactor
can be heated by an immersed 1 kW electrical resistance driven by a silicon
controlled rectifier (SCR) and can deliver heat at a rate up to 3600 kJ/h.
The mathematical model of the batch reactor consists of the material bal-
ances for components R and P and the energy balance of the reactor (it is
reminded that the reactor volume and all properties are constant):
dC R ðt Þ
r 1 ðt Þ ð7:18Þ
dt
dC P ðt Þ
¼ r 1 ðt Þ r 2 ðt Þ ð7:19Þ
dt
dT ðt Þ ðΔHrxn,1 Þ ðΔH rxn,2 Þ Qðt Þ
¼ r 1 ðt Þ þ r 2 ðt Þ þ ð7:20Þ
dt ρC p ρC p ρC p V

E 1
r 1 ðt Þ ¼ k1,0 exp 1 C 2 ðt Þ ð7:21Þ
R T ðt Þ R

E 1
r 2 ðt Þ ¼ k 2,0 exp 2 C ðt Þ ð7:22Þ
R T ðt Þ P
There are several constraints that the reacting mixture needs to satisfy in
order to ensure a safe operation:
298:15 T ðt Þ 398:15 K ð7:23Þ

0 QðT Þ 3600 kJ=h ð7:24Þ
If we fix the duration of the operation of the batch reactor to tf ¼ 1 h, then our

objective is to determine the heat transfer rate Q(t) that maximizes the final
concentration of the product:
max C P ðt f Þ ð7:25Þ
Qðt Þ, T ðt Þ, C R ðt Þ, C P ðt Þ
The problem that we have just presented has two main differences com-
pared with the problems that we have seen in all other applications. The first
one is due to the fact that all variables are defined for t 2 [0, tf] which is an
infinite dimensional set. The second one is that all variables are given implicitly
as the solution of the set of ODEs describing the problem. One method for
solving ODEs is to use finite differences (other methods, such as polynomial
approximations, are available, and although they are more accurate, they are
also much more complex to present). We consider a discretization of the time
domain, which is the independent variable, using n þ 1 equidistance nodes (see
Fig. 7.8). Node 1 corresponds to t ¼ 0 and node n þ 1 to t ¼ tf. Node
i corresponds to t ¼ (i 1)Δt, where Δt ¼ tnf is the distance between the
nodes. For the general ODE:
1 2 3 i–1 i i+1 n n+1
t=0 t=(i-1)Δt tf=nΔt
Fig. 7.8 Discretization of the solution domain using n þ 1 equidistance nodes

dx
¼ f ðx Þ ð7:26Þ
dt
the solution can be approximated by the following algebraic equation:
1 X
α x ¼ f ðx i Þ ð7:27Þ
βΔt j j j
Characteristic examples are the forward finite differences:
xiþ1 xi
¼ f ðx i Þ ð7:28aÞ
Δt
central finite differences:
xiþ1 xi1
¼ f ðx i Þ ð7:28bÞ
2Δt
backward finite differences:
xi xi1
¼ f ðx i Þ ð7:28cÞ
Δt
The accuracy of the forward and backward approximations is first order with
respect to Δt, while the accuracy of the central approximation is second order.
There are more complex but more accurate approximations such as the fol-
lowing (fourth-order accuracy):
xi2 8xi1 þ 8xiþ1 xiþ2

¼ f ðx i Þ ð7:28dÞ
12Δt
An alternative way to solve (7.26) is through numerical integration:
Ztiþ1
xiþ1 ¼ xi þ f ðxÞdt ð7:29Þ
ti
A characteristic example which combines acceptable accuracy and simplicity in

programming is the trapezoidal rule:
1
xiþ1 ¼ xi þ Δt ðf ðxi Þ þ f ðxiþ1 ÞÞ ð7:30Þ
2
In Table 7.7, a GAMS program is presented in which the trapezoidal rule is

used to transform the ODEs into algebraic equations. In addition, to improve
convergence, the following profile for the rate of heat input has been used:
Table 7.7 GAMS program for the dynamic optimization of the batch reactor
$ TITLE BATCH REACTOR DYNAMIC OPTIMIZATION PROBLEM
SETS j time points /1*201/

i states /R,P,T/
r reactions /RtoP,PtoB/;
SCALAR rhoCp density times heat capacity in kJ per m^3 K /10/;

SCALAR V reactor volume in m^3 /1/;
PARAMETER NP number of elements; NP=card(j)-1;

PARAMETER dt discetization ; dt=1/NP;
PARAMETER time(j); time(j)=(ord(j)-1)*dt;
PARAMETER Dhrxn(r) heats of reaction kJ per kmol
/ RtoP 3600
PtoB 1800/;
TABLE n(i,r) stoichiometric numbers

RtoP PtoB
R -1 0
P +1 -1
T 0 0;
VARIABLES C0 constant in profile of u

C1 constant in profile of u;
POSITIVE VARIABLES x(i,j) state variables
rate(j,r) reaction rates in kmol per h
u(j) scaled manipulated variable
Q(j) dimensionless heat rate profile;
VARIABLE f(i,j) rhs of differential equations
Obj objective function;
EQUATIONS eq1, eq2, eq3,eq4, eq5, eq6, eq7, eq8, ObjFun;
eq1(i,j)$(ord(j) ge 2).. x(i,j) =E= x(i,j-

1)+.5*dt*(f(i,j)+f(i,j-1));
eq2(j).. f('R',j) =E= -rate(j,'RtoP') ;
eq3(j).. f('P',j) =E= +rate(j,'RtoP') - rate(j,'PtoB');
eq4(j).. f('T',j)*rhoCp =E=
sum(r,(-Dhrxn(r))*rate(j,r))+Q(j)/V;
eq5(j).. rate(j,'RtoP') =E=
4000*exp(-2500/x('T',j))*x('R',j)**2;
eq6(j).. rate(j,'PtoB') =E=
620000*exp(-5000/x('T',j))*x('P',j);
eq7(j).. u(j) =E= C0*exp(-C1*time(j)) ;
eq8(j).. Q(j) =E= 3600*u(j);
ObjFun.. Obj =E= x('P','201');
* ----------------------------------------------------
* I N I T I A L G U E S S E S
* ----------------------------------------------------
* Known bounds
x.lo('R',j)=0; x.up('R',j)=1;
x.lo('P',j)=0; x.up('P',j)=1;
x.lo('T',j)=298.15; x.up('T',j)=398.15;
u.lo(j) = 0; u.up(j) = 1;
Q.lo(j) = 0; Q.up(j) = 3600;
(continued)
rate.lo(j,r)=0; rate.up(j,r)=10;
* Assume constant temperature profile
x.l('T',j)=350;
* Calculate concentrations using Eulers method
x.l('R',j+1)=x.l('R',j)-dt*4000*exp(-
2500/x.l('T',j))*x.l('R',j)**2;
x.l('P',j+1)=x.l('P',j)+dt*4000*exp(-
2500/x.l('T',j))*x.l('R',j)**2-
620000*exp(-5000/x.l('T',j))*x.l('P',j);
* Calculate rates and objective function
rate.l(j,'RtoP') = 4000*exp(-2500/x.l('T',j))*x.l('R',j)**2;
rate.l(j,'PtoB') = 620000*exp(-5000/x.l('T',j))*x.l('P',j);
Obj.l=x.l('P','201');
* -INITIAL CONDITIONS (temperature is free)
x.fx('R','1')=1;
x.fx('P','1')=0;
MODEL Batch_Reactor /ALL/ ;

options nlp=conopt4;
SOLVE Batch_Reactor USING NLP MAXIMIZING Obj;
Qð t Þ
¼ uðt Þ ¼ C 0 exp ðC 1 t Þ ð7:31Þ
Q max
This turns out to be a reasonable profile for the manipulated variable that is
easy to implement in practice. Other functional form, such as polynomial
functions of time:
Qð t Þ
¼ C0 þ C1t þ C2t2 þ . . . ð7:32Þ
Q max
are equally valid, but for this particular application, (7.31) is sufficient from the
practical point of view. It is interesting to note that we can also optimize the
value obtained by the manipulated variable at each node. This will always
result in an improved objective function, but numerical problems are expected,
while the practical application of such a sequence of numbers can be challeng-
ing in a real application.
When 201 nodes are used (Δt ¼ 1/200 ¼ 0.005), then the maximum
concentration of P that can be achieved is 0.60848860 (slightly smaller than
0.610071345 which is obtained when no specific profile is assumed). The
optimal manipulated input profile is given by (7.31) with C0 ¼ 1 and
C1 ¼ 1.32404288. The profiles of the concentrations, temperature, and heat
transfer rate are presented in Figs. 7.9, 7.10, and 7.11.
Fig. 7.9 Variation of the reactant (○) and product () concentration in the batch reactor
Fig. 7.10 Variation of the absolute temperature in the batch reactor

Fig. 7.11 Optimal heat transfer rate
An interesting extension of this case study arises when the rate of heat
transfer can only obtain discrete values. In the batch reactor case study, we
may investigate the case where the heat transfer rate can obtain four discrete
values:
kJ kJ kJ
Qðt Þ 2 0, 1200 , 2400 , 3600
h h h
This situation may arise when there are three independent, identical electrical
1/3 kW resistances installed in the reactor whose state is either on or off.
When none is active, Q ¼ 0. When any one is active, then Q ¼ 1200 kJ/h, while
when any two are active, Q ¼ 2400 kJ/h. When all are active, Q ¼ 3600 kJ/h.
The manipulated variable is now defined as a function of the binary vari-
ables y(k, s) where s 2 {1,2,3,4} is the set of states for the heat input and k is the
time interval over which the manipulated variable is assumed constant:
X
Qð k Þ ¼ Qs yðk, sÞ ð7:33aÞ
s2f1, 2, 3, 4g
7.6 Optimal Design of a Renewable Energy Production System 339
X
yðk, sÞ ¼ 1, 8k ð7:33bÞ
s2f1, 2, 3, 4g
In this case study, we consider that the heat input can be changed every 12 min
or 0.2 h, and it changes at the beginning of each interval and then remains
constant until the end of the time interval.
Given the fact that we have transformed the ODEs into nonlinear algebraic
equality constraints, the introduction of binary variables transforms our model
from an NLP model to a MINLP model. The GAMS model in Table 7.8 presents a
potential implementation of a representative mixed-integer, dynamic optimi-
zation problem. The reader must study the model carefully and to realize that
the model is developed by defining time intervals over which the input remains
constant and that the intervals are connected together by equating the values
of all differential variables at the end of each interval with their values at the
beginning of the next interval. The optimal profiles are presented in Figs. 7.12,
7.13, and 7.14. The objective function obtains the value of 0.60883088 (slightly
better than the one obtained with the control profile given by (7.31)).
7.6 Optimal Design of a Renewable Energy Production

System
The ever-increasing energy demand, our dependence on depleting fossil

resources, and their effects on the environment have become areas of major
concern. A strategy that can be used to tackle both problems is the use of
renewable energy sources (RES). Within this framework, the concept of a
“smart grid” has been re-invented. A smart grid system enables interaction
and inter-change of information between the power generation units and the
consumers which allow the optimal overall operation to be achieved by
increasing reliability, facilitating energy security, decreasing overall and indi-
viduals’ costs, and reducing environmental burden.
In this section, we will study the optimal design of a hybrid, smart RES
system consisting of (see Fig. 7.15):
• A wind turbine generator system
• A photovoltaic energy generator system
• A diesel generator system
• A battery bank system
• A connection to the national electricity grid
to satisfy in a cost-optimal way the electricity demand of a public building.
The electricity demand of the building PD(t) is shown in Fig. 7.16. Note that
the demand is given for 72 h, which corresponds to 3 representative days of a
calendar year. The first day (0–24 h) corresponds to a winter day and the third
Table 7.8 GAMS program for the dynamic optimization of the batch reactor—discrete
inputs
$ TITLE BATCH REACTOR DYNAMIC OPTIMIZATION PROBLEM WITH DISCRETE

INPUTS
option optcr=1e-8;
option optca=1e-8;
SETS k finite elements /1*5/
j nodes in each element /1*41/
i states /CR,CP,T/
r reactions /RtoP,PtoB/
s discrete Q states /1*4/;
SCALAR rhoCp density times heat capacity in kJ per m^3 K /10/;

SCALAR V reactor volume in m^3 /1/;
PARAMETER NP, dt; NP=(card(j)-1)*card(k); dt=1/NP;

PARAMETER time(j,k); time(j,k)=((ord(k)-1)*(card(j)-1)+ord(j)-
1)*dt;
PARAMETER Dhrxn(r) heats of reaction kJ per kmol
/ RtoP 3600
PtoB 1800/;
PARAMETER QS(s)/ 1 0, 2 1200, 3 2400, 4 3600/;
TABLE n(i,r)
RtoP PtoB
CR -1 0
CP +1 -1
T 0 0;
VARIABLES f(i,j,k), x(i,j,k), rate(j,r,k), Q(k), Obj;

BINARY VARIABLE y(k,s);
EQUATIONS
eq1(i,j,k),eq2(i,k),eq3(i,j,k),eq4(i,j,k),eq5(j,k),eq6(j,k),eq
7(k),eq8(k),
ObjFun;
eq1(i,j,k)$(ord(j) gt 1).. x(i,j,k)=E=
x(i,j-1,k)+.5*dt*(f(i,j,k)+f(i,j-1,k));
eq2(i,k)$(ord(k) gt 1).. x(i,'1',k) =E= x(i,'41',k-1);
eq3(i,j,k)$( ord(i) ne 3).. f(i,j,k) =E=
sum( r, n(i,r)*rate(j,r,k) );
eq4(i,j,k)$(ord(i) eq 3).. f(i,j,k)=E=
(( -DHrxn('RtoP')*rate(j,'RtoP',k)-
DHrxn('PtoB')*rate(j,'PtoB',k) )*V+Q(k))/(rhoCp*V);
eq5(j,k).. rate(j,'RtoP',k)=E=
4000*exp(-2500/x('T',j,k))*x('CR',j,k)**2;
eq6(j,k).. rate(j,'PtoB',k) =E=
620000*exp(-5000/x('T',j,k))*x('CP',j,k);
eq7(k).. Q(k) =e= sum(s, QS(s)*y(k,s) );
eq8(k).. sum(s,y(k,s)) =E= 1;
ObjFun.. Obj=e= x('CP','41','5');
* Known bounds
x.lo(i,j,k)=0;x.lo('T',j,k)=298;x.up(i,j,k)=1;
x.up('T',j,k)=398.15;
(continued)
rate.lo(j,r,k)=0; rate.up(j,r,k)=4000*exp(-2500/400);
Q.lo(k)=0; Q.up(k)=3600; Q.l(k)=0;
* Initial Conditions on the concentrations

x.fx('CR','1','1')=1; x.fx('CP','1','1')=0;
MODEL Ray_Reactor /ALL/ ;
options nlp=CONOPT4;
options mip=CPLEX;
OPTIONS minlp=sbb;
SOLVE Ray_Reactor USING MINLP MAXIMIZING Obj;
file BatchRea /BatchRea.m/

;
PUT BatchRea ;
PUT #1@5'Time ',#1@15 'CR',#1@27 'CP', #1@37 'T',#1@51 'Q' /;
loop((k,j),
PUT time(j,k):10:4,
x.l('CR',j,k):12:6,
x.l('CP',j,k):12:6,
x.l('T',j,k):12:6,
Q.l(k):8:0 /;
);
PUTCLOSE BatchRea;
Fig. 7.12 Variation of the reactant (○) and product () concentration in the batch reactor
for optimal operation with discrete input
Fig. 7.13 Variation of the absolute temperature in the batch reactor with discrete heat input
Fig. 7.14 Optimal heat transfer rate with discrete states

PD t
PS t
P t
PW t
PCB t
PDG t PDB t
Fig. 7.15 Case study on renewable energy production system
Fig. 7.16 Data on electricity demand for the public building (day 1 is a representative
working day in January, day 2 is a public holiday, and day is a working day in July)
day (48–72 h) to a summer day. Both these days are working days. A public
holiday (or weekend day) is also included (24–48 h) as weekends, or public
holidays account for almost 30% of a year. In a realistic application, data for a
whole year (8760 h) would have been used, but here we restrict attention to
3 representative days for clarity of presentation. As can be observed from
Fig. 7.16, electricity demand is increasing during the morning hours and
reaches a peak around midday. There is also a background electricity demand
which is around 70 kW in our case. The maximum power demand is
approximately 245 kW and takes place around midday of the third day. As data
are giver for each hour, we can use units of kW or kWh (this holds true only
when the data are available every hour).
The electricity demand of the building can be satisfied using the grid (PG(t))
as this is a public building connected to the national grid. However, this may
not be the cost optimal solution, or its environmental performance can be
deemed unsatisfactory. For that reason, electric power can be supplied directly
from the wind generators (PW(t)) or the PV system (PS(t)) or by the battery
(PBD(t)). If the renewable energy generators cannot meet the demand and the
grid is unavailable or using the grid is not the preferred solution, then the
diesel generator (PDG(t)) can be used. Any renewable energy that is produced
in excess of demand can be stored in the battery (PBC(t)). At any time, the
following constraint needs to be satisfied to achieve feasible operation of our
system:
PG ðt Þ þ PW ðt Þ þ PS ðt Þ þ PBD ðt Þ þ PDG ðt Þ PD ðt Þ þ PBC ðt Þ ð7:34Þ
The power supplied by the wind generator is usually expressed as:
PW ðt Þ ¼ PW,R f w ðuw ðt Þ, uR , ucin , ucout Þ ð7:35Þ
where PW,R is the rated power of the wind turbine and fw is the wind avail-
ability factor which is a function of the wind velocity at the wind turbine rotor
uW(t). fW is also a function of the rated wind velocity uR, the cut-in velocity ucin
(in the range of 2–4 m/s), and the cut-out velocity ucout (in the range of
25–35 m/s). These are characteristics of each wind turbine and are supplied
by the manufacturer. A general form of fW is the following:
8
>
> 0, uW ðt Þ ucin or uW ðt Þ ucout
>
< n
uW uncin
fw ¼ PW,R n , ucin < uW ðt Þ < uR ð7:36Þ
>
> uR uncin
>
:
PW,R , uR < uW ðt Þ < ucout
where n ¼ 1, 2, or 3 is usually selected. It is obvious from (7.36) that a wind

turbine operates only when the wind velocity is larger than ucin and smaller
than ucout. The power increases monotonically as the wind speed increases
above ucin up until it exceeds uR. It then delivers the rated power when uW > uR,
and finally, for safety reasons, the turbine is shut down for wind velocities
above ucout. For a given set of hourly data for the local wind velocity and a given
wind turbine, Eq. (7.36) is applied to determine fW.
The power supplied by the PV array generator is usually expressed as:
I ðt Þ
PS ðt Þ ¼ PS,R ð7:37Þ
IS
Fig. 7.17 Measured wind potential for the public building RES model optimization
Fig. 7.18 Measured solar radiation for the public building RES model optimization
where PS,R is the rated power of the solar PV array, Is is the incident radiation at
standard test conditions (1 kW/m2), and I(t) is the solar radiation incident on
the PV array (which is measured using specialized equipment). The measured
fW(t) and I(t) at the specific location of the public building under study are
presented in Figs. 7.17 and 7.18. The wind potential is not significant, while the
solar irradiation is significant during day 3 (summer day) and less significant
during day 1 (winter day).
For the diesel generator, the important characteristic is the dependence of
the diesel consumption Dcons on the diesel generator rated power PDG, R and the
electrical power output of the generator (PDG(t)):
Dcons ðt Þ ¼ d0 PDG,R þ d1 PDG ðt Þ, in L=h ð7:38Þ
where PDG,R is the rated power output of the diesel generator. d0 and d1 are
constants characteristic for each diesel generator.
The final element of the grid is the battery bank. Energy storage is vital to all
renewable energy systems as the wind potential and solar radiation are avail-
able for a limited time only, and energy storage is necessary to balance supply
and demand. The state of a battery is described by its State of Charge (SOC(t),
the level of charge of an electric battery relative to its capacity in kWh). A
simple power “balance” gives the following equation:

PBD ðt Þ
SOCðt þ 1Þ ¼ SOCðt Þ þ ηC PBC ðt Þ Δt ð7:39Þ
ηD
where ηC is the efficiency of charging and ηD the efficiency of discharging the

battery. To maintain good performance of the battery for its entire lifetime, the
Depth of Discharge must be maintained above 20% of its rated capacity:
0:2SOCR SOCðt Þ SOCR ð7:40Þ
For the same reason (to avoid damage of the battery), the rate of charging or
discharging of the battery is restricted to be less than 10% of its rated capacity:
1
0 PBC ðt Þ SOCR ð7:41aÞ
10
1
0 PBD ðt Þ SOCR ð7:41bÞ
10
As charging and discharging cannot take place simultaneously, we need to

introduce two binary variables: φ(t) which is equal to 1 when charging and ε(t)
which is equal to 1 when discharging. We then exclude the possibility of
simultaneous charging and discharging using the following linear constraints:
1
0 PBC ðt Þ SOCR ð7:42aÞ
10
0 PBC ðt Þ φðt ÞSOCR, max ð7:42bÞ
1
0 PBD ðt Þ SOCR ð7:42cÞ
10
0 PBD ðt Þ εðt ÞSOCR, max ð7:42dÞ
φð t Þ þ εð t Þ 1 ð7:42eÞ
φðt Þ, εðt Þ 2 f0, 1g ð7:42fÞ
We have up to this point presented all equations necessary to describe the

system dynamics for the time horizon of interest t ¼ 1,2,. . .,H (in our case
H ¼ 72 h). What remains to be done is the development of an appropriate cost
model. An appropriate approximate model is based on the calculation of the
annualized capital cost and the operating and maintenance cost. The overall
objective is:
X
Insti
Cost ¼ CCF UCi Pi,R λi þ
100
i2fW, S, DG, Bg
X Mi
þ UCi Pi,R ð7:43Þ
100
i2fW, S, DG, Bg
X 365 24
þ ðUCel PG ðt Þ þ UCDsl Dcons ðt ÞÞ
t
H
The first term in the rhs accounts for the annualized cost of installed
equipment (including equipment replacement). CCF is the capital recovery
factor. Pi,R is the rated power for the wind turbines (i ¼ W ), the PV cells
(i ¼ S), the diesel generator (i ¼ DG), or the rated capacity of the battery
bank (i ¼ B). When the rated power or capacity is multiplied by the unit
equipment cost (UCi, in $/kW rated or $/kWh rated) gives the purchase cost
of the particular equipment. To account for all costs incurring when installing
the equipment, an installation factor Insti is introduced for each type of
equipment. This factor gives the additional cost incurring when installing the
equipment as percentage of the purchase cost of the equipment. When the
equipment lifetime exceeds the lifetime of the project, then no replacement is
necessary, and λi ¼ 1. However, if the lifetime of the equipment LTi is smaller
than the lifetime of the project LTp, then replacement is necessary every LTi
years and:
1 1 1
λi ¼ 0LTi
þ 1LTi
þ ... þ
ð1 þ r Þ ð1 þ r Þ ð1 þ rÞkLTi
or:
X 1
λi ¼ ð7:44Þ
k¼0, 1, 2...:kLTi LTp ð 1 þ r ÞkLTi
The second term in the rhs accounts for the maintenance cost which we
simply assume that it is proportional to the purchase cost of the equipment
(many other options are available, but this is the simplest one).
The third term in the rhs accounts for the cost of electricity supplied by the
grid (UCel is the unit cost of electricity in $/kWh) and the cost of diesel
consumed by the diesel generator (UCDsl is the unit cost of diesel in $/L).
This term is multiplied by the ratio of the hours in a complete calendar year
over the time horizon of the model (in h). When data for a complete calendar
year is available, then H ¼ 365 24, and the ratio is equal to 1. We summarize
the complete model:
min
PG ðt Þ, PW ðt Þ, PS ðt Þ, PBD ðt Þ, PDG ðt Þ, PBC ðt Þ, SOCðt Þ, φðt Þ, εðt Þ
PDG,R , PW,R , PS,R , SOCR
X
Insti
Cost ¼ CCF UCi Pi,R λi þ
100
i2fW, S, DG, Bg
X Mi
þ UCi Pi,R
100
i2fW, S, DG, Bg
X 365 24
þ ðUCel PG ðt Þ þ UCDsl Dcons ðt ÞÞ
t
H
s:t:
9
PG ðt Þ þ PW ðt Þ þ PS ðt Þ þ PBD ðt Þ þ PDG ðt Þ PD ðt Þ þ PBC ðt Þ >
>
>
>
PW ðt Þ ¼ PW,R f w ðt Þ > >
>
>
>
>
>
I ðt Þ >
>
PS ðt Þ ¼ PS,R >
IS > >
>
>
>
Dcons ðt Þ ¼ d0 PDG,R þ d1 PDG ðt Þ > >
>
>
> >
>
PBD ðt Þ >
>
SOCðt þ 1Þ ¼ SOCðt Þ þ ηC PBC ðt Þ Δt > >
>
ηD >
>
>
>
=
PDG ðt Þ PDG,R
8t
>
>
0:2SOCR SOCðt Þ SOCR > >
>
>
>
>
0 PBC ðt Þ
1
SOCR > >
>
>
10 >
>
>
>
1 >
>
0 PBD ðt Þ SOCR > >
10 >
>
>
>
PBC ðt Þ φðt ÞSOCR, max > >
>
>
>
>
PBD ðt Þ εðt ÞSOCR, max > >
>
>
>
;
φð t Þ þ εð t Þ 1
PG ðt Þ, PW ðt Þ, PS ðt Þ, PBD ðt Þ, PDG ðt Þ, PBC ðt Þ, SOCðt Þ 0
PDG,R , PW,R , PS,R , SOCR 0
φðt Þ, εðt Þf0, 1g
An implementation of this mixed integer, linear programming model is given

in Table 7.9. All constants appearing in the model can be obtained from the
GAMS program to save space. The cost optimal design features a total annual
cost of $135,308.2 that corresponds to a unitary cost of 0.141 $/kWh. It only
uses a wind turbine with a rated capacity of 141.57 kW, and no PV cell array,
Table 7.9 GAMS program for the optimal energy management system case study
$ TITLE Renewable Energy Resource Design for Public Building

SET t time in h /1*72/ ;
PARAMETER PD(t) power demand in kW
I(t) solar irradiation in kW per square m
fw(t) wind power availability (fr of rated power);
TABLE data(t,*) problem data

D S W
1 81.7280 0 0
2 76.4160 0 0
3 72.4480 0 0
4 71.6160 0 0.0485
5 70.9760 0 0.4206
6 70.5920 0.0047 0.5128
7 71.8080 0.1082 0.2805
8 72.8320 0.0906 0.3863
9 78.7200 0.0601 0.8838
10 97.7920 0.3485 0.1948
11 144.5100 0.5152 0.1492
12 181.5700 0.2991 1.0000
13 191.1700 0.4206 0.8354
14 184.8300 0.1530 0.3398
15 181.1200 0.1390 1.0000
16 157.3800 0.0291 1.0000
17 141.5700 0 1.0000
18 137.0900 0 1.0000
19 128.7700 0 1.0000
20 119.6800 0 1.0000
21 108.1000 0 1.0000
22 96.3840 0 1.0000
23 89.2160 0 1.0000
24 81.2800 0 0.8359
25 75.9040 0 0.1595
26 74.3040 0 0.1687
27 74.3680 0 0.0924
28 74.3040 0 0.0637
29 73.8560 0 0.1463
30 72.9600 0 0.2530
31 73.1520 0.0001 0.2954
32 70.2720 0.0139 0.3615
33 69.5040 0.2095 0.7292
34 69.8880 0.3934 0.6090
35 71.0400 0.6255 0.6653
36 73.5360 0.8040 0.5809
37 73.2800 0.6844 0.6768
38 74.1760 0.6194 0.8433
39 74.6880 0.6078 0.5113
40 73.1520 0.6959 0.4230
41 72.5120 0.6846 0.2448
42 73.1520 0.5075 0.1651
43 71.9360 0.2925 0.1572
44 71.7440 0.0951 0.1800
45 73.8560 0.0025 0.0551
46 73.6000 0 0.0194
47 72.4480 0 0.0877
(continued)
48 72.6400 0 0.0992
49 81.0240 0 0
50 81.6640 0 0.0749
51 81.1520 0 0
52 80.7680 0 0.2248
53 80.7680 0 0.4478
54 81.6640 0 0.9401
55 82.0480 0.0115 1.0000
56 83.8400 0.1195 1.0000
57 121.2200 0.3048 1.0000
58 180.8600 0.4980 1.0000
59 230.2700 0.6755 1.0000
60 244.6100 0.8201 0.7806
61 244.8600 0.9152 0.6968
62 244.2200 0.9578 0.6321
63 224.0000 0.9074 0.4017
64 193.5400 0.8576 0.3238
65 185.6000 0.7238 0.3627
66 186.3700 0.5535 0.1168
67 152.0600 0.3447 0.0181
68 132.9900 0.1577 0
69 119.3000 0.0207 0
70 112.7700 0.0000 0.0036
71 107.5200 0 0
72 98.9440 0 0.0212 ;
PD(t) = data(t,'D'); I(t) = data(t,'S'); fw(t) = data(t,'W');
SCALARS
interest interest rate /0.1/
years time horizon of the project /25/
cS unit cost of solar panels per rated kW /2000/
cW unit cost of wind turbine per rated kW /2500/
cDG unit cost of diesel generator per rated kW /150/
cB unit cost of baterry per rated kWh /200/
MS maintenance cost of PV panels in % of initial invest /1/
MW maintenance cost of wind turbines in % of init invest /1/
MDG maintenance cost of diesel gen in % of init invest. /1/
MB maintenance cost of battery in % of initial invest /1/
cel unit cost of grid electricity in $ per kWh /0.18/
cD unit cost of diesel fuel in $ per L /0.6/
hCh efficiency of battery charging /0.95/
hDCh efficiency of battery discharging /0.85/
FinstS instal expens as %of initial inv in solar panels /30/
FinstW instal expens as %of initial inv in wind turbines /20/
FinstDG instal expens as %of initial inv. diesel gen. /5/
FinstB instal expens as %of initial inv in batteries /5/
CEF_El CO2 emission for grid elec. in kgCO2 per kWh /0.750/
CEF_Dsl CO2 emission for diesel fuel in kgCO2 per L /2.900/
CEF_S CO2 emission for PV electr. in kgCO2 per kWh /0.050/
CEF_W CO2 emission for wind turb. in kgCO2 per kWh /0.035/;
SCALARS lamdaS ,lamdaW,lamdaDG,lamdaB, TotalCO2_grid;

lamdaS = 1; lamdaW = 1;
lamdaDG= 1+1/(1+interest)**10 + 1/(1+interest)**20;
lamdaB = 1 + 1/(1+interest)**5 + 1/(1+interest)**10
+ 1/(1+interest)**15 + 1/(1+interest)**20;
TotalCO2_Grid = CEF_El*SUM(t,PD(t))*365/3;
(continued)
DISPLAY TotalCO2_grid;
PARAMETER CCF capital charge factor;
CCF = interest*(1+interest)**years/((1+interest)**years-1);
POSITIVE VARIABLES
PG(t) electrical energy from the grid in kW
PS(t) electrical energy from the solar panels in kW
PW(t) electrical energy from the wind turbines in kW
PDG(t) electrical energy from the diesel generator in kW
ConsD(t) diesel consumption in L per h
PCB(t) electrical energy charging battery in kW
PDB(t) electrical energy discharging battery in kW
Pdump(t) electrical energy dumped in kW
SOC(t) battery state of charge in kWh
PSR rated power of solar panels in kW
PWR rated power of wind turbine in kW
PDGR rated power of diesel generator in kW
SOCR rated capacity of battery in kWh
TotalCO2eq kg CO2eq emitted per year in kg;
BINARY VARIABLES phi(t), epsilon(t);

*AnnualCost total annual cost in $ per year
*Unit AnnualCost unit total annual cost in $ per kWh
*CO2PerCentInitial CO2 emitted relative to grid in %;
VARIABLE AnnualCost, UnitAnnualCost, CO2PerCentInitial;
EQUATIONS EnergyBalance(t), SolarPanels(t), PerCentCO2,

WindTurbine(t), DieselGener(t), StateB(t)
InitialStateBat, UpperDG(t), UpperB1(t), UpperB2(t),
UpperB3(t), UpperB4(t),UpperB5(t), Lower1(t),
LogicalB(t), CostCalc, UCostCalc,CO2emissions;
EnergyBalance(t)..
PG(t)+PS(t)+PW(t)+PDG(t)+PDB(t)=G=PD(t)+PCB(t);
SolarPanels(t).. PS(t) =E=I(t) *PSR;
WindTurbine(t).. PW(t) =E=fw(t)*PWR;
DieselGener(t).. ConsD(t) =E=0.025*PDGR+0.275*PDG(t);
StateB(t)$(ord(t)>1).. SOC(t)=E=SOC(t-1)+hCh*PCB(t-1)-PDB(t-
1)/hDCh;
InitialStateBat.. SOC('1') =E=SOC('72');
UpperDG(t).. PDG(t) =L=PDGR;
UpperB1(t).. SOC(t) =L=SOCR;
Lower1(t).. SOC(t) =G=0.2*SOCR;
UpperB2(t).. PCB(t) =L=(SOCR/10);
UpperB3(t).. PDB(t) =L=(SOCR/10);
UpperB4(t).. PCB(t) =L=1000*phi(t);
UpperB5(t).. PDB(t) =L=1000*epsilon(t);
LogicalB(t).. phi(t) + epsilon(t) =L= 1;
CostCalc.. AnnualCost=E=CCF *(
cS*PSR *(lamdaS + FinstS/100) +
cW*PWR *(lamdaW + FinstW/100) +
cDG*PDGR*(lamdaDG+FinstDG/100)+
cB*SOCR*(lamdaB + FinstB/100))
+(MS /100)*cS *PSR +(MW /100)*cW *PWR
+(MDG/100)*cDG *PDGR +(MB /100)*cB *SOCR
+ SUM(t,PG(t)*cel+ConsD(t)*cD)*365/3;
(continued)
UCostCalc..UnitAnnualCost=E=AnnualCost/((365/3)*SUM(t,PD(t)));
CO2emissions.. TotalCO2eq =E= SUM( t,
PG(t)*CEF_El+PS(t)*CEF_S+PW(t)*CEF_W +ConsD(t)*CEF_Dsl)*365/3;
PerCentCO2.. CO2PerCentInitial=E=100*TotalCO2eq/TotalCO2_Grid;
MODEL EnergyGrid /ALL/;

OPTIONS MIP=CPLEX;
* USE THIS OBJECTIVE TO DETERMINE BEST ECONOMIC PERFORMANCE
SOLVE EnergyGrid USING MIP MINIMIZING AnnualCost;
$ontext
* USE THIS OBJECTIVE TO DETERMINE BEST ENVIRONMENTAL
PERFORMANCE
SOLVE EnergyGrid USING MIP MINIMIZING CO2PerCentInitial;
$offtext
diesel generator, or energy storage facility is required. The CO2eq emitted is

373.7 t CO2eq/y (see the GAMS listing for the emissions estimation details). The
optimal operation is presented in Fig. 7.19.
The GAMS model of Table 7.9 also determines the total CO2eq (equivalent
CO2) emitted for the satisfaction of the electricity demand of the public building
under study. This is calculated at the current state where electricity from a
national grid is used exclusively to satisfy demand. The carbon emission factor
for the electricity supplied by the national grid has been assumed to be
CEFEl ¼ 0.75 kg CO2eq/kWh. The emission factors for the renewable energy
resources reported in the literature vary over two orders of magnitude, and
average (and possibly optimistic) values have been used (CEFW ¼ 0.035 kg
CO2eq/kWh, CEFS ¼ 0.050 kg CO2eq/kWh). In the cost optimal solution, the
CO2eq emissions are reduced from 719.96 t CO2eq/y to 373.7 t CO2eq/y.
Although this corresponds to an impressive 48.1% reduction, further reduction
is possible. Using the emitted CO2eq as the objective function to minimize
results in the solution shown in Fig. 7.20 which is using a wind turbine with
rated capacity of 258.9 kW and a battery bank with rated storage capacity of
2314.5 kWh. The idea is to overdesign the wind turbine and store any surplus
electrical energy into the battery. The overall annual cost is now $221,320 that
corresponds to a unitary cost of 0.231 $/kWh (60% increase). However, the
reduction in the CO2 emissions is impressive as in the final solution, only 35.8 t
CO2eq/y are emitted achieving an almost 95% emissions reduction. Note that
solar PV system is not selected in any of the two alternative solutions.
Needless to say, all parameters that have been used in this linear model are
only approximations of the real world. However, the reader can adapt these
numbers to any case study and thus obtain results that are closer to reality for
any particular case study. It is nonetheless important for the reader to develop
Fig. 7.19 Optimal profiles for the design of the RES system for minimum cost
Fig. 7.20 Optimal profiles for the design of the RES system for minimum CO2 emissions
7.7 Metabolic Flux Analysis 355
a strategy to study the sensitivity of the results obtained to the parameters of

the model. This can be done, in the simplest approach, by examining any one of
the parameters in isolation from the others, i.e., study the variation of the
optimal solution while varying one parameter at the time (and keeping all
others constant at their nominal values). Alternatively, if sufficient information
is available, we may postulate statistical distributions for the parameters and
then perform Monte Carlo simulations to generate the statistics of the optimal
solution. This will give us invaluable information on the main characteristics of
the optimal solutions and on the parameters that are most important.
7.7 Metabolic Flux Analysis
Metabolic flux analysis (MFA) is a powerful technique for, among others, the
determination of the fluxes through various biochemical reaction networks.
MFA can, therefore, offer assistance to studies of metabolite production. The
basis of MFA is a stoichiometric model that describes the biochemistry of a
microorganism. The stoichiometric model is developed based on a postulated
set of biochemical reactions relating consumed substrates to metabolic prod-
ucts. As this reaction network can be extremely complex, a subset of the most
relevant reactions is usually considered. Using the assumption of the pseudo-
steady state for the concentrations of the intracellular metabolites, mass
balancing around each intracellular metabolite is performed resulting in a set
of linear equality constraints:

v
S ¼0 ð7:45Þ
r
where v 2 Rn is the vector of the intracellular reaction rates (fluxes) and r 2 R p

is the vector of the (extracellular) metabolite consumption or production rates.
S 2 Rm(nþp) is the stoichiometric matrix (which has as many rows as there are
intracellular metabolites and as many columns as there are fluxes).
To present a simple example that will clarify the idea of the stoichiometric
matrix and the fluxes in a reaction network, we consider the example shown in
Fig. 7.21. In this example, three extracellular metabolites (A, P1, P2) and four
intracellular metabolites (B, C, D & E) are considered. If we assume pseudo-
steady state for the intracellular metabolites, then we may write one material
balance for each intracellular metabolite:
B: r 1 v1 ¼ 0 ð7:46aÞ
C: 0:5 v1 v2 v3 ¼ 0 ð7:46bÞ
Extracellular: A, P1, P2 Intracellular: B, C, D, E
r2
v2 D P1
r1 v1
A B C
v3
E P2
r3
Stoichiometry: B→1/2 C, C→D, C→2 E
Fig. 7.21 A simple metabolic network
D: v2 r 2 ¼ 0 ð7:46cÞ
E: 2v3 r 3 ¼ 0 ð7:46dÞ
To make the presentation compact, we may define the intracellular fluxes v

and the “extracellular” fluxes r:
2 3 2 3
v1 r1
6 7 6 7
v ¼ 4 v 2 5, r ¼ 4 r2 5
v3 r3
and Eq. (7.46) can be written as:

2 3
1 0 0 þ1 0 0
6 0:5
6 1 1 0 0 0 7
7 v
6 7 ¼0 ð7:47Þ
4 0 þ1 0 0 1 0 5 r
0 0 þ2 0 0 1
which is of the general form given by (7.45) where m ¼ 4, n ¼ 3, and p ¼ 3. As

there are six unknown fluxes and four equations, in order to be able to
calculate all fluxes, we only need to measure two fluxes. If, for instance, we
can measure r1 and r2 and assume that r1 ¼ 3, r2 ¼ 1, then from (7.46a) v1 ¼ 3;
from (7.46c) v2 ¼ 1; from (7.46b) v3 ¼ 0.5; and finally from (7.46d) r3 ¼ 1.
As in biochemical reaction networks the number of metabolites is signifi-
cantly less than the number of fluxes, it is unlikely that sufficient
measurements will be available to elucidate all internal fluxes. In these cases,

optimization can be a useful alternative to obtain an estimate of the fluxes.
What is needed is an appropriate and plausible objective function which must
be a function of the fluxes and as many as possible additional equality or
inequality constraints to reduce the space of feasible solutions. If a linear
objective is selected, then the overall optimization problem is a LP problem
of the following general form:
min c T v þ dT r
v, r
" s:t:
# ð7:48Þ
v
S ¼0
r
U
vL v v
U
rL r r
We will consider a relatively complex metabolic network. We will study the

metabolic network of Basfia succiniciproducens, a well-known microorganism
with high succinate production capacities (bio-succinate is among the most
promising platform chemicals). In Tables 7.10 and 7.11, we present the basic
metabolic reactions and metabolites considered (adapted from Becker et al.,
Biotechnology and Bioengineering, 110(11), p. 3013, 2013 & Kim et al., Bio-
technology and Bioengineering, 97(4), p. 657, 2007). The network is also
represented graphically in Fig. 7.22. The metabolic network consists of
47 metabolites, and the quasi-steady-state assumption is applicable for 35 of
them. The fluxes involved are 46.
To demonstrate the potential use of this metabolic network model for
B. succiniciproducens, we solve the optimization model (7.48) by setting a
basis for the flux of glucose and with the following objective function:
max r biomass
v, r
The implementation in GAMS is presented in Table 7.12.

It is important to note that in the GAMS implementation, we have (based on
information provided in the references given above and in Nelson & Cox,
Lehninger Principles of Biochemistry, 4th ed., Freeman, 2005):
• Categorize all reactions as reversible (unbounded) or irreversible (flux 0)
• Categorize metabolites as intracellular (zero accumulation or at pseudo-
steady state) and extracellular (consumed with negative flux or produced
with positive flux)
• Implemented Formulation (7.48) with (7.45) written in the following
convenient form:
Table 7.10 The reduced metabolic network of Basfia succiniciproducens
358
Reaction# Reactants Products

Assimilation
1. GLC(e) þ 2 ATP ) G6P þ 2ADP
7
2. SO4(e) þ 3NADPH þ 4ATP ) H2S þ 3NADP þ 4ADP

Pentose phosphate T (p. 552 Lehninger)
3. G6P þ NADP ) 6PG þ NADPH
4. 6PG þ NADP ) RIB5P þ NADPH þ CO2
5. RIB5P , XYL5P
6. RIB5P , RIBO5P
7. S7P þ GAP , RIBO5P þ XYL5P
8. S7P þ GAP , E4P þ F6P
9. F6P þ GAP , E4P XYL5P
Glycolysis/gluconeogenesis (p. 524 Lehninger)
10 G6P , F6P
11 F6P þ ATP ) FBP þ ADP
12 FBP ) F6P
13 FBP , GAP þ DAHP
14 DAHP , GAP
15 GAP þ NAD , PG13 þ NADH
16 PG13 þ ADP ) PG3 þ ATP
17 PG3 , PG2
18 PG2 , PEP
19 PEP þ ADP ) PYR þ ATP
20 PYR þ NAD þ CoA ) AcCoA þ NADH þ CO2
Representative Optimization Problems in Chemical Engineering Solved. . .
TCA cycle (p. 607 Lehninger)
7.7
21 AcCoA þ OAA ) CIT þ CoA

22 CIT , ICIT
23 ICIT þ NADP ) AKG þ NADPH þ CO2
24 AKG þ NAD þ CoA ) SUCC-CoA þ NADH þ CO2
25 SUCC-CoA þ ADP , SUCC þ ATP þ CoA
26 SUCC þ MK , FUM þ MKH
27 FUM , MAL
28 MAL þ NAD , OAA þ NADH
Metabolic Flux Analysis
Pyruvate metabolism
29 PEP þ CO2 ) OAA
30 PEP þ CO2 þ ADP ) OAA þ ATP
31 MAL þ NADP ) PYR þ NADPH þ CO2
32 OAA ) PYR þ CO2
Fermentation pathways
33 PYR þ NADH , LAC þ NAD
34 PYR þ CoA , FORM þ AcCoA
35 FORM þ NAD ) NADH þ CO2
36 AcCoA , AcP þ CoA
37 AcP þ ADP , ACE þ ATP
38 AcP ) ACE
39 AcCoA þ NADH ) AcAld þ NAD þ CoA
40 AcAld þ NADH ) EtOH þ NAD
41 AcAld þ NAD ) ACE þ NADH
Energy metabolism
43 3 NADH þ 3 NADP þ ATP ) 3 NAD þ 3NADPH þ ADP
44 NADPH þ NAD ) NADP þ NADH
45 NADH þ MK ) NAD MKH
359
46 ATP ) ADP þ ATPmain

(continued)
360
Reaction# Reactants Products

Biomass formation (reaction # 42)
1.724 OAA
þ 1.221 PG3
7
þ 0.853 RIBO5P
þ 36.655 ATP
þ 15.754 NADPH
þ 9.284 NH3
þ 3.094 NAD
þ 2.887 AcCoA
þ 2.745 PYR
þ 1.186 AKG
þ 0.223 E4P
þ 0.495 PEP
þ 0.091 H2S
þ 0.071 F6P
þ 0.205 G6P
þ 0.129 GAP
)
1.000 Biomass
þ 2.887 CoA
þ 15.754 NADP
þ 3.094 NADH
þ 36.655 ADP
þ 1.381 CO2
Adapted from Becker et al., Biotechnology and Bioengineering, 110(11), p. 3013, 2013
Representative Optimization Problems in Chemical Engineering Solved. . .
Table 7.11 The reduced set of metabolites for the metabolic network of
B. succiniciproducens
Metabolites for which pseudo-steady state is assumed
ATP Adenosine triphosphate C10H16O13P3N5 1
ADP Adenosine diphosphate C10H15O10P2N5 2
NAD Nicotinamide adenine dinucleotide C21H27N7O14P2 3
NADH 4
NADP Nicotinamide adenine dinucleotide phosphate C21H29N7O17P3 5
NADPH 6
MK Menaquinone (coenzyme Q) C59H90O4 7
MKH Menaquinol (reduced form of coenzyme Q) 8
G6P Glucose-6-phosphate C6H13O9P 9
6PG 6-phosphogluconate C6H13O10P 10
RIB5P Ribulose 5-phosphate C5H11O8P 11
XYL5P D-Xylulose 5-phosphate C5H11O8P 12
RIBO5P D-ribose 5-phosphate C5H11O8P 13
GAP Glyceraldehyde 3-phosphate C3H7O6P 14
S7P Sedoheptulose 7-phosphate C7H15O10P 15
E4P Erythrose 4-phosphate C4H9O7P 16
F6P Fructose 6-phosphate C6H13O9P 17
FBP Fructose 1,6-bisphosphate C6H14O12P2 18
DAHP Dihydroxyacetone phosphate C3H7O6P 19
PG13 1,3-Bisphosphoglycerate C3H8O10P2 20
PG3 3-Phosphoglycerate C3H7O7P 21
PG2 2-Phosphoglycerate C3H7O7P 22
PEP Phosphoenolpyruvate C3H5O6P 23
PYR Pyruvate C3H4O3 24
AcCoA Acetyl-CoA C23H38N7O17P3S 25
OAA Oxaloacetate C4H4O5 26
CIT Citrate C6H8O7 27
ICIT Isocitrate C6H8O7 28
AKG a-Ketoglutarate C5H6O5 29
SUCC-CoA Succinyl-CoA C25H40N7O19P3S 30
FUM Fumarate C4H4O4 31
MAL Malate C4H6O5 32
AcP 33
AcAld 34
H2S 35
Metabolites with positive fluxes (products)
BIOMASS 36
ACE Acetate C2H4O2 37
LAC Lactate C3H6O3 38
FORM Formate CH2O2 39
EtOH Ethanol C2H6O 40
SUCC Succinate C4H6O4 41
(continued)

ATPmain ATP cons for maintenance 42
Metabolites with negative fluxes (consumed substrates)
GLC Glucose C6H12O6 43
CO2 Carbon dioxide CO2 44
NH3 Ammonia NH3 45
SO4 S04 46
CoA CoA C21H36N7O16P3S 47
Adapted from Becker et al., Biotechnology and Bioengineering, 110(11), p. 3013, 2013

Si 0 v
¼0
Se I r
i.e., the stoichiometric matrix has been partitioned in a part involving only
internal fluxes and a part involving both internal and external fluxes. This is not
the only option available but is handy for this case study.
The results obtained using the GAMS model of Table 7.12 are presented in
Fig. 7.23. The continuous line represents the maximum theoretical yield of the
microorganism. All experimental points are expected to lie inside the feasible
region. Maximum theoretical yields can also be obtained from the figure.
7.8 Optimal Design of Proportional-Integral-Derivative

(PID) Controllers
Classical PID controllers have been used for almost one century in the chemical
industry and remain the most widely used type of controllers. Their design is
normally performed through rules of thumb that are the result of accumulated
experience and innovative research work. More recently, there has been a lot of
interest in designing optimal PID controllers through classical optimization
formulations. These methodologies are usually restricted by the type of the
objective function that can be used. Classical, least squares objectives are
normally implemented as they facilitate the analytic or numerical solution of
the resulting optimization problem. In addition, apart from the requirement for
the closed loop system to be stable, there is an additional requirement that the
system possesses robustness to variability in its parameters. In other words,
the parameters of the model obtain nominal values which are obtained through
classical process identification experiments (such as step response or fre-
quency response tests). However, the parameters of the model may vary due
to changes in the environment or operating point or through ageing. The
requirement is for the closed loop system to be stable and also have acceptable
7.8 Optimal Design of Proportional-Integral-Derivative (PID) Controllers 363
Fig. 7.22 Metabolic network of succinate producing Basfia succiniciproducens

Table 7.12 GAMS program for the analysis of the metabolic capabilities of Basfia
succiniciproducens
$ TITLE METABOLIC FLUX ANALYSIS OF BASFIA SUCCINICIPRODUCENS

$ONTEXT
DATA TAKEN FROM
1. Becker et al., BIOTECHNOLOGY&BIOENGINEERING,110(11),p.3013,2013
2. Kim et al, BIOTECHNOLOGY & BIOENGINEERING,97( 4),p.657, 2007
3. Ladakis et al.,BIOCHEMICAL ENGINEERING JOURNAL,137,p.262, 2018
$OFFTEXT
SET iter /1*100/;

SET m "Metabolites"
/
* NOT CROSSING THE MEMBRANE
ATP # 1 Adenosine triphosphate C10 H16 O13 P3 N5
ADP # 2 Adenosine diphosphate
NAD # 3
NADH # 4
NADP # 5
NADPH # 6
MK # 7
MKH # 8
G6P # 9 Glucose-6-phosphate C6 H13 09 P
6PG #10 6-phosphogluconate C6 H13 O10 P
RIB5P #11 Ribulose 5-phosphate C5 H11 O8 P
XYL5P #12 D-XYLULOSE 5-PHOSPHATE C5 H11 O8 P
RIBO5P #13 D-RIBOSE 5-PHOSPHATE C5 H11 O8 P
GAP #14 GLYCERALDEHYDE 3-PHOSP C3 H7 O6 P
S7P #15 SEDOHEPTULOSE 7-PHOSPH C7 H15 O10 P
E4P #16 ERYTHROSE 4-PHOSPHATE C4 H9 O7 P
F6P #17 FRUCTOSE 6-PHOSPHATE C6 H13 O9 P
FBP #18 FRUCTOSE 1 6 BISPHOSPH C6 H14 O12 P2
DAHP #19 DIHYDROXYACETONE PHOSP C3 H7 O6 P
PG13 #20 1 3 BISPHOSPHOGLYCERAT C3 H8 O10 P2
PG3 #21 3 PHOSPHOGLYCERATE C3 H7 O7 P
PG2 #22 2 PHOSPHOGLYCERATE C3 H7 O7 P
PEP #23 PHOSPHOENOLPYRUVATE C3 H5 O6 P
PYR #24 PYRUVATE C3 H4 O3
AcCoA #25 Acetyl-CoA C23 H38 O17 P3 S N7
OAA #26 OXALOACETATE C4 H4 O5
CIT #27 CITRATE C6 H8 O7
ICIT #28 ISOCITRATE C6 H8 O7
AKG #29 a-KETOGLUTARATE C5 H6 O5
SUCCCoA #30 SUCCINYL-CoA C25 H40 O19 P3 S N7
FUM #31 FUMARATE C4 H4 O4
MAL #32 MALATE C4 H6 O5
AcP #33
AcAld #34
H2S #35
*PRODUCED
Biomass #36 Biomass
ACE #37 ACETATE C2 H4 O2
LAC #38 LACTATE C3 H6 O3
FORM #39 FORMATE C H2 O2
EtOH #40 ETHANOL C2 H6 O
SUCC #41 SUCCINATE C4 H6 O4
ATPmain #42 ATP FOR MAINTENANCE
*CONSUMED
GLC #43 Glucose C6 H12 O6
CO2 #44 CARBON DIOXIDE C O2
NH3 #45
(continued)
SO4 #46
CoA #47 CoA C21 H36 O16 P3 S
N7/;
* METABOLITES NOT CROSSING THE MEMBRANE - PSEUDO STEADY STATE

SET i(m) / ATP, ADP, NAD, NADH, NADP, NADPH, MK, MKH, G6P, 6PG,
RIB5P, XYL5P, RIBO5P, GAP, S7P, E4P, F6P, FBP, DAHP,
PG13, PG3, PG2, PEP, PYR, AcCoA, OAA, CIT, ICIT, AKG,
SUCCCoA, FUM, MAL, AcP, AcAld, H2S /;
* METABOLITES CROSSING THE MEMBRANE
* p r o d u c e d
SET j(m) / Biomass, ACE, LAC, FORM, EtOH, SUCC, ATPmain,
* c o n s u m e d
GLC, CO2, NH3, SO4, CoA /;
DISPLAY m,i,j;
SET Flux /v1*v46/; ALIAS(Flux,n);
SET reversible_Flux(n)
/v5*v10,v13*v15,v17,v18,v22,v25*v28,v33,v34,v36,v37/;
SET irreversible_Flux(n)
/v1*v4,v11*v12,v16,v19*v21,v23*v24,v29*v32,v35,v38*v46/;
ALIAS( reversible_Flux,nr);
ALIAS(irreversible_Flux,nir);
* STOICHIOMETRY
TABLE S(m,n)
v1 v2 v3 v4 v5 v6 v7 v8 v9 v10 v11 v12 v13 v14 v15 v16 v17
ATP -2 -4 0 0 0 0 0 0 0 0 -1 0 0 0 0 +1 0
ADP +2 +4 0 0 0 0 0 0 0 0 +1 0 0 0 0 -1 0
NAD 0 0 0 0 0 0 0 0 0 0 0 0 0 0 -1 0 0
NADH 0 0 0 0 0 0 0 0 0 0 0 0 0 0 +1 0 0
NADP 0 +3 -1 -1 0 0 0 0 0 0 0 0 0 0 0 0 0
NADPH 0 -3 +1 +1 0 0 0 0 0 0 0 0 0 0 0 0 0
MK 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
MKH 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
G6P +1 0 -1 0 0 0 0 0 0 -1 0 0 0 0 0 0 0
6PG 0 0 +1 -1 0 0 0 0 0 0 0 0 0 0 0 0 0
RIB5P 0 0 0 +1 -1 -1 0 0 0 0 0 0 0 0 0 0 0
XYL5P 0 0 0 0 +1 0 +1 0 +1 0 0 0 0 0 0 0 0
RIBO5P 0 0 0 0 0 +1 +1 0 0 0 0 0 0 0 0 0 0
GAP 0 0 0 0 0 0 -1 -1 -1 0 0 0 +1 +1 -1 0 0
S7P 0 0 0 0 0 0 -1 -1 0 0 0 0 0 0 0 0 0
E4P 0 0 0 0 0 0 0 +1 +1 0 0 0 0 0 0 0 0
F6P 0 0 0 0 0 0 0 +1 -1 +1 -1 +1 0 0 0 0 0
FBP 0 0 0 0 0 0 0 0 0 0 +1 -1 -1 0 0 0 0
DAHP 0 0 0 0 0 0 0 0 0 0 0 0 +1 -1 0 0 0
PG13 0 0 0 0 0 0 0 0 0 0 0 0 0 0 +1 -1 0
PG3 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 +1 -1
PG2 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 +1
PEP 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
PYR 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
AcCoA 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
OAA 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
CIT 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
ICIT 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
AKG 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
SUCCCoA 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
FUM 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
MAL 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
AcP 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
AcAld 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
H2S 0 +1 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
Biomass 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
ACE 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
LAC 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
(continued)
FORM 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
EtOH 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
SUCC 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
ATPmain 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
GLC -1 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
CO2 0 0 0 +1 0 0 0 0 0 0 0 0 0 0 0 0 0
NH3 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
SO4 0 -1 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
CoA 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
+ v18 v19 v20 v21 v22 v23 v24 v25 v26 v27 v28 v29 v30 v31 v32 v33 v34
ATP 0 +1 0 0 0 0 0 +1 0 0 0 0 +1 0 0 0 0
ADP 0 -1 0 0 0 0 0 -1 0 0 0 0 -1 0 0 0 0
NAD 0 0 -1 0 0 0 -1 0 0 0 -1 0 0 0 0 +1
0
NADH 0 0 +1 0 0 0 +1 0 0 0 +1 0 0 0 0 -1 0
NADP 0 0 0 0 0 -1 0 0 0 0 0 0 0 -1 0 0 0
NADPH 0 0 0 0 0 +1 0 0 0 0 0 0 0 +1 0 0 0
MK 0 0 0 0 0 0 0 0 -1 0 0 0 0 0 0 0 0
MKH 0 0 0 0 0 0 0 0 +1 0 0 0 0 0 0 0 0
G6P 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
6PG 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
RIB5P 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
XYL5P 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
RIBO5P 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
GAP 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
S7P 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
E4P 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
F6P 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
FBP 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
DAHP 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
PG13 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
PG3 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
PG2 -1 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
PEP +1 -1 0 0 0 0 0 0 0 0 0 -1 -1 0 0 0 0
PYR 0 +1 -1 0 0 0 0 0 0 0 0 0 0 +1 +1 -1 -1
AcCoA 0 0 +1 -1 0 0 0 0 0 0 0 0 0 0 0 0 +1
OAA 0 0 0 -1 0 0 0 0 0 0 +1 +1 +1 0 -1 0 0
CIT 0 0 0 +1 -1 0 0 0 0 0 0 0 0 0 0 0 0
ICIT 0 0 0 0 +1 -1 0 0 0 0 0 0 0 0 0 0 0
AKG 0 0 0 0 0 +1 -1 0 0 0 0 0 0 0 0 0 0
SUCCCoA 0 0 0 0 0 0 +1 -1 0 0 0 0 0 0 0 0 0
FUM 0 0 0 0 0 0 0 0 +1 -1 0 0 0 0 0 0 0
MAL 0 0 0 0 0 0 0 0 0 +1 -1 0 0 -1 0 0 0
AcP 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
AcAld 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
H2S 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
Biomass 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
ACE 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
LAC 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 +1 0
FORM 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 +1
EtOH 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
SUCC 0 0 0 0 0 0 0 +1 -1 0 0 0 0 0 0 0 0
ATPmain 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
GLC 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
CO2 0 0 +1 0 0 +1 +1 0 0 0 0 -1 -1 +1 +1 0 0
NH3 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
SO4 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
CoA 0 0 -1 +1 0 0 -1 +1 0 0 0 0 0 0 0 0 -1
+ v35 v36 v37 v38 v39 v40 v41 v42 v43 v44 v45 v46
ATP 0 0 +1 0 0 0 0 -36.655 -1 0 0 -1
ADP 0 0 -1 0 0 0 0 +36.655 +1 0 0 +1
NAD -1 0 0 0 +1 +1 -1 -3.094 +3 -1 +1 0
(continued)
NADH +1 0 0 0 -1 -1 +1 +3.094 -3 +1 -1 0
NADP 0 0 0 0 0 0 0 +15.754 -3 +1 0 0
NADPH 0 0 0 0 0 0 0 -15.754 +3 -1 0 0
MK 0 0 0 0 0 0 0 0 0 0 -1 0
MKH 0 0 0 0 0 0 0 0 0 0 +1 0
G6P 0 0 0 0 0 0 0 -0.205 0 0 0 0
6PG 0 0 0 0 0 0 0 0 0 0 0 0
RIB5P 0 0 0 0 0 0 0 0 0 0 0 0
XYL5P 0 0 0 0 0 0 0 0 0 0 0 0
RIBO5P 0 0 0 0 0 0 0 -0.853 0 0 0 0
GAP 0 0 0 0 0 0 0 -0.129 0 0 0 0
S7P 0 0 0 0 0 0 0 0 0 0 0 0
E4P 0 0 0 0 0 0 0 -0.223 0 0 0 0
F6P 0 0 0 0 0 0 0 -0.071 0 0 0 0
FBP 0 0 0 0 0 0 0 0 0 0 0 0
DAHP 0 0 0 0 0 0 0 0 0 0 0 0
PG13 0 0 0 0 0 0 0 0 0 0 0 0
PG3 0 0 0 0 0 0 0 -1.221 0 0 0 0
PG2 0 0 0 0 0 0 0 0 0 0 0 0
PEP 0 0 0 0 0 0 0 -0.495 0 0 0 0
PYR 0 0 0 0 0 0 0 -2.745 0 0 0 0
AcCoA 0 -1 0 0 -1 0 0 -2.887 0 0 0 0
OAA 0 0 0 0 0 0 0 -1.724 0 0 0 0
CIT 0 0 0 0 0 0 0 0 0 0 0 0
ICIT 0 0 0 0 0 0 0 0 0 0 0 0
AKG 0 0 0 0 0 0 0 -1.186 0 0 0 0
SUCCCoA 0 0 0 0 0 0 0 0 0 0 0 0
FUM 0 0 0 0 0 0 0 0 0 0 0 0
MAL 0 0 0 0 0 0 0 0 0 0 0 0
AcP 0 +1 -1 -1 0 0 0 0 0 0 0 0
AcAld 0 0 0 0 +1 -1 -1 0 0 0 0 0
H2S 0 0 0 0 0 0 0 -0.091 0 0 0 0
Biomass 0 0 0 0 0 0 0 +1 0 0 0 0
ACE 0 0 +1 +1 0 0 +1 0 0 0 0 0
LAC 0 0 0 0 0 0 0 0 0 0 0 0
FORM -1 0 0 0 0 0 0 0 0 0 0 0
EtOH 0 0 0 0 0 +1 0 0 0 0 0 0
SUCC 0 0 0 0 0 0 0 0 0 0 0 0
ATPmain 0 0 0 0 0 0 0 0 0 0 0 +1
GLC 0 0 0 0 0 0 0 0 0 0 0 0
CO2 +1 0 0 0 0 0 0 +1.381 0 0 0 0
NH3 0 0 0 0 0 0 0 -9.284 0 0 0 0
SO4 0 0 0 0 0 0 0 0 0 0 0 0
CoA 0 +1 0 0 +1 0 0 +2.887 0 0 0 0 ;
$ONTEXT
v(42) is the biomass production and corresponds to g of biomass
per mmol => biomass production per mol of glucose
is given by v42 * 1000/|v(Glucose)|
$OFFTEXT
VARIABLES v(n) internal fluxes

r(m) external fluxes
obj;
EQUATIONS MAT_BAL_INTRA(i), MAT_BAL_EXTRA(j), OBJFUN;

MAT_BAL_INTRA(i).. sum(n,S(i,n)*v(n)) =e= 0;
MAT_BAL_EXTRA(j).. sum(n,S(j,n)*v(n)) =E= r(j);
OBJFUN.. obj =E= r('Biomass');
v.up(n) = +200; v.lo(n) = -200; v.lo(nir)= 0;
* positive fluxes
r.lo('Biomass')=0; r.lo('ACE')=0; r.lo('LAC')=0; r.lo('FORM')=0;
(continued)
r.lo('EtOH')=0; r.lo('SUCC')=0; r.lo('ATPmain')=0;

* negative fluxes
r.up('GLC')=0; r.up('CO2')=0; r.up('NH3')=0; r.up('SO4')=0;
r.up('CoA')=0;
* set biomass growth rate
r.fx('SUCC')=100 ;
* set basis for glucose consumption in mol glucose
r.fx('GLC')=-100 ;
MODEL BASFIA /ALL/;

SOLVE BASFIA USING LP MAXIMIZING obj;
FILE out /result.m/;
PUT out;
LOOP(iter, r.fx('SUCC') = 171*(ord(iter)-1)/(card(iter)-1);

SOLVE BASFIA USING LP MAXIMIZING obj;
PUT ord(iter):3:0,
r.l('SUCC'):16:8,
obj.l:16:8 /;
);
PUTCLOSE out;
Fig. 7.23 Metabolic network capabilities of succinate producing Basfia succiniciproducens

performance not only for the nominal values of its parameters but for all
potential values of its uncertain parameters.
In this section, we will consider the case of low-order mathematical models,
commonly used to describe chemical process dynamics, such as:
First-order plus deadtime (FOPDT) model:
Y ð sÞ k
Gðs; k, τ, dÞ ¼ ¼ eds ð7:49Þ
U ðsÞ τs þ 1
Integrating plus deadtime (IPDT) model:
Y ðsÞ k ds
Gðs; k, dÞ ¼ ¼ e ð7:50Þ
U ð sÞ s
Second-order plus deadtime (SOPDT) model:
Y ð sÞ k
Gðs; k, τ, ζ, dÞ ¼ ¼ eds ð7:51Þ
U ðsÞ τs2 þ 2ζτs þ 1
where k is the gain of the process, τ is the dominant time constant, ζ is the
damping coefficient of the second-order system, and d is the deadtime (or time
delay) of the process (see Kravaris & Kookos, Understanding Chemical Process
Dynamics and Control, CUP, 2021, for the physical meaning of these
parameters).
All these low-order models can be used to capture the dynamics of the
majority of chemical process systems and can be stated in the time domain
using the following state-space form with input delay:
dxðt Þ
¼ Axðt Þ þ buðt dÞ ð7:52aÞ
dt
yðt Þ ¼ cx ðt Þ ð7:52bÞ
where A is a constant matrix and b and c are constant vectors. For a FOPDT
system, for instance, the state-space model obtains the following form:
dxðt Þ 1 k
x ðt Þ þ u ðt d Þ ð7:53aÞ
dt τ τ
y ðt Þ ¼ x ðt Þ ð7:53bÞ
Alternatively, the process systems dynamics can be stated in time domain

using the following state-space form with output delay:
dx ðt Þ
¼ Ax ðt Þ þ buðt Þ ð7:54aÞ
dt
yðt Þ ¼ cxðt dÞ ð7:54bÞ
For a FOPDT system:
dxðt Þ 1 k
xðt Þ þ uðt Þ ð7:55aÞ
dt τ τ
y ðt Þ ¼ x ð t d Þ ð7:55bÞ
The solution of the linear differential equation (7.54a) for given initial
conditions x(0) and constant input u can be obtained through several alterna-
tive methods with the simplest to be through the use of the integrating factor
e2At. We first multiply both sides of (7.54a) by the integrating factor:
dx ðt Þ
e 2 At e 2 At Ax ðt Þ þ e 2 At buðt Þ
dt
The last equation can be written as:
dðe 2 At x ðt ÞÞ
¼ e 2 At buðt Þ
dt
We integrate the last equation between 0 and an arbitrary time t with constant
input u ¼ u(0), to obtain:
0 1
Zt
θ¼t
e 2 Aθ x ðθÞ θ¼0
¼@ e 2 Aθ dθ bA u
0
or:
0 1
Zt
x ðt Þ ¼ eAt x ð0Þ þ @ e 2 Aðt 2 θÞ dθ bA u
0
We may follow exactly the same approach to integrate the differential equation
between time t and t þ Ts to obtain:
0 tþT 1
Z s
x ðt þ T s Þ ¼ eAT s x ðt Þ þ @ e 2 Aðt 2 θÞ dθ bA uðt Þ ð7:56Þ
t
where u(t) is the input at time t which remains constant in the interval [t, t þ Ts).
We will use the index n to denote the time point with the understanding that
t ¼ n Ts and t þ Ts ¼ (n þ 1)Ts. We may therefore express the analytic solution
of the differential equation (7.54a) in the following discrete form:
x ðn þ 1Þ ¼ Ad xðnÞ þ bd uðnÞ ð7:57aÞ

yðnÞ ¼ cx ðn δÞ ð7:57bÞ
where δ ¼ d/Ts and:
ZT s
Ad ¼ e AT s
, bd ¼ b eAðT s 2 θÞ dθ ð7:58Þ
0
For the FOPDT system, for instance, A 1/τ, and b ¼ k/τ (scalars), and
performing the integration, we obtain:

A d ¼ e τ , b d ¼ k 1 e τ
Ts Ts
ð7:59Þ
i.e., the discrete solution of the FOPDT system to a constant input is given by:

xðn þ 1Þ ¼ e τ xðnÞ þ k 1 e τ uðnÞ
Ts Ts
ð7:60aÞ
yðnÞ ¼ xðn δÞ ð7:60bÞ
For the case of input delay, the equivalent discrete form of the dynamics is:

xðn þ 1Þ ¼ e τ xðnÞ þ k 1 e τ uðn δÞ
Ts Ts
ð7:61aÞ
yðnÞ ¼ xðnδÞ ð7:61bÞ
We may use this description of the FOPDT system dynamics to develop

optimal input sequencies that minimize a specific objective function or mea-
sure of performance. If the objective function is linear, then the final problem is
a LP problem. A linear objective function that can be used is the sum of
absolute deviations of the output y(t) from a reference output profile or set
point ysp:
X
N
min y y ðn Þ ð7:62Þ
sp
xðnÞ, yðnÞ, uðnÞ
n¼1
where tf ¼ N Ts is the final time of the simulation. The absolute values of the
deviations are a more useful measure of system performance when compared
to the squared deviations as the latter overemphasize large deviations and

almost ignore small deviations. The main drawback of the objective function
(7.62) is that it ignores the input variation or any bound or rate constraints on
the input. We therefore can use an augmented objective function that penalizes
large input variations:
X
N X
N
min y yðnÞ þ ρ juðnÞ uðn 1Þj ð7:63Þ
sp
n¼1 n¼1
where ρ is a weighting factor.

The complete formulation of the analysis that has been presented up to this
point is the following (note the way we calculate the absolute values of the
deviations and the control variations):
" #
X
N X
N
þ þ
min J ðuðnÞÞ ¼ ðe ðnÞ þ e ðnÞÞ þ ρ ðΔu ðnÞ þ Δu ðnÞÞ T s
n¼1 n¼1
s:t: )
xðnÞ ¼ Ad xðn 1Þ þ bd uððn 1ÞÞ
n ¼ 1, 2, . . . , N
y ðn Þ ¼ x ð n δ Þ
ð7:64Þ
þ
ysp yðnÞ ¼ eðnÞ ¼ e ðnÞ e ðnÞ
n ¼ 1, 2, . . . , N
uðnÞ uðn 1Þ ¼ ΔuðnÞ ¼ Δuþ ðnÞ Δu ðnÞ
9
Δuþ ðnÞ >
Δu_ max >
=
Ts
n ¼ 1, 2, . . . , N
Δu ðnÞ >
Δu_ max >
;
Ts
xð0Þ ¼ xðt ¼ 0Þ ¼ x0
0 eþ ðnÞ, e ðnÞ, Δuþ ðnÞ, Δu ðnÞ
Note that the objective function has been multiplied by the sampling time Ts to
approximate the continuous time integration.
Formulation (7.64) is an optimistic approach as no special structure has
been assumed for the control law. Classical feedback control laws have the
drawback that they react after detecting the deviation of the output from the
reference signal or set point. This feedback structure is vital to the practical
implementation but results in a suboptimal control variation when compared
to the results of Formulation (7.64).
The GAMS implementation of Formulation (7.64) is presented in Table 7.13
for a FOPDT process with τ ¼ d ¼ 1 s and k ¼ 1. The results obtained are shown
in Fig. 7.24. Note that the controller acts as a predictive controller and rumps
Table 7.13 GAMS program for the open-loop optimal control of a FOPDT system
$ TITLE FOPDT SYSTEM OPEN LOOP OPTIMAL CONTROL
SET n time points /0*100/ ;
PARAMETER tau process time constant /1/

d delay time /1/
k process gain /1/
ysp set point value /1/
Dumax maximum variation of the control /1/
umin minimum value of control /-2/
umax maximum value of control /+2/
rho weighting factor /1/
tf final time /10/
Ts sampling time
A_d A matrix of the state space description
b_d b matrix of the state space description
time(n) time;
Ts = tf/(card(n)-1);
A_d = exp(-Ts/tau);
b_d = (1-A_d)*k;
time(n) = Ts*(ord(n)-1);
POSITIVE VARIABLES eplus(n), eminus(n), Duplus(n), Duminus(n);

VARIABLES x(n), u(n), y(n), ObjFun;
EQUATIONS Dynamics(n) system state dynamics

Output(n) system output dynamics
ABSerror(n) absolute error
ABSuvar(n) absolute control variation
Criterion objective function;
Dynamics(n).. x(n) =E= A_d*x(n-1)+b_d*u(n-1);

Output(n).. y(n) =E= x(n-ceil(d/Ts));
ABSerror(n).. ysp - y(n) =E= eplus(n) - eminus(n);
ABSuvar(n).. u(n)- u(n-1) =E= Duplus(n) - Duminus(n);
Criterion.. ObjFun =E=
Ts*sum(n,(eplus(n)+eminus(n))+rho*(Duplus(n)+Duminus(n)));
Duplus.up(n) =+Dumax*Ts;
Duminus.up(n)=+Dumax*Ts;
u.up(n) = umax;
u.lo(n) = umin;
x.fx('0')=0;
MODEL FOPDT_OPEN_LOOP /ALL/;

OPTION LP=CPLEX;
SOLVE FOPDT_OPEN_LOOP USING LP MINIMIZING ObjFun;
FILE FOPDT_OL /FOPDT_OL.m/;

PUT FOPDT_OL ;
LOOP(n,
PUT time(n):10:4,x.l(n):12:8,y.l(n):12:8,u.l(n):12:6 /;
);
PUTCLOSE FOPDT_OL;
Fig. 7.24 Open-loop optimal control of a FOPDT system with τ ¼ 1, k ¼ 1, and d ¼ 1 with
rate and bound constraints on the control (sampling time Ts ¼ 0.1)
up starting from t ¼ 0. The objective function achieved is the minimum

possible for the problem specifications and is equal to J ¼ 2.3498 for Ts ¼ 0.1.
We now turn our attention to the closed loop formed when a Proportional-
Integral (or PI) controller is used. The time domain description of the action
performed by a PI controller is the following:
0 1
Zt
1
u ð t Þ ¼ k c @e ð t Þ þ eðθÞdθ A ð7:65Þ
τI
0
where kc (the controller gain) and τI (the integral time) are the two adjustable
parameters of the PI controller. For t ¼ t þ Ts we have that:
0 1
Z s
tþT
1
uðt þ T s Þ ¼ kc @eðt þ T s Þ þ eðθÞdθ A
τI
0
0 1
Zt Z s
tþT
1 1
¼ k c @e ð t þ T s Þ þ eðθÞdθ þ eðθÞdθ A
τI τI
0 t
and by subtracting Eq. (7.65), we have that:

0 1
Z s
tþT
1
uðt þ T s Þ uðt Þ ¼ k c @eðt þ T s Þ eðt Þ þ eðθÞdθ A
τI
t
The input remains constant between t and t þ Ts, and if assumed equal to its
value at t þ Ts, we obtain the discrete form of a PI controller (usually called the
velocity form of a PI controller):

Ts
uðn þ 1Þ ¼ uðnÞ þ k c eðn þ 1Þ eðnÞ þ eðn þ 1Þ
τI
which can also be written as:
uðnÞ ¼ uðn 1Þ þ ΔuðnÞ ð7:66Þ

Ts
ΔuðnÞ ¼ kc þ 1 eðnÞ eðn 1Þ ð7:67Þ
τI
We modify Formulation (7.64) to postulate the mathematical programming

formulation of the optimal PI controller design problem:
" #
X
N X
N
min J ðuðnÞÞ ¼ ðeþ ðnÞ þ e ðnÞÞ þ ρ ðΔuþ ðnÞ þ Δu ðnÞÞ T s
k c , τI , xðnÞ, yðnÞ, uðnÞ
n¼1 n¼1
s:t: )
xðnÞ ¼ Ad xðn 1Þ þ bd uððn 1ÞÞ
n ¼ 1, 2, . . . , N
yðnÞ ¼ xðn δÞ
ð7:68Þ
þ
9
ysp yðnÞ ¼ eðnÞ ¼ e ðnÞ e ðnÞ >
>
>
=
uðnÞ uðn 1Þ ¼ ΔuðnÞ ¼ Δuþ ðnÞ Δu ðnÞ
n ¼ 1, 2, . . . , N
Ts >
>
ΔuðnÞ ¼ k c þ 1 eðnÞ eðn 1Þ >
;
τI
9
Δuþ ðnÞ >
Δu_ max >
=
Ts
n ¼ 1, 2, . . . , N
Δu ðnÞ >
Δu_ max >
;
Ts
xð0Þ ¼ xðt ¼ 0Þ ¼ x0
0 e ðnÞ, e ðnÞ, Δuþ ðnÞ, Δu ðnÞ, τI
þ
The GAMS implementation of Formulation (7.68) is presented in Table 7.14.

The closed loop results obtained are shown in Fig. 7.25. The optimal controller
Table 7.14 GAMS program for the closed loop optimal PI control of a FOPDT system
$ TITLE FOPDT SYSTEM CLOSED LOOP OPTIMAL PI CONTROL

SET n time points /0*300/ ;
PARAMETER tau process time constant /1/

d delay time /1/
k process gain /1/
tf final time /30/
Ts sampling time
time(n) time;
A_d = exp(-Ts/tau);
b_d = (1-A_d)*k;

POSITIVE VARIABLE invtau_I;

VARIABLES k_c, e(n);

Criterion objective function
Error(n) error dynamics
Control(n) PI controller;

Output(n).. y(n) =E= x( n-ceil(d/Ts) );
ABSuvar(n).. u(n)- u(n-1)=E= Duplus(n) - Duminus(n);
Error(n).. e(n) =E= ysp - y(n);

Control(n).. u(n)-u(n-1) =E=k_c*((invtau_I*Ts+1)*e(n)-e(n-1));
Duplus.up(n) =+Dumax*Ts;
Duminus.up(n)=+Dumax*Ts;
u.up(n) = umax;
u.lo(n) = umin;
x.fx('0')=0;
k_c.l = k;
invtau_I.l =1/tau;
MODEL FOPDT_CLOSED_LOOP_PI /ALL/;
OPTION NLP=CONOPT4;
SOLVE FOPDT_CLOSED_LOOP_PI USING NLP MINIMIZING ObjFun;
Fig. 7.25 Closed loop optimal control of a FOPDT system with τ ¼ 1, k ¼ 1, and d ¼ 1 with
rate and bound constraints on the control (sampling time Ts ¼ 0.1, optimal controller
parameters kc ¼ 0.06493670 and τI ¼ 0.18519845)
parameters are kc ¼ 0.06493670 and τI ¼ 0.18519845. The objective function

achieved is JPI ¼ 3.857 for Ts ¼ 0.1. The objective function of the optimal PI
controller is 64% larger than the optimal open-loop control. This performance
degradation is due to the restriction that the controller obtains a specific
structure (that of a PI controller). The performance degradation is also obvious
by comparing Figs. 7.24 and 7.25. The optimal open-loop controller drives the
output at the desired value in only 3 s, while the PI controller needs more than
10 s. The open-loop controller has, however, a more aggressive input variation.
What we have achieved is important: we have developed a mathematical
programming formulation that can be used to select the optimal parameters of
classical PI controllers for any FOPDT process. However, FOPDT models are
only (crude) approximations of real processes that exhibit complex, high-order,
and time-varying dynamics. The meaning is that although we have developed
the optimal PI controller for the nominal values of the FOPDT model, there is
no guarantee that the performance of the closed loop system will be acceptable
or, at least stable, when the parameters k, τ, and d vary.
To demonstrate how vulnerable our “optimal” design can be to parameter
variation, we simulate in MATLAB1 the closed loop system when the
Fig. 7.26 Closed loop control of a FOPDT system with τ ¼ 1, k ¼ 2, and d ¼ 2 with rate and
bound constraints on the control (sampling time Ts ¼ 0.1, controller parameters
kc ¼ 0.06493670 and τI ¼ 0.18519845 which are optimal for τ ¼ 1, k ¼ 1 and d ¼ 1)
parameters of the FOPDT system become τ ¼ 1 (unchanged), k ¼ 2 (100%

increase), and d ¼ 2 (100% increase). The results are shown in Fig. 7.26. The
output of the system exhibits oscillations of increased amplitude which is a
clear indication of unstable closed loop behavior. Therefore, we need to devise
a method to make our “optimal” design insensitive to parameter variations or
robust, as it is usually referred to in Control Theory.
Incorporating robustness into the design of optimal control systems has a
long history in Control Systems Theory, and many alternative methodologies
for achieving that are currently available. The classical idea of achieving
pre-specified gain and phase margins at the design of the controller for the
nominal system is a methodology that is particularly appropriate for low-order
process systems models.
For the definition and the practical implications of achieving specific values
for the phase margin (PM) and the gain margin (GM), the reader is referred to
the relevant literature (see, for instance, Kravaris & Kookos, Understanding
Process Dynamics and Control, CUP, 2021). For our optimization approach, it is
sufficient to remind to the reader that the PM and GM can be calculated
through the solution of a set of four nonlinear equations in four unknowns.
For a FOPDT system and a PI controller, we have that:
ð1 þ τ I s Þ k
LðsÞ ¼ k c eds ð7:69Þ
τI s ðτs þ 1Þ
The magnitude of L(s) is:

pffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffi
kkc 1 þ ω2 τ2I
jLðω; k c , τI , k, τ, dÞj ¼ pffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffi ð7:70Þ
ωτI 1 þ ω2 τ2
and the phase:
π
argfLðω; kc , τI , k, τ, dÞg þ tan 1 ðωτI Þ ωd tan 1 ðωτÞ ð7:71Þ
2
The phase crossover frequency ωp is the frequency at which the phase of the
loop transfer function L(s) ¼ Gc(s)G(s) (Gc(s) is the transfer function of the
controller and G(s) is the transfer function of the process) becomes equal to
180 .
π
þ tan 1 ωp τI ωp d tan 1 ωp τ ¼ 0 ð7:72aÞ
2
The gain crossover frequency ωg is defined as the frequency at which the

magnitude of the loop transfer function becomes equal to 1:
qffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffi
kk c 1 þ ω2g τ2I
qffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffi ¼ 1 ð7:72bÞ
ωg τI 1 þ ω2 τ2
g
We finally have the equations for the GM and the PM:

qffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffi
1 kkc 1 þ ω2p τ2I
¼ qffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffi ð7:72cÞ
GM ωp τI 1 þ ω2 τ2
p
π
PM ¼ þ tan 1 ωg τI ωg d tan 1 ωg τ ð7:72dÞ
2
It is important to note that in Eqs. (7.72a)–(7.72d) appear four unknowns:

PM, GM, ωg, and ωp. These unknowns are functions of the FOPDT model
parameters (k, τ, d ) and the PI controller parameters (kc, τI). To ensure that
the closed loop system remains stable, it is sufficient to ensure that, for all
potential values of the FOPDT model parameters ks, τs, ds, s ¼ 1,2,3,. . .,Ns, PM
(ks,τs,ds) and GM(ks,τs,ds) satisfy the constraints:
0 PMðks , τs , ds Þ, s ¼ 1, 2, . . . , N s ð7:73aÞ
1 GMðks , τs , ds Þ, s ¼ 1, 2, . . . , Ns ð7:73bÞ
Satisfaction of constraints (7.73a) and (7.73b) ensures closed loop stability.

However, apart from ensuring stability, PM and GM can be used to ensure
indirectly acceptable performance. This is achieved by setting lower bounds for
the PM and the GM:
PM min PMðks , τs , ds Þ, s ¼ 1, 2, . . . , Ns ð7:74aÞ

GM min GMðk s , τs , ds Þ, s ¼ 1, 2, . . . , N s ð7:74bÞ
The minimum values are normally selected to be GMmin ¼ 1.7 and PMmin ¼ 30
or π/6.
By adding constraints (7.73) and (7.74) to the optimal PI parameter selec-
tion formulation (7.68), we obtain the mathematical formulation for optimizing
the nominal performance of the closed loop system while ensuring stability for
all potential values of the FOPDT model parameters. There is a more demand-
ing and challenging approach in which Formulation (7.68) is applied for all
potential model parameters. A new performance criterion is defined which is a
weighted sum of the values of the performance criterion for all potential
realizations of the model parameters. This is the most comprehensive
approach but can be computationally intensive. Using Eq. (7.74), acceptable
performance is expected even for the worst case combination of the parame-
ters of the FOPDT model.
The GAMS model that implements Formulation (7.68) with the additional
stability and robustness constraints (7.72) and (7.74) is presented in
Table 7.15. The solution of the problem for the FOPDT system:
Y ð sÞ k
GðsÞ ¼ ¼ eds ð7:75Þ
U ðsÞ τs þ 1
0:5 k, τ, d 1:5
with nominal parameters kN ¼ τN ¼ dN ¼ 1 and PGmin ¼ 10 , and GMmin ¼ 1.2 is

kc ¼ 0.06493670 and τI ¼ 0.18519845. The minimum phase margin is 23.4
and the minimum gain margin is 1.610 and correspond to the realization
kN ¼ τN ¼ dN ¼ 1.5.
To demonstrate the effectiveness of the formulation for generating not only
acceptable nominal performance but also impressive robustness and overall
performance, we perform a crude Monte Carlo simulation of the closed loop
system. 104 realizations are randomly selected in MATLAB, and the closed loop
system simulation is performed. The results are presented in Figs. 7.27 and
7.28. In Fig. 7.27, the parameters ks, τs, and ds, s ¼ 1,2,. . .,104, are shown which
are randomly and uniformly selected in [0.5,1.5]3. The closed loop system is
Table 7.15 GAMS program for the closed loop optimal PI control of a FOPDT
system with minimum PM and GM specification
$ TITLE FOPDT SYSTEM CLOSED LOOP OPTIMAL PI CONTROL

SET n time points /0*300/
s schenarios for parameters values /1*8/;
PARAMETER tauN process time constant /1/

dN delay time /1/
kN process gain /1/
tf final time /30/
Ts sampling time
time(n) time;
A_d = exp(-Ts/tauN); b_d = (1-A_d)*kN;
* + - + + + - - -
* + + - + - + - -
* + + + - - - + -
PARAMETER k(s) /1 1.5,2 0.5,3 1.5,4 1.5,5 1.5,6 0.5,7 0.5,8 0.5/;
PARAMETER d(s) /1 1.5,2 1.5,3 0.5,4 1.5,5 0.5,6 1.5,7 0.5,8 0.5/;
PARAMETER tau(s) /1 1.5,2 1.5,3 1.5,4 0.5,5 0.5,6 0.5,7 1.5,8 0.5/;
SCALAR pi /3.14159265/;

POSITIVE VARIABLE invtau_I, wg(s), wp(s), PM(s), GM(s);
VARIABLES k_c, e(n);

Criterion objective function
Error(n) error dynamics
Control(n) PI controller
GainCo(s), PhaseCo(s), GainM(s), PhaseM(s);

Output(n).. y(n) =E= x( n-ceil(dN/Ts) );
ABSuvar(n).. u(n)- u(n-1) =E= Duplus(n) - Duminus(n);
Error(n).. e(n) =E= ysp - y(n);
Control(n).. u(n)- u(n-1) =E= k_c*( (invtau_I*Ts+1)*e(n)-e(n-1) );
GainCo(s).. wg(s)*sqrt(1+(wg(s)*tau(s))**2) =E=

invtau_I*k(s)*k_c*sqrt(1+(wg(s)/invtau_I)**2);
PhaseCo(s).. pi/2+arctan(wp(s)/invtau_I)-wp(s)*d(s)-
arctan(wp(s)*tau(s)) =E=0;
GainM(s).. GM(s)*k_c*k(s)*sqrt(1+(wp(s)/invtau_I)**2) =E=
wp(s)*sqrt(1+(wp(s)*tau(s))**2)/invtau_I;
PhaseM(s).. PM(s) =E= pi/2+arctan(wg(s)/invtau_I)-wg(s)*d(s)-
arctan(wg(s)*tau(s));
Duplus.up(n) =+Dumax*Ts; Duminus.up(n)=+Dumax*Ts;

u.up(n) = umax; u.lo(n) = umin;
k_c.l = 1/kN; invtau_I.l =1/tauN;
x.fx('0')=0;
GM.lo(s) = 1.2; PM.lo(s) = 3.14153/12;
MODEL FOPDT_CLOSED_LOOP_robustPI/ALL/;
OPTION NLP=CONOPT4;
SOLVE FOPDT_CLOSED_LOOP_robustPI USING NLP MINIMIZING ObjFun;
Fig. 7.27 Parameters of the FOPDT system for the closed loop simulations shown in Fig. 7.28
Fig. 7.28 Closed loop dynamics of the FOPDT system with model parameters shown in
Fig. 7.27
then formed using the optimal PI controller parameters, and the closed loop
system is simulated. In this way, Fig. 7.28 is created (the white line shows the
response of the nominal system). The overall performance of the FOPDT
system and the optimal PI controller is more than satisfactory.
It is important to stress at this point that many researchers have proposed
using mathematical programming formulations for designing classical and
modern control laws using computational methods, but the acceptance from
the community is limited. Despite the fact that the mathematical programming
approach is theoretically consistent and very powerful, the control community
insists on accepting only methodologies that can offer results in closed form.
This is unfortunate as the methodologies that do offer results in closed form
are based on very limiting assumptions and their practical usefulness is
questionable.
Before concluding this interesting application, we will present the solution
to a closely related problem. Assume that we have a low-order model for a
process and we have designed a controller for the nominal system. An inter-
esting question of great practical value is the following: What is the minimum
combined variation of the model parameters that drives the system to the
verge of instability? Note that the problem now is to determine the parameters
of the model for a fixed controller that results in an unstable closed loop
system. We are, more specifically, looking for the parameters that cause
instability, but their scaled distance from the nominal values is minimal:
min w2k ðk kN Þ2 þ w2τ ðτ τN Þ2 þ w2d ðd dN Þ2 ð7:76Þ
where wk, wτ, and wd are the scaling parameters (which can be selected to be
wk ¼ 1/kN, wτ ¼ 1/τN, and wd ¼ 1/dN). When the systems is at the verge of
instability, its GM is one when the phase is π (i.e., |L(ωc)| ¼ 1, and arg
{L(ωc} π, or GM ¼ 1 and PM ¼ 0 must hold simultaneously).
min w2k ðk kN Þ2 þ w2τ ðτ τN Þ2 þ w2d ðd dN Þ2

k, τ, d
s:t: ð7:77Þ
π
þ tan ðωc τI Þ ωc d tan 1 ðωc τÞ ¼ 0
1
2
qffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffi qffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffi
kkc 1 þ ω2c τ2I ωc τI 1 þ ω2c τ2 ¼ 0
where ωc is the critical or crossover frequency.

The GAMS program given in Table 7.16 implements Formulation (7.77). The
solution for the case study under investigation is:
Table 7.16 GAMS program for the closed loop stability analysis of FOPDT system and PI
control
$ TITLE FOPDT SYSTEM CLOSED LOOP STABILITY BOUNDARY

PARAMETERS kN nominal value of process gain /1/
tauN nominal value of process time constant /1/
dN nominal value of dead time /1/
kc controller gain /0.06493670/
tauI integral time /0.18519845/;
SCALAR pi /3.14159265/;
POSITIVE VARIABLES wc, k, tau, d;
VARIABLES L2normSq;
EQUATIONS Magn, Phase, Obj;
Magn.. k*kc*sqrt(1+(wc*tauI)**2)-wc*tauI*sqrt(1+(wc*tau)**2)
=E=0;
Phase.. pi/2+arctan(wc*tauI)-wc*d-arctan(wc*tau) =E=0;
Obj.. L2normSq =E= power(k/kN-1,2)+power(tau/tauN-1,2)+
power(d/dN-1,2);
k.lo = 0.001; k.up = 3; k.l=kN;

tau.lo = 0.001; tau.up = 3; tau.l=tauI;
d.lo = 0.001; d.up = 3; d.l=dN;
wc.l = 0; wc.up = pi; wc.l=pi/(2*d.l);
MODEL StabilityBountary /ALL/;

OPTION NLP=SNOPT;
SOLVE StabilityBountary USING NLP MINIMIZING L2normSq;

---- VAR wc . 0.568 3.142 6.5595E-6
---- VAR k 0.001 1.934 3.000 .
---- VAR tau 0.001 1.165 3.000 .
---- VAR d 0.001 1.918 3.000 -1.548E-6
---- VAR L2normSq -INF 1.743 +INF .
The designer needs to decide at this point whether the distance from the
instability is sufficient for the system under study. The decision is usually
based on the experience, how critical the process unit is (if this is an unstable
reactor with the potential of a run-away reaction we may need to go back to the
controller design step and sacrifice performance for improving the robust-
ness), and the uncertainty in the low-order model relative to the actual process.
7.9 The Control Structure Selection Problem 385
Fig 7.29 The mixing tank

process
7.9 The Control Structure Selection Problem
In Fig. 7.29, a mixing tank process is presented. A hot stream with temperature
TH and volumetric flow rate FH and a cold stream with temperature TC and
volumetric flow rate FC are fed to a mixing tank together with a process stream
with temperature Td and volumetric flow pffiffiffirate Fd. The volumetric flow rate of
the product stream is given by F ¼ k h , where k is a constant. We can
manipulate the hot and the cold stream with the aim to achieve given specifi-
cation (or set point value) on the temperature of the product stream T. The
liquid level in the tank (h) needs also to remain within certain bounds for
avoiding overflow of the tank. The tank has constant cross-sectional area (Ac),
while the density and heat capacity of all streams are constant. The objective is
to design an optimal decentralized proportional controller (optimal in terms of
structure and parameters) that uses the two manipulated variables (FH and FC)
to control the two controlled variables (T and h).
The problem of selecting the best decentralized multivariable controller is
both a structural and parametric optimization problem. There are six potential
control structures (two 2 2 control structures and four 1 1 structures) in
addition to the open-loop (no control) structure:
Structure 1: FH ! T & FC ! h
Structure 2: FH ! h & FC ! T
Structure 3: FH ! T
Structure 4: FH ! h
Structure 5: FC ! T
Structure 6: FC ! h
There is also the need to determine, for each alternative control structure, the
optimal parameters of the controllers. We may follow a complete enumeration
approach in which each structure is evaluated, and then they are compared to
determine the best overall structure. This strategy will work for this small
problem, but the alternative structures increase very fast with the number of
inputs and outputs.
We can formulate the problem of control structure selection as an optimi-
zation problem. To achieve that, we need a performance criterion and a
methodology to describe mathematically the alternative control structures.
We can then solve the problem using classical mathematical programming
techniques.
The first problem is how to select an appropriate performance criterion so
as to efficiently evaluate the alternative control structures. This is clearly a very
complex and multifaceted problem and has no easy solution. The ideal perfor-
mance criterion is related to (in one way or another) the process economics
and the cost of building a process unit or the cost of operating the unit. For the
small case study that we investigate, we will use a more humble criterion that
is based on the squared deviation of the two controlled variables from their set
points hsp and Tsp:
Zt¼H " 2 #
hðt Þ hsp T ðt Þ T sp 2
min þ dt ð7:78Þ
controller structure hsp T sp
and parameters t ¼0
The second problem that we face is the definition of the scenario under
which we will determine what is the optimal structure. In other words, we
need to define the time variation of the uncertain parameters and disturbances
that will cause the controlled variables to deviate from their desired values.
This is also a very important and complex issue as the best control structure
can depend on the assumed scenario. For demonstration purposes and for our
small case study, we will consider a relatively simple scenario: step change in
the set point of one of the controlled variables.
We now present the mathematical formulation of the problem. We first
develop the mathematical model of the process that consists of the material
and energy balance:
dh pffiffiffi
Ac ¼ FH þ FC þ Fd k h ð7:79Þ
dt
dT
Ac h ¼ F H ðT H T Þ þ F C ð T C T Þ þ F d ð T d T Þ ð7:80Þ
dt
The equations of the multivariable proportional controllers are the following:

F H ¼ F H,s þ kFH,h hsp h þ kFH,T T sp T ð7:81Þ

F C ¼ F C,s þ kFC,h hsp h þ kFC,T T sp T ð7:82Þ
7.9 The Control Structure Selection Problem 387
where subscript s denotes steady-state values and kFH,h, kFH,T, kFC,h, and kFC,T
are the controller gains. The controller description is not complete as we need
to express the logical condition that the controller needs to be a decentralized
controller. To this end, we define the binary variables ymn to denote that
manipulated variable m (m2{FH, FC}) is used to control the controlled variable
n (n2{h, T}). The following inequality constraints enforce a decentralized
control structure:
BM yFH,h kFH,h BM yFH,h ð7:83Þ

BM yFH,T k FH,T BM yFH,T ð7:84Þ
BM yFC,h k FC,h BM yFC,h ð7:85Þ
BM yFC,T k FC,T BM yFC,T ð7:86Þ
0 yFH,h þ yFH,T 1 ð7:87Þ
0 yFC,h þ yFC,T 1 ð7:88Þ
0 yFH,h þ yFC,h 1 ð7:89Þ
0 yFH,T þ yFC,T 1 ð7:90Þ
yFH,T , yFC,T , yFC,T , yFC,h ¼ f0, 1g ð7:91Þ
Equations (7.83)–(7.86) ensure that when ymn ¼ 0, then kmn ¼ 0, while kmn can
obtain any value in [BM,BM] when ymn ¼ 1, where BM is a sufficient large
positive constant. Equations (7.87) and (7.88) ensure that each manipulated
variable is assigned to at most one controlled variable. Equations (7.89) and
(7.90) ensure that at most one manipulated variable is selected for each
controlled variable.
To have a complete mathematical description, we need to define the initial
conditions of the system which is assumed to be initially at steady state:
pffiffiffiffi
F H,s þ F C,s þ F d,s k hs ¼ 0 ð7:92Þ
F H,s ðT H,s T s Þ þ F C,s ðT C,s T s Þ þ F d,s ðT d,s T s Þ ¼ 0 ð7:93Þ
where hs, Ts, TH,s, TC,s, Fd,s, and Td,s are known at the initial steady state. hsp and
Tsp are also known functions of time. The unknowns are the variables ymn, kmn,
h(t), and T(t). ymn and kmn are obtained from the solution of the resulting
optimization formulation and define the best control structure and its param-
eters. h(t) and T(t) are determined from the solution of the differential equa-
tion for a given control structure and parameters.
To demonstrate the application of the control structure selection formula-
tion, we consider that the mixing tank is initially at steady state with
hs ¼ hsp ¼ 6.25 m and Ts ¼ Tsp ¼ 25 C and that the set point temperatures
changes for t > 0 to Tsp ¼ 30 C. The cross-sectional area of the tank (Ac ¼ 1),
the constant of the output flow rate (k ¼ 3 m5/2/min), the temperature of the
hot and cold streams (TH ¼ 65 C, TC ¼ 15 C), and the flow rate and
temperature of the process stream (Fd ¼ 1 m3/min, Td ¼ 40 C) remain
constant (i.e., only the temperature set point varies). The GAMS model
presented in Table 7.17 is created, and the control structure selection problem
is solved. The best integer solution is the following:
Optimal Structure : F H ! T&F C ! h Objective function : 33:248323
Integer cuts are then added to find the remaining promising structures:
2nd Optimal Structure: FH ! h & FC ! T Objective function: 49.581339

3rd Optimal Structure: FH ! T Objective function: 91.784266
4th Optimal Structure: FC ! T Objective function: 133.564341
5th Optimal Structure: no control Objective function: 138.657407
We note that the two structures that use both manipulated variables to
control both controlled variables are significantly better than the two struc-
tures that use either FH or FC to control only the temperature T. The fifth best
structure is the open-loop (or no control) structure. Needless to say that any
solution that does not control the level of the liquid in the tank is not acceptable
from the practical point of view as overflow is highly possible.
Learning Summary
In the previous chapter, we introduced GAMS, a powerful modelling environ-

ment for optimization studies. In this chapter, we solve a number of challeng-
ing case studies in GAMS with the aim to build confidence and also realize the
limitations of the currently available optimization software.
Terms and Concepts

Complex Chemical Equilibrium model and solution
Dynamic optimization and Mixed-Integer Dynamic
GAMS modelling environment and its advantage over MATLAB
Optimal design of Distillation columns
Optimal design of multi-effect Evaporators
Optimal Design of Renewable Energy Systems
Controller design and control structure selection
Table 7.17 GAMS model for the control structure selection in a mixing tank problem
* Mixing tank Regulatory Control Structure Selection problem

SETS j nodes /1*301/
i states /h,T,ISE/
m inputs /FH,FC/
n(i) measurements /h,T/;
PARAMETER NP; NP=card(j)-1;
PARAMETER tF; tF=5;
PARAMETER dt; dt=tF/NP;
PARAMETER time(j); time(j)=(ord(j) - 1)*dt;
PARAMETER Ac cross sectional area of the tank m^2 /1/
TH temparature of the hot stream degC /65/
TC temperature of the cold stream degC /15/
k constant for the outflow model /3/
hsps initial sp for liquid level in m /6.25/
Tsps initial sp for temperature in deg C /25/
Fds ss value for process stream flowrate /1/
Tds ss value for process stream temperature /40/
hsp sp for liquid level for t>0 /6.25/
Tsp sp for temperature for t>0 /30/
Fd flowrate for process stream for t>0 /1/
Td temperature for process stream for t>0 /40/;
SCALAR BM /1/;
VARIABLES f(i,j), x(i,j), e(n,j), u(m,j), us(m), KC(m,n), Obj;
BINARY VARIABLES y(m,n);
EQUATIONS eq1(i,j),eq2(j),eq3(j),eq4(j),eq5(j),eq5a,eq6(j),eq6a,
eq7(m,j),eq7a,eq7b,eq8(m,n),eq9(m,n),eq10(m),eq11(n),ObjFun;
* ODE INTEGRATION
eq1(i,j)$( ord(j) gt 1 ).. x(i,j)=E=x(i,j-1)+0.5*dt*(f(i,j)+f(i,j-1));
* SYSTEM DYNAMICS
eq2(j).. Ac*f('h',j) =E= u('FH',j)+u('FC',j)+Fd-k*sqrt(x('h',j));
eq3(j).. Ac*x('h',j)*f('T',j)=E=u('FH',j)*(TH-x('T',j))+u('FC',j)*(TC-
x('T',j))+Fd*(Td-x('T',j));
eq4(j)..
f('ISE',j)=E=1000*((e('h',j)/hsp)**2+(e('T',j)/Tsp)**2);
* ERROR DEFINITION
eq5(j)$( ord(j) gt 1 ).. e('h',j) =E= -x('h',j) + hsp;
eq5a.. e('h','1') =E= -x('h','1') + hsps;
eq6(j)$( ord(j) gt 1 ).. e('T',j) =E= -x('T',j) + Tsp;
eq6a.. e('T','1') =E= -x('T','1') + Tsps;
* CONTROL LAW
eq7(m,j).. u(m,j) =E= us(m) + sum( n, KC(m,n)*e(n,j) ) ;
* CALCULATE u_bias ASSUMING SYSTEM AT SS AT t=0
eq7a.. us('FH')+us('FC')+Fds-k*sqrt(hsps) =E= 0;
eq7b.. us('FH')*(TH-Tsps)+us('FC')*(TC-Tsps)+Fds*(Tds-Tsps)=E=0;
* DECENTRALISED CONTROL STRUCTURE SELECTION
eq8(m,n).. KC(m,n) =L= BM*y(m,n);
eq9(m,n).. KC(m,n) =G= -BM*y(m,n);
eq10(m).. sum(n,y(m,n))=L=1;
eq11(n).. sum(m,y(m,n))=L=1;
* OBJECTIVE FUNCTION
ObjFun.. Obj=e= x('ISE','301');
* INITIAL GUESSES and INITIAL CONDITIONS
x.lo('h',j)=0.1; x.up('h',j)=5; x.l('h',j)=1;
x.lo('T',j)=TC; x.up('h',j)=TH; x.l('T',j)=25;
u.lo(m,j) =0; u.up(m,j)=10;
us.lo(m)=0 ; us.up(m)=10;
* Initial Conditions and states at set points at t=0
x.fx('ISE','1')=0; e.fx('h','1')=0; e.fx('T','1')=0;
MODEL mixing_tank /ALL/ ;

OPTIONS MINLP=SBB;
SOLVE mixing_tank USING miNLP MinIMIZING Obj;
Problems
7.1 Investigate the effect that the minimum pressure has on the economics
of the single evaporator process (assume that the minimum pressure
can be varied in the range 0.1–1 bar). Explain why the minimum always
corresponds to the minimum pressure.
7.2 The single-effect evaporator has been optimized using the CONOPT4
solver. Compare the performance of CONOPT4 with other NLP solvers
(SNOPT, MINOS, BARON, KNITRO, etc.). Generate a table to compare
their performance.
7.3 Increase the number of evaporators in the program of Table 7.3. What is
the optimum number of effects? Prepare a short report.
7.4 Use the GAMS program of Table 7.6 to determine the optimal design for
the case where the top purity varies from 0.9 to 0.999. Make a plot of the
main process variables as a function of the purity of the top product.
What do you observe?
7.5 For the batch reactor optimization problem and its implementation in
GAMS (Table 7.7), study the cases of a linear and then a quadratic profile
for the manipulated variable, and compare your results with the results
obtained using the exponentially decreasing profile.
7.6 Start with the GAMS program given in Table 7.8, and increase the
number of elements and nodes. What is the best objective that you can
achieve? How does it compare with the optimal value of 0.610071345?
Was the improvement obtained worth the effort (from the practical
implementation point of view)?
7.7 Solve the following optimal control problem (Goh & Teo, Automatica,
24(1), pp. 3–18, 1988), and compare your results with the optimal
solution reported in the literature.
Z 1
min J ¼ x21 ðt Þ þ x22 ðt Þ þ 0:005u2 ðt Þ dt
uðt Þ 0
s:t:
x_ 1 ðt Þ ¼ x2 ðt Þ
x_ 2 ðt Þ ¼ x2 ðt Þ þ uðt Þ
x2 ðt Þ 8ðt 0:5Þ2 þ 0:5 0, 8t
x ð0Þ ¼ 0 1 T
7.8 Solve also Example 1 of the abovementioned publication, and prepare a

short report.
Problems 391
Z 1
min J ¼ x2 ðt Þ þ u2 ðt Þ dt
uðt Þ 0
s:t:
dxðt Þ
¼ uðt Þ, xð0Þ ¼ 1
dt
7.9 Several investigators have proposed to use monetary values for the CO2
emission so as to account for the financial and social impact of pollution
on the human health and on the environment. The values that have been
suggested vary over several orders of magnitude and range from 0.02 $/
kg CO2eq (20 $/t CO2eq) up to 650 $/kg CO2eq. Modify the GAMS program
of Table 7.9 so as to be able to minimize a combined objective function
that incorporates the unit electricity cost and the cost of the CO2eq
emissions. Use the indicative value of 0.1 $/kg CO2eq, and present the
solution obtained.
7.10 Ladakis et al. (Biochemical Engineering Journal, 137, p. 262, 2018) have
studied experimentally and theoretically the metabolic capabilities of
Actinobacillus succinogenes and Basfia succiniciproducens grown on
spent sulfite for succinic acid production. The metabolic network of
B. succiniciproducens was modified in order to obtain the metabolic
pathway of A. succinogenes. A. succinogenes lacks a complete TCA cycle
resulting in only one pathway for succinate production (nonexistent
reactions, reactions 22, 23, 24, and 33 in Fig. 7.22). Collect all information
necessary, and propose modifications of the GAMS model of Table 7.12 to
produce the theoretical maximum yields of A. succinogenes (see Fig 7.23)
when grown on glucose. The equation for biomass production for
A. succinogenes is the following:
1:502 OAA þ 1:370 PG3 þ 0:686 RIBO5P þ 46:930 ATP

þ13:439 NADPH þ 7:813 NH3 þ 3:094 NAD þ 3:006 AcCoA
þ2:764 PYR þ 0:244 E4P þ 0:528 PEP þ 0:126 F6P
þ0:410 G6P þ 0:099 GAP
! 1 Biomass þ 13:439 NADP þ 3:094 NADH þ 46:930 ADP
7.11 The following reactions are taking place in a batch reactor of constant
volume:
k1
A!B
k2
B!C
k3
AþB!BþB
k4
AþB!BþC
k5
AþB!BþD
where ki, i ¼ 1,2,. . .,5 are the reaction rate constants given by:

E
k i ¼ k 0i exp i
RT
k0i are the pre-exponential constants, R the ideal gas constant, and Ei the
activation energy. Values for these constants are given in the table that
follows:
i ln(k0i) [] Ei/R [1/K]

1 8.86 10 215.4
2 24.25 18 820.5
3 23.67 17 008.9
4 18.75 14 190.8
5 20.70 15 599.8
The absolute temperature is bounded:
698:15 T ðt Þ 748:15
The aim is to calculate the optimal temperature variation so as to

maximize the concentration of B at the end of the reactor operation.
Assume that the reactor operates for tf ¼ 10 h and that the following
model is a realistic representation of the reactor operation, and deter-
mine the optimal temperature profile:
dC A ðt Þ
k 1 C A ðt Þ ðk3 þ k4 þ k5 ÞC A ðt ÞC B ðt Þ
dt
dC B ðt Þ
¼ þ k 1 C A ðt Þ þ k 3 C A ðt ÞC B ðt Þ k 2 C B ðt Þ
dt
mol
C A ð0Þ ¼ 1 , C B ð0Þ ¼ 0
L
7.12 For the combination of a PI controller and a FOPDT system, studied in

Sect. 7.8, the GAMS model of designing an optimal PI controller for a step
change in the set point is given in Table 7.14. We will now study the case
of a Proportional-Integral-Derivative (or PID) controller. Show initially
following the ideas presented in Sect. 7.8 that the discrete form of the
“ideal” PID controller:
Problems 393
0 1
Zt
1 deðt ÞA
u ð t Þ ¼ k c @e ðt Þ þ eðθÞdθ þ τD ð7:650 Þ
τI dt
0
is given by:
uðnÞ ¼ uðn 1Þ þ ΔuðnÞ ð7:660 Þ

Ts τ
ΔuðnÞ ¼ kc þ 1 e ðn Þ e ð n 1 Þ þ k c D
τI Ts
½eðnÞ 2eðn 1Þ þ eðn 2Þ ð7:670 Þ
Modify the GAMS model given in Table 7.14 to incorporate the D part
of the controller, and also eliminate the rate constraints on the input.
Perform the optimization. Compare the results obtained using optimal
open-loop, P, PI, and PID controller. Does the PID controller significantly
improve the performance for the system as compared to an optimal PI
controller (this is a usual argument in the literature)?
Appendix A: Introduction to MATLAB®
Introduction
MATLAB® is a powerful tool for mathematical and engineering calculations. It

can be used as a simple scientific calculator, to visualize data in different ways,
to perform complex matrix algebra, to perform polynomial manipulations,
numerical integration, and solution of differential equations, etc. In Windows
environments, you can invoke MATLAB by double clicking on the relative icon
on the desktop of your computer. The string >> in the Command Window is
the MATLAB prompt, and you can interact with MATLAB by typing commands
and pressing the enter (↩) on your keyboard. A simple example is to assign the
value of 2 to variable x and the value of 5 to variable y:
>> x=2
x=
2
>> y=5
y=
5
© The Editor(s) (if applicable) and The Author(s), under exclusive license 395
to Springer Nature Switzerland AG 2022
and Its Applications 197, https://doi.org/10.1007/978-3-031-11298-0
396 Appendix A: Introduction to MATLAB®
You can then multiply (*), divide (/), add (+), and subtract (-) x and y:
>> x*y
ans =
10
>> x/y
ans =
0.4000
>> x+y
ans =
7
>> x-y
ans =
-3
or you can raise x to the power y:
>> x^y
ans =
32
>>
Semicolon (;) can be used to suppress the response by MATLAB. Of course,

you can multiply 2 by 5, or add them together directly without assigning the
values to specific variables:
>> 2*5
ans =
10
>> 2+5;
>>
Appendix A: Introduction to MATLAB® 397
In the same way, we may define vectors and matrices in MATLAB. To define
the vector x and the table A
2 3 2 3
1 1 2 3
6 7 6 7
x = 4 3 5, A = 4 4 5 65
7 7 8 9
we type the following in the command window:
>> x=[1;3;7]
x=
1
3
7
>> A=[1 2 3; 4 5 6; 7 8 9]
A=
1 2 3
4 5 6
7 8 9
>>
MATLAB is the ideal environment for performing matrix manipulations:
>> A*x
ans =
28
61
94
>> x*A
Error using *
To understand why the MATLAB returns an error message, it is reminded

that if A is an n-by-p matrix and B is an p-by-m, then their product
Cn×m = An×p * Bp×m is an n-by-m matrix:
X
C ij = Aik Bkj
k
The multiplication is possible only if the number of columns of matrix A is

equal to the number of rows of B. x is a 3-by-1 matrix (vector), and A is a 3-by-3
matrix, and therefore A3×3 * x3×1 is permissible, while x3×1 * A3×3 is not. For
matrix addition or subtraction, the two matrices must have the same number of
rows and the same number of columns:
C ij = Aij ± Bij
In MATLAB we can define special type of matrices such as an n-by-m matrix

with all elements equal to one or zero:
>> n=4;
>> m=3;
>> A=ones(n,m)
A=
1 1 1
1 1 1
1 1 1
1 1 1
>> B=zeros(n,m)
B=
0 0 0
0 0 0
0 0 0
0 0 0
or the unit matrix I which is a square matrix:
>> I=eye(n)
I=
1 0 0 0
0 1 0 0
0 0 1 0
0 0 0 1
For any square (n-by-n), invertible matrix A, it holds true that
A - 1 A = AA - 1 = I
>> A=[1 4 3;2 9 6;7 8 5]
A=
1 4 3
2 9 6
7 8 5
>> inv(A)*A
ans =
1.0000 0 -0.0000
0 1.0000 0
-0.0000 -0.0000 1.0000
>> A*inv(A)
ans =
1.0000 0 -0.0000
0 1.0000 -0.0000
0 0 1.0000
For any n-by-m matrix A the transpose of A is denoted by AT and is a m-by-n

matrix with columns the rows of A:
>> A=[1 2 3;4 5 6]
A=
1 2 3
4 5 6
>> B=A'
B=
1 4
2 5
3 6
For square matrices, the following MATLAB commands are useful:
[V,D] = eig(A) Computes the eigenvalues (diagonal elements of V) and the eigenvec-
tors (columns of D) of A
d = det(A) Computes the determinant of A
To solve the linear system of equations:
A x=b
we use the command x=A\b:
>> A=[1 4 3;2 9 6;7 8 5];

>> b=[1;2;3];
>> x=A\b
x=
0.2500
0
0.2500
or
>> x=inv(A)*b
x=
0.2500
0
0.2500
The same can be performed symbolically using the syms command from the
symbolic toolbox:
>> clear all

>> syms a b c d A
>> A=[a b;c d]
A=
[ a, b]
[ c, d]
>> inv(A)
ans =
[ d/(a*d - b*c), -b/(a*d - b*c)]
[ -c/(a*d - b*c), a/(a*d - b*c)]
>> det(A)
(continued)
ans =
a*d - b*c
>> eig(A)
ans =
a/2 + d/2 - (a^2 - 2*a*d + d^2 + 4*b*c)^(1/2)/2
a/2 + d/2 + (a^2 - 2*a*d + d^2 + 4*b*c)^(1/2)/2
which gives the analytic expression for the inverse, determinant, and eigen-
values of a 2-by-2 matrix.
The clear command can be used at any point to clear the variables from
the workspace. Other useful commands are the who, whos, and the help
commands:
>> who
Your variables are:
A a ans b c d
>> whos
Name Size Bytes Class Attributes
A 2x2 8 sym
a 1x1 8 sym
ans 2x1 8 sym
b 1x1 8 sym
c 1x1 8 sym
d 1x1 8 sym
>> clear
>> who
>> whos
>> help clear
clear Clear variables and functions from memory.
clear removes all variables from the workspace.
clear VARIABLES does the same thing.
clear GLOBAL removes all global variables.
clear FUNCTIONS removes all compiled MATLAB and MEX-functions.
Calling clear FUNCTIONS decreases code performance and is usually
unnecessary.
For more information, see the clear Reference page.
clear ALL removes all variables, globals, functions and MEX

links.
The linspace(x0,xf,n) command generates n points uniformly distrib-

uted in the interval [x0,xf]:
>> clear all

>> x=linspace(0,10,11)
x=
0 1 2 3 4 5 6 7 8 9 10
The command logspace(n1,n2,n) generates points uniformly distrib-

uted in the logarithmic scale:
>> logspace(-2,2,5)
ans =
0.0100 0.1000 1.0000 10.0000 100.0000
There is a wide set of build in functions available in MATLAB, and the most
commonly used are the following:
We may use sin and cos to calculate the values of sin and cos for x=[0 π/6 π/
3 π/2]:
>> clear
>> x=pi*[0 1/6 1/3 1/2];
>> sin(x)
ans =
0 0.5000 0.8660 1.0000
>> cos(x)
ans =
1.0000 0.8660 0.5000 0.0000
Note that as x is defined as a row vector, sin(x) and cos(x) are row
vectors as well. It is more informative if we use the plotting facilities in
MATLAB to plot sin(x) and cos(x). The basic plotting command in MATLAB is
plot(x,y):
>> clear
>> x=linspace(0,2*pi,101);
>> plot(x,sin(x))
The figure generated needs improvement which can be achieved using the
following commands (in case their effect is not obvious to the reader, then use
the help command to explore them further—observe also their effect on the
figure produced when they are applied)
>> plot(x,sin(x),'k-','Linewidth',1.2)
>> grid on
>> axis tight
>> xlabel('x')
>> ylabel('sin(x)')
>> title('Sin(x)')
>> hold on
>> plot(x(1:10:length(x)),sin(x(1:10:length(x))),'ko')
We may plot both the sin(x) and the cos(x) in the same figure:
>> figure(2)
>> hold on
>> plot(x,cos(x),'k--','Linewidth',1.2)
>> xlabel('x')
(continued)
>> ylabel('sin(x) or cos(x)')

>> axis([0 2*pi -1 +1])
>> grid on
or we may divide the plot to subplots:
>> figure(3)
>> subplot(2,1,1)
>> xlabel('x')
>> ylabel('sin(x)')
>> grid on
>> axis tight
>> subplot(2,1,2)
>> plot(x,cos(x),'k-','Linewidth',1.2)
>> grid on
>> xlabel('x')
>> ylabel('cos(x)')
>> axis tight
Other plotting commands are the bar, stems, and stairs commands:
>> figure(4)
>> x=linspace(0,2*pi,21);
>> subplot(3,1,1)
>> bar(x,sin(x))
>> title('Subplot 1-1-bar')
>> subplot(3,1,2)
>> stem(x,sin(x))
>> title('Subplot 2-1-stem')
>> subplot(3,1,3)
>> stairs(x,sin(x))
>> title('Subplot 3-1-stairs')
The color options are:
y yellow
m magenta
c cyan
r red
g green
b blue
w white
k black
and the choice of symbols are:
. point
v triangle (down)
o circle
^ triangle (up)
x x-mark
< triangle (left)
+ plus
> triangle (right)
* star
p pentagram
s square
h hexagram
d diamond
It is also possible to control the line style using one of the following options:
- solid
: dotted
-. dashdot
-- dashed
MATLAB provides a number of commands to plot 3D data. A surface is defined

by a function z = f(x, y), where for each pair of (x, y), the value (height) of z is
computed. To plot a surface, a rectangular domain on the (x, y)-plane is created
first. This mesh or grid of points is constructed by the use of the command
meshgrid as follows:
>> clear
>> x=linspace(-8,8,21);
>> y=linspace(-8,8,21);
>> [X,Y]=meshgrid(x,y);
>> plot(X,Y,'ko')
>> xlabel('x');
>> ylabel('y')
>> grid on
(note that MATLAB is case sensitive, i.e., x and X are different variables). Then
the surface of the function:
pffiffiffiffiffiffiffiffiffiffiffiffiffiffiffi
sin x2 þ y2
z = f ðx, yÞ = pffiffiffiffiffiffiffiffiffiffiffiffiffiffiffi
x2 þ y2
can be plotted as follows:
>> r=sqrt(X.^2+Y.^2);
>> r=r+(r==0)*eps;
>> z = sin(r)./r;
>> surf(X,Y,z)
>> mesh(X,Y,z)
The reader should note that in calculating the intermediate variable r, we

performed the operation r=r+(r==0)*eps, to avoid division by error. The
condition (r==0) is first checked (as expressions in parenthesis are
performed first in MATLAB followed by multiplications/divisions), and eps
is added to r if r is equal to zero. eps is the smallest number that can be
detected in your system as being different than zero. To use control flow
commands, it is necessary to perform operations that result in logical values:
1 (TRUE) or 0 (FALSE). The relational operators:
< less than

<= less or equal to
> greater that
>= greater or equal to
== equal to
~= not equal to
can be used to compare two arrays of the same size or an array to a scalar.
Combinations of logical expressions can be performed using the logical
operators:
& and
| or
~ not.
The example that follows demonstrates the use of logical operations:
>> x=[1 2 3 5 11]
x=
1 2 3 5 11
>> y=(x<=2)|(x>10)
y=
1 1 0 0 1
>> z=(x>2)&(x<=10)
z=
0 0 1 1 0
>> (y==~z)
ans =
1 1 1 1 1
Another new feature that was introduced is the use of the dot (.) operator:
>> r=sqrt(X.^2+Y.^2);
When the dot operator is used, then the intended mathematical operation is
performed on an element-by-element basis:
>> A=[1 2;3 4]
A=
1 2
3 4
>> A^2
ans =
7 10
15 22
>> A.^2
ans =
1 4
9 16
Note that while A^2 is the usual operation of raising a matrix to a power
of 2:

1 2
1 2 11þ23 12þ24 7 10
A =A A=
2
= =
3 4 3 4 31þ43 32þ44 15 22
the A.^2 causes each element of A to be raised to the power of 2:

" #
12 22 1 4
A: =
2
=
32 42 9 16
Controlling the Flow
Like all computer programming languages, MATLAB features elements that

allow us to control the flow of command execution. There are three main
control flow elements:
The if/else structure:
The for structure:
The while structure:
We will now demonstrate the use of flow control through some simple
examples.
We will first demonstrate the use of the if element. Let assume that you have
been asked to determine the drag coefficient for a spherical object, given the
Reynolds number which must be greater that 0.0001 (NRe > 0.0001). It is known
that the Drag coefficient of a sphere decreases with the Reynolds number and drag
coefficient becomes almost a constant (CD = 0.44) for a Reynolds number between
103 and 2 × 105. More specifically, you have been given the following information:
8 24
>
> , 0:0001 ≤ N Re < 0:2
>
> N Re
>
>
< 24
C D = N Re þ 0:44, 0:2 ≤ N Re < 1000
>
>
>
>
>
> 0:44, 103 ≤ N Re ≤ 2 105
:
0:05, N Re > 2 105
The calculation for a given value of the Reynolds number can be performed as
follows:
if (NRe<1e-4)
disp(‘Equation not available for N_{Re}<1e-4)
CD = NaN;
(continued)
elseif ((Nre>=1e-4)&(Nre<0.2))
CD = 24/Nre;
elseif ((Nre>=0.2)&(Nre<1e3))
CD = 24/Nre+0.44;
elseif ((Nre>=1e3)&(Nre<2*1e5))
CD = 0.44;
else
CD = 0.05;
end
The best way to implement this sequence of commands is to create a

subroutine or function in MATLAB that can be built as an m-file. Function
can be defined in MATLAB by selecting New/Function:
The text editor is invoked, and we may create our function:

We then save our file by selecting Save/Save As. Be careful to save the file in
your current directory of MATLAB.
After this small but important diversion, we return to demonstrate now the
for element. Let now assume that we want to prepare a plot of the drug
coefficient. We first create a vector with values of the Reynolds number in
the range [10-3,106] and then use the for element to evaluate the drug
coefficient for each element of the vector of the Reynolds numbers (use help
to find information about the length, semilog, and loglog commands in
MATLAB):
When we run this script file (an m-file that is not a function), we obtain the
graph of the drag coefficient:
To demonstrate the use of while element, we will use the analytic solution
for the temperature distribution at the center of a slab, with uniform initial
temperature T0, in which the surface temperature changes suddenly to T1 and
remains constant. If the thermal diffusivity is a and the thickness of the slab is
2b, then (see Bird et al., Introductory Transport Phenomena, Wiley, 2015,
p. 350):

T ð0, τÞ - T 1 X1
n exp - λn τ
2
1 at
Θ ðτ Þ = =2 ð - 1Þ , λn = n þ π, τ = 2
T1 - T0 n=0
λ n 2 b
The problem in the calculation is that it involves adding an infinite number of

terms. However, as the absolute value of the function inside the summation is a
decreasing function of n, we normally stop adding terms when:

exp - λ2n τ
f ðn, τÞ = ≤ tol
λn
The while element is the most appropriate for performing this calculation:
Vectorization
It is particularly advantageous in MATLAB to use matrix operation instead of

using for loops. Let’s take a specific example to demonstrate the reduction in
computational time when we use a matrix operation to perform calculations. A
widely acceptable approximation to the Moody friction coefficient for fluid flow
in rough pipes, as determined by the Colebrook equation, is given by the Eck
equation:
1 e=D 15
pffiffiffi = - 2 log 10 þ
f 3:715 N Re
The advantage of the Eck approximation is that the friction coefficient is

calculated directly, while the Colebrook equation requires a numerical solu-
tion. If we select e/D (the ratio of the roughness e over the pipe diameter D) to
belong to the range [0.00005,0.05] and the Reynolds number to belong to the
interval [3103, 108], then we can generate the Moody diagram using the Eck
equation using nested for loops or matrix operations (use help to collect
information for the tic/toc commands):
Nested for loops:
clear
NRe=logspace(log10(3000),8,20000);
e_D=[0.5 0.75 1 2.5 5 7.5 10 25 50 75 100 250 500]*1e-4;
tstart1 = tic;
for i=1:length(NRe)
for j=1:length(e_D)
X=-2*log10(e_D(j)/3.715+15/NRe(i));
f(i,j)=1/X^2;
end
end
telapsed1 = toc(tstart1);
loglog(NRe,f)
grid on
axis([1e3 1e8 1e-2 1e-1])
xlabel('Reynolds Number')
ylabel('Moody friction factor f')
Vectorized:
tstart2 = tic;
f1=1./(-2*log10(e_D'/3.715+15./NRe)).^2;
telapsed2 = toc(tstart2);
and we finally compare them:
ratio=telapsed1/telapsed2
>> EckLoop
ratio =
100.8723
We therefore observe that the vectorized form “runs” 100 times faster (!) to
produce the following graph:
Basic Numerical Calculations in MATLAB®
We will demonstrate how to perform three basic numerical computations in

MATLAB:
• Solving nonlinear algebraic equations
• Solving differential and algebraic equations
• Calculating integrals
To demonstrate the first, we consider the flash tank of Fig. A.1. An equimolar
mixture of component A (more volatile) and component B, with known molar
flowrate (F) and composition (z, mole fraction of more volatile component), is
fed to the flash tank that operates at constant and known pressure (P) and
temperature (T). Our aim is to determine the molar flow rate (V ) and compo-
sition (y, mole fraction of the more volatile component) of the vapor product
and of the liquid product (L, x). The mathematical model of the process
consists of:
Fig A.1 The case study of V

the flash tank y
F=1 kmol/min 2653

z=0.5 P=760 mmHg ln = 15.81 −
T=76 ℃ 226 +
2882
ln = 15.88 −
222 +
L
x
The overall material balance:
f 1 ðL, V Þ = F - L - V = 0
The material balance of the more volatile component:
f 2 ðL, V, x, yÞ = Fz - Lx - Vy = 0
The equilibrium for the more volatile component:
f 3 ðx, yÞ = xPsA - yP = 0
The equilibrium for the less volatile component:
f 4 ðx, yÞ = ð1 - xÞPsB - ð1 - yÞP = 0
The component material balance is nonlinear and thus this is a nonlinear

problem of four equations in four unknowns (L, V, x, y). The problem is to find x:
32
L
6V 7
6 7
x=6 7
4x 5
y
so that:
2 3
f 1 ðx Þ
6 f ðx Þ 7
6 2 7
f ðxÞ = 6 7=0
4 f 3 ðx Þ 5
f 4 ðx Þ
We can solve this problem in MATLAB using the fsolve command. We first
create an m-file with the equalities:
function f=flash(X)
% flash tank problem
L=X(1); V=X(2); x=X(3); y=X(4);
F = 1 ; % feed molar flowrate kmol/min
z = 0.5; % feed composition
P = 760; % pressure mmHg
T = 75; % temperature deg C
Avp=[15.81 15.88];
Bvp=[ 2653 2882];
Cvp=[ 226 222];
Ps = exp(Avp-Bvp./(Cvp+T));
f(1) = F - L - V;
f(2) = F*z - L*x -V*y;
f(3) = x*Ps(1) - y*P;
f(4) = (1-x)*Ps(2) - (1-y)*P;
f=f(:);
return
Note that the % is used to introduce comments in MATLAB. We then use

fsolve to solve the problem of:
>> fsolve(@flash,[0.5;0.5;0.4;0.6])
Equation solved.
fsolve completed because the vector of function values is near zero

as measured by the default value of the function tolerance, and the
problem appears regular as measured by the gradient.
ans =
0.7805
0.2195
0.4562
0.6557
To demonstrate the solution of differential equations in MATLAB, we con-

sider the batch bioreactor of Fig. A.2. Fresh material is loaded into the batch
reactor at time t = 0. The volume of the reactor V = 1 m3 is constant, and
substrate (carbon source) with concentration S(t) is consumed to produce cells
with concentration X(t). The cell growth follows a Monod kinetics with μmax = 1
1/h and Ks = 1 g/L. The initial concentration of the substrate is S(0) = 60 g/L
and of the cells 0.1 g/L. If the yield coefficient is Yx/s = 0.1 g/g, we want to
simulate the reactor operation and calculate how the concentrations change
with time.
Fig A.2 A batch

bioreactor
= ( )⋅
/ =
V
X ( )=
S +
The mathematical model of the process consists of the material balances of

biomass and substrate:
dX ðt Þ
= r X ðS, X Þ, X ð0Þ = 0:1
dt
dS ðt Þ
= - r S ðS, X Þ, S ð0Þ = 100
dt
There are also two algebraic equations for calculating the rates of biomass
formation and substrate consumption:
S
μ - μ max =0
KS þ S
rX - μ X = 0
rX
rS - =0
Y xs
We may solve directly the system of differential and algebraic equations (DAE),
as given above, which has the following general mathematical description:
dx
= f ðt, x, zÞ
dt
0 = gðt, x, zÞ
where x is the vector of differential variables (x = [X S]T) and z is the vector of

algebraic variables (z = [μ rX rS]T). We will, however, first solve the problem as
an ordinary differential equations (ODE) problem by substituting all algebraic
equations into the differential equations:
dX ðt Þ S ðt Þ
= μ max X ðt Þ, X ð0Þ = 0:1
dt K S þ S ðt Þ
dS ðt Þ μ S ðt Þ
= - max X ðt Þ, S ð0Þ = 100
dt Y x=s K S þ Sðt Þ
with μmax = 1 1/h, Ks = 1 g/L and Yx/s = 0.1 g/g. To achieve that we create the
following m-file with the right-hand side of the ODE system:
function dxdt=BatchBio(t,x)
X = x(1); % biomass concentration in g/L

S = x(2); % substrate concentration in g/L
miu_max=1; % maximum spc growh rate in 1/h
Ks = 1; % saturation constant in g/L
Yxs= 1/10; % yield coeficient in g/g
rX = miu_max*S*X/(Ks+S);
dxdt= [1; -1/Yxs]*rX;

dxdt=dxdt(:);
We then solve the ODE using the ODE solver ode15s available in MATLAB
and plot the results:
clear
x0=[0.1;100]
[t,y]=ode15s(@BatchBio,[0 5],x0)
figure(1)
subplot(2,1,1)
plot(t,y(:,2),'k','Linewidth',1)
xlabel('Time (h)')
ylabel('S(t) (g/L)')
axis([0 5 0 100])
grid on
subplot(2,1,2)
xlabel('Time (h)')
ylabel('X(t) (g/L)')
axis([0 5 0 12])
grid on
Other commonly used ODE solvers in MATLAB are the ode113 and ode45.
We will now solve the problem as a DAE problem. We first create the rhs of
the differential and algebraic equations in an m-file:
function dxdt=BatchBioDAE(t,x)
X = x(1); % dif: biomass concentration in g/L

S = x(2); % dif: substrate concentration in g/L
miu= x(3); % alg: specific growth rate in 1/h
rX = x(4); % alg: rate of biomass form. in g/L h
rS = x(5); % alg: rate of substrate cons. in g/L h
miu_max=1; % maximum spc growh rate in 1/h
Ks = 1; % saturation constant in g/L
Yxs= 1/10; % yield coeficient in g/g
% dif eqs
f(1) = +rX;
f(2) = -rS
% alg eqs
g(1) = miu - miu_max*S/(Ks+S);
g(2) = rX - miu*X;
g(3) = rS - rX/Yxs;
%
dxdt= [f(:);g(:)];
We then solve the DAE problem using ode15s:
clear
X0 =0.1;
S0 =100;
miu0=1*S0/(1+S0);
rX0 = miu0*X0;
rS0 = rX0/0.1;
x0=[X0;S0;miu0;rX0;rS0];
M=diag([1;1;0;0;0])
options=odeset('Mass',M);
[t,y]=ode15s(@BatchBioDAE,[0 5],x0,options)
figure(2)
clf
subplot(3,1,1)
xlabel('Time (h)')
ylabel('\mu(t) (1/L)')
axis([0 5 0 1])
grid on
subplot(3,1,2)
xlabel('Time (h)')
ylabel('r_{X}(t) (g/(L h))')
axis([0 5 0 10])
grid on
subplot(3,1,3)
plot(t,-y(:,5),'k','Linewidth',1)
xlabel('Time (h)')
ylabel('r_{S}(t) (g/(L h))')
axis([0 5 -100 0])
grid on
Note how Tex Markup is used (\mu) to introduce letters of the Greek
alphabet or create subscripts (r_{X}). Special symbols of character formatting
can be used through Tex Markup to improve the quality of the figures created
in MATLAB.
Note that important information concerning the algebraic variables of the

problem are made available through the solution of the DAE systems of
equations. Furthermore, the solution of the DAE system can be more robust
compared to the solution of the ODE system obtained using variable substitu-
tion or, unfortunately, variable elimination (a common practice in chemical
engineering literature which can be the source of important mistakes and
erroneous conclusions).
We will conclude this short introduction on numerical calculations in
MATLAB by demonstrating how numerical integration can be performed. In
radiative heat transfer, we learn that for a blackbody, the total emissive power
is given by:
λZ= 1
Eb = Ε ðλÞdλ
λ=0
where λ is wavelength of radiation per unit area and unit time and E(λ) is the
“monochromatic” emissive power given by the notorious Plank’s equation:
1 C1
E ðλÞ =
λ5 exp λΤ
C2
-1
where T is the absolute temperature and C1 = 3.742108 W.μm4/m2 and

C2 = 14,388 μm.K are constants. The plot of the monochromatic emissive
power can be created in MATLAB for certain temperatures:
clear all
C1=3.742E8; C2=14388;
T=[5777 5500 5000 4500 4000];
lamda=linspace(0.1,3,1000);
for i=1:length(T)
Eb=(C1./lamda.^5)./(exp(C2./(lamda*T(i)))-1);
plot(lamda,Eb/1e8,'Linewidth',1.2)
hold on
end
grid on
xlabel('\lambda (\mum)')
ylabel('E_{b} 10^{-8} (J/(\mum s m^{2})')
We will prove numerically that:
λZ= 1
E b = σΤ = 4
Ε ðλÞdλ
λ=0
where σ = 5.67 10-8 W/(m2 K4) is the Stefan-Boltzmann constant. To this end
we will use the trapz command available in MATLAB for performing numer-
ical integration using the trapezoidal rule:
clear all
C1=3.742E8; C2=14388;
T=linspace(100,6000,51);
lamda=linspace(0.01,1000,100000)';
Eb=[]
for i=1:length(T)
E=(C1./lamda.^5)./(exp(C2./(lamda*T(i)))-1);
Eb=[Eb E];
end
dlamda=lamda(2)-lamda(1);
Integral=dlamda*trapz(Eb);
sigma=mean(Integral./T.^4)
>> plank
sigma =
5.6703e-08
The result validates the value of σ reported in the literature.

We will present another case study on numerical integration performed in
MATLAB. Fogler (Elements of Chemical Reaction Engineering, Prentice Hall, 4th
ed., p. 46) gives the following “experimental” data for the reaction rate of the
reaction A → B:
i Conversion Reaction rate

Xi [-] -ri (mol/(m3 s)
1 0.0 0.450
2 0.1 0.370
3 0.2 0.300
4 0.4 0.195
5 0.6 0.113
6 0.7 0.079
7 0.8 0.050
For the case of a plug flow reactor (PFR), the volume for achieving a specific
conversion X is given by the following integral equation (page 50 of the same
reference):
ZX
V PFR 1
= dX
F0 - r ðX Þ
0
We have been asked to determine the volume of a PFR necessary that will
achieve 80% conversion of the reactant A. We will first fit the “experimental
data to a polynomial function:
clear
X= [0.0 0.1 0.2 0.4 0.6 0.7 0.8];
r=-[0.450 0.370 0.300 0.195 0.113 0.079 0.050];
c=polyfit(X,r,2);
figure(1)
plot(X,-r,'o')
hold on
plot(X,-(c(1)*X.^2+c(2)*X+c(3)),'k-')
axis([0 0.8 0 0.5])
grid on
xlabel('Conversion X [-]')
ylabel('-r (mol/(m^{3} s))')
Using the polynomial function for the rate, we may determine the volume of
the PFR reactor using the integral command:
% Integrate 1/[-r(X]from 0 to 0.8:

f = @(X) -1./(c(1)*X.^2+c(2)*X+c(3))
Vpfr_F0 = integral(f,0,0.8)
>> pfr_volume
f=
function_handle with value:
@(X)-1./(c(1)*X.^2+c(2)*X+c(3))
Vpfr_F0 =
5.3936
Literature and Notes for Further Study
The following books can be used for a formal and comprehensive introduction
to the general theory of nonlinear programming (all books with the symbol a
following the book are strongly recommended):
[1]. Arora J.A. Introduction to Optimum Design, Academic Press, London, UK,
4th ed., 2017.a
[2]. Bazaraa M. A., H. D. Sherali, and C. M. Shetty. Nonlinear programming –
Theory and algorithms. Wiley, Hoboken, 3rd ed., 2006.a
[3]. Beck A. Nonlinear optimization Theory, Algorithms, and Applications with
MATLAB. SIAM, Philadelphia, PA, 2014.
[4]. Betts J. T. (2001), Practical Method for Optimal Control using Nonlinear
Programming, SIAM, 2nd ed., Philadelphia, 2010.
[5]. Biegler L. T. Nonlinear Programming – Concepts, Algorithms and Applica-
tions to Chemical Processes. SIAM, Philadelphia, 2010.
[6]. Boyd S. and L. Vandenberghe. Convex optimization. Cambridge University
Press, New York, 2009.
[7]. Butenko S. and Pardalos P.M. Numerical Methods and Optimization: Ana
Introduction. CRC Press, Boca Raton, FL, 2014.a
[8]. Eiselt H.A. and C. L. Sandblom. Nonlinear Optimization, Methods and
Applications. Springer Nature Switzerland AG, Cham, 2019.
[9]. Fletcher R. Practical Methods of Optimization. Wiley, Chichester, 1991.
[10]. Floudas C.A., Nonlinear and Mixed-Integer Optimization, Fundamentals
and Applications, Oxford University Press, USA, 1995.a
[11]. Gill P. E., W. Murray, and M. H. Wright. Practical optimization. Academic
Press, London, 1981.
[12]. Griva I., Nash S.G. and Sofer A. Linear and Nonlinear Optimization, SIAM,
2nd ed., Philadelphia, 2009.a
[13]. Luenberger D. G. and Y. Ye. Linear and Nonlinear Programming. Springer,
Heidelberg, 4th ed., 2016.
© The Editor(s) (if applicable) and The Author(s), under exclusive license 431
to Springer Nature Switzerland AG 2022
432 Literature and Notes for Further Study
[14]. Nocedal J. and S. J. Wright. Numerical optimization. Springer, New York,

2nd edition, 2006.
[15]. Rao S.S. Engineering Optimization – Theory and Practice. John Wiley, 5th
edition, Hoboken, NJ, 2020.a
Books [2], [12], and [13] are strongly recommended for those readers with
strong mathematical background (book [12] is easier to follow). Books [1] and
[15] are extensively used by engineers and have a balanced exposition to both
theory and applications. They are more appropriate for readers with a mechan-
ical engineering background.
The following books are more appropriate for readers with a background in
chemical engineering (the same holds true for book [10]):
[16]. Biegler L.T., I. Grossmann, and A. Westerberg, Systematic Methods of
Chemical Process Design, Prentice-Hall, Englewood Cliffs, NJ.a
[17]. Edgar T.F., D. M. Himmelblau and Lasdon L.S., Optimization of Chemical
Processes. McGraw-Hill, 2nd ed., NY, 2001.
[18]. Grossmann I.E., Advanced Optimization for Process Systems Engineering,
Cambridge University Press, NY, 2021.
[19]. Maranas C.D. and A.R. Zomorrodi, Optimization Methods in Metabolic
Networks, John Wiley & Sons, NJ, 2016.
[20]. Ray W. H. and J. Szekely. Process Optimization with applications in metal-
lurgy and chemical engineering. John Wiley, New York, 1973.
[21]. Ravindran A, K. M. Ragsdell, Reklaitis G. V. Engineering Optimization:
Methods and Applications. John Wiley & Sons, New York, 2nd ed., 2006.a
[22]. Vasiliadis V., Kahn W., Chanona E. A., Yuan Y. Optimization for Chemical
Engineering and Biochemical Engineering, Cambridge University Press,
NY, 2021.
There are many excellent books available that are specific to linear pro-
gramming and mixed-integer linear programming:
[23]. Dantzig G.B. and M. N. Thapa. Linear programming 1: Introduction.
Springer, New York, 1997.
[24]. Dantzig G.B. and M. N. Thapa. Linear programming 2: Theories and
extensions. Springer, New York, 2003.
[25]. Eiselt H.A. and C. L. Sandblom. Operations Research. Springer-Verlag
Berlin Heidelberg, 2012.a
[26]. Hillier F.S. and G.J. Lieberman. Introduction to Operations Research,
McGraw Hill Eduacation, NY, 10th ed., 2015.
[27]. Pochet Y. and L.A. Wolsey. Production Planning by Integer Programming,
Springer, NY, 2006.
[28]. Taha H.A. Operations Research: An Introduction. Pearson Education Lim-
ited, 10th ed., Harlow, 2017.a
[29]. Taha H.A., Integer Programming, Theory, Applications and Computations,
Academic Press, NY, 1975.
Literature and Notes for Further Study 433
[30]. Williams H.P. Model Building in Mathematical Programming, John Wiley

& Sons, Chichester, 5th ed., 2013.a
[31]. Williams, H.P. Model Solving in Mathematical Programming, John Wiley &
Sons, Chichester, 1993.a
[32]. Williams, H.P. Logic and Integer Programming, Springer, New York,
2009.a
[33]. Wolsey, L.A. Integer Programming, John Wiley & Sons, NJ, 2nd ed., 2021.a
Book [10] remains the best and most comprehensive introduction to mixed-
integer nonlinear programming theory and problems but contains an unusual
number of typos. Excellent (but relatively short) introductions are also
presented in books [16], [18], [19], and [22].
Index
A Biochemical reaction networks, 355

Absolute value terms Biochemical reactions, 355
linearization, 205 Bioethanol production, 22
Acceptable performance, 380 Biomass, 21
Actinobacillus succinogenes, 391 Biomass production, 391
Active constraint, 115 Bioreactor, 93
Active node, 241 continuous, 21
Additivity, 168 Biot number, 40
Alumina ratio/modulus (AR), 170 Blending, 167
Antoine equation, 206 Boiling point rise, 162, 309
Assignment problem, 191 Bound constrained problem, 5
Attractive forces, 14 Bound constraints, 5
Avogadro number, 17 Branch and Bound (B&B) method, 238, 252
Bromination of meta-xylene, 95
B
Backtracking C
algorithm, 68 Carbon capture, 161
in multivariable optimization, 68 Cardinality, 253
rudimentary, 32 Cement hardening, 208
Basfia succiniciproducens, 357, 391 Characteristic size, 2
Basic solution Chemical reaction equilibrium, 113, 147
in linear programming, 177 Circle packing, 273
Basic variables Circle packing problem, 119
in linear programming, 177 Closed loop stability, 380
Batch process, 160 CO2eq emitted, 352
Batch reactor, 79–84, 332 Combinatorial explosion, 301
Battery, 346 Combinatorial optimization, 221, 301
Betz limit, 43 Complementary slackness, 115
Betz’s law, 43 Complete enumeration, 385
BFGS method, 74 Compression ratio, 18, 72
Big-M method, 194 Constitutive laws, 119
Binary distillation column, 48 Continuous stirred tank reactor, 19
Binary variables, 219 Controller gain, 374
© The Editor(s) (if applicable) and The Author(s), under exclusive license to 435
Springer Nature Switzerland AG 2022
436 Index
Control structure selection problem, 385–388 Fenske, Underwood and Gilliland (FUG)
Convex function, 11–13, 55, 101 method, 48
examples, 12 Finite differences, 74
Convexity, 101 central, 74
local criterion, 12 forward, 74
& nonlinear equality constraints, 101 First derivative
Convex sets, 101 numerical approximation, 74
Critical computer controlled system, 254 First order plus dead-time model, 97, 369
Critical thickness, 40 First order reaction, 19, 107
Crude oil, 166 Flash separation unit, 158
Crude oil distillation unit (CDU), 166 Flue gas, 161
Crystalline solids, 13 Flu vaccine, 201
CSTR in series, 75–79, 107 Food industry, 307
Current density, 27 Frequency response, 362
Cutting stock problem, 120, 195, 197, 199 Fuel cell, 85, 87, 108, 126
maximum power, 28
solid oxide, 27, 88
D
Depth of Discharge, 346
Differential and algebraic equations, 325 G
Dilution rate, 22 Gain margin, 378
Directed arc, 191 General Algebraic Modelling System
Direction (GAMS), 273
of fastest decrease, 62 Gibbs energy, 113
of fastest increase, 62 Gibbs free energy of formation, 316
Dispatching schedule, 230 Global minimum, 6, 11
Distillation, 317 Gradient vector, 54, 61
Double-effect evaporator, 310
Dual feasibility, 115
H
Heat exchanger network, 150
E Heat exchanger network design, 158
Electrical energy, 27 Heat transfer area, 151
from fuel cell, 27 Hessian matrix, 54
Ellipse, 59 indefinite, 59
Employee Scheduling Models, 199, 201 High pressure steam, 216
Energy balance, 119 Hungarian algorithm, 191
Engraving, 225 Hydrogen, 27
Equality constrained problem, 5, 102 Hydrogen production, 157
Equality constraint, 4 Hyperbola, 60
Equilibrium reactions, 313
Equilibrium thermodynamics, 27, 146
Ethane decomposition, 146 I
Exact line search, 32 Impulse response, 46
Incumbent, 241
Inequality constrained problem, 5, 114–121
F Inequality constraint, 4
Face-centered cubic (FCC), 13 Inexact line search, 33
Facility location models, 204, 206 Armijo's, 68
Fathomed, 241 Initial feasible solution
Feasible solution, 1 in linear programming, 177
Feasible space, 101, 114 Input delay, 369
Feedback control law, 46 Instability, 383
Index 437
Integer cut constraints, 253 M

Integer linear programming, 223 Magic square problem, 225, 227, 228, 230
Integer programming (IP), 219 Material balance, 119
Integer variables, 219 Mathematical programming, 4
Integral time, 374 MATLAB
Integrating plus dead-time (IPDT) fminbnd, 34
model, 369 fmincon, 129
Interatomic potential, 14 fminunc, 73
Interior point methods, 210–214 intlinprog, 248
Intracellular metabolite, 355 linprog, 182
Inventory, 202 lsqnonlin, 88
Maximum flow, 193
Maximum residual, 207
J Merit function, 126
Jacobian matrix, 87, 104 Metabolic flux analysis (MFA), 355
Job scheduling problem, 304 Metabolic network, 357, 363
Metabolic products, 355
Metabolic reactions, 357
K Minimum, 6
Karush-Kuhn-Tucker (KKT) conditions, Minimum acceptable reliability, 254
115, 122 Minimum gain margin, 380
Kirchhoff equation, 193 Minimum load limitations, 110
Knapsack problem, 219, 242, 249 Minimum norm solution, 160
Minimum phase margin, 380
Mixed integer linear programming (MILP),
L 223, 238
Lagrange multipliers, 102, 115, 183 Mixed integer nonlinear programming
physical meaning, 106 (MINLP), 251
Lagrangian function, 102, 112, 122, 211 Mixing tank, 385
Least-squares optimization, 84 Modeling of decisions, 219
Left inverse of a non-square matrix, 159 Model reduction, 96
Lennard-Jones, 14 Monetary values for CO2, 391
potential, 14 Monod equation, 22
Lime saturation factor (LSF), 170 Monte Carlo simulation, 380
Limiting current density, 27 Moody friction factor, 141
Linear approximation, 6 Multivariable optimization, 53–62
Linear in the parameters, 206 Multivariable unconstrained optimization,
Linearity, 168 62–70
Linear least squares, 206 Municipal solid waste collection system, 191
Linear programming (LP), 5, 102, 165
feasible space, 172
graphical solution, 172 N
relaxation, 239 Nabla symbol, 54
Line search, 126 Natural gas compression, 17, 71–75
Liquid fuels distribution, 230–232 Necessary condition, 6
Liquid pumping system, 141 Net present worth (NPW), 219
Local minimum, 6, 7, 11, 55 Network models, 191–195
Logarithmic barrier function, 211 Newton’s method, 31, 63, 86, 124
Logarithmic mean temperature difference, 151 unexpected behaviour, 66
Loop transfer function, 379 Newton’s step, 31, 68, 87, 125
Loss on ignition (LOI), 171 divergence, 68
Low pressure steam, 216 Nominal performance, 380
LP-based Branch and Bound (B&B), 239, 244 Nonbasic variables
438 Index
Nonbasic variables (cont.) Predictive controller, 372

in linear programming, 177 Primal feasibility, 115
Nonlinear least squares, 84–88, 90–93, 95–99 Process control, 44
Nonlinear programming, 4 Process identification experiment, 362
Nonlinear programming problem, 101, Production scheduling models, 201, 202, 204
121–124 Pseudo-steady state, 355
linear approximation problem, 122 Public building, 339
numerical solution, 124–126 Pyrolytic dehydrogenation of benzene, 98
Non-overlapping constraints, 119
No overlapping of tasks, 237
NP-hard problems, 301 Q
Numerical integration, 334 Quadratic approximation, 6, 212
Quadratic programming
problem, 5
O successive (SQP), 124
Objective function, 8 Quantity adjustments, 230
Ohmic losses, 27
Optimal control, 217, 325–339
Optimal control problem, 390 R
Optimal fin design, 134 Ramp-down limit, 233
Optimal PI controller, 375 Ramp-up limit, 233
Optimization Raoult’s law, 157
of dynamic systems, 79 Reactor volume, 19
Ordinary differential equations, 325 Recreational problem, 225, 227, 228, 230, 289
Outer-approximation algorithm, 252 Rectilinear distance, 204
Output delay, 369 Regular point, 115
Relaxation, 239
Relaxed MINLP (RMINLP), 252
P Reliability optimization, 254–257
Packing of spheres, 120 Renewable energy sources, 339
Paint production, 245 Repulsive forces, 14
Paint production scheduling, 285 Residual function, 85
Parameter estimation, 84 Right inverse of a non-square matrix, 159
Partial differential equations, 325 River Crossing Problem (RCP), 289
Partial differentiation, 54 Robustness, 378, 380
Performance criterion, 1, 8 Rules of thumb, 362
Petroleum refineries, 166
Phase crossover frequency, 379
Phase margins, 378 S
Photovoltaic energy generator, 339 Saddle point, 7, 59
PI controller, 98, 392 Saturation pressure, 97
velocity form, 375 Scheduling of activities, 303
PID controller, 362, 392 Seasonal products, 201
Platform chemicals, 357 Second derivative
Polarographic probes, 93 numerical approximation, 74
Portland cement clinker (PCC), 170 Sequence dependent constraints, 235
Positive definite matrix, 55 Set covering problem, 223, 224
Potential control structures, 385 Shortest route, 193
Potential energy, 13 Silica ratio/modulus (SR), 170
Power demand constraint, 111 Simplex algorithm, 176
Power density, 29 Single-effect evaporator, 162, 308
Power plant, 123, 215 Single-machine scheduling, 235, 237, 245, 249
Power systems, 109, 129 Slack variables, 176
Index 439
Smart grid, 339 Transportation problem, 187, 189, 191

Snell’s law, 42 Transshipment model, 191
Solar radiation, 346 Trapezoidal rule, 334
Specific production rate, 21 Traveling salesman problem (TSP), 266, 294
maximum, 22 Trim loss, 195, 197, 199
saturation constant, 22 Trim loss minimization, 120
Spherical storage tank, 40 Truck load determination, 230–232
SQP algorithm
naïve, 126
State of Charge, 346 U
Stationary point, 6, 55 Unavailability, 255
Statistical estimation, 206–210 Unconstrained optimization, 5, 84
Steam reforming, 157 Undirected arc, 191
Steam reforming of ethanol, 317 Unimodular matrix, 193
Step response, 362 Unit circle packing, 157
Stoichiometric matrix, 355 Unit commitment problem, 233, 234
Stoichiometric model, 355 Unit step response, 44
Strict global minimum, 6 Unstable closed loop behavior, 378
Strict local minimum, 6 Upper bounds
Structure of the copper crystal, 13 in B&B method for MILP, 239
Subtour elimination constraint, 296, 300
Succinate production, 357
Succinic acid, 391 V
Su Doku problem, 225, 227, 228, 230 van’t Hoff equation, 316
Sufficient conditions, 7, 55 Vapor pressure, 206
Sum of the absolute residuals, 207 Vertex point, 173
Superstructure, 320
W
T Water formation reaction, 27
Tangent plane, 62 Wind availability, 344
Taylor approximation, 5, 54 Wind turbine, 43, 339
Taylor series, 6
Theoretical maximum yields, 391
Thermal isomerization of a-pinene, 304 Y
Thermal power units, 233, 234 Yield coefficient, 22
Tour ordering, 301

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Springer Optimization and Its Applications 197

The series Springer Optimization and Its Applications (SOIA) aims to

Practical Chemical Process

ISSN 1931-6828 ISSN 1931-6836 (electronic)

This course book on chemical process optimization offers an undergraduate

Patras, Greece Ioannis K. Kookos

1 Preliminary Concepts and Deﬁnitions . . . . . . . . . . . . . . . . . . . . . . . . 1

Learning Summary . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 156

7.6 Optimal Design of a Renewable Energy

Appendix A: Introduction to MATLAB® . . . . . . . . . . . . . . . . . . . . . . . . . . 395

1.1 An Introductory Example

is a feasible solution to the problem. However, there are an inﬁnite number of

© The Author(s), under exclusive license to Springer Nature Switzerland 1

Fig. 1.1 A vertical,

purchase cost of chemical process equipment can usually be expressed through

where C is the purchase cost of our equipment, C0 is the cost of equipment of

wcylinrical = area × thickness × density = ðπd hÞ × t × ρM ð1:3Þ

We may at this point summarize what we have found so far in a mathemat-

We ask the question whether we know how to solve the mathematical

We can proceed further and deﬁne the following functions of x:

or, to use the standard notation in mathematical programming and process

1.2 Commonly Encountered Problems in Optimization

where Q is a constant matrix. When we do not have inequality constraints, we

min f ðxÞ ð1:17Þ

min f ðxÞ ð1:18Þ

1.3 Optimization of Functions of a Single Variable

min f ðxÞ ð1:19Þ

deﬁnitions. A stationary point of f(x) (a terminology that was borrowed from

We now come to the deﬁnition of the minimum: we consider a function

Fig. 1.2 f(x) around a

In case 3, x0 can be a local minimum, a local maximum, or a saddle point.

and ﬁnally substitute w into (1.2) to obtain:

>> clear % remove all variables from the workspace

We see how easy it is to perform all the calculations in MATLAB. However,

>> d=[0.1; 1; 5]; % select more value for the diameter

>> d=linspace(0.1,3,101); % select 101 values uniformly

Fig. 1.3 Objective function as a function of the tank diameter (β = 1)

MATLAB can also be used to determine the ﬁrst derivative:

n*(2*d - beta/d^2)*(beta/d + d^2)^(n - 1)

Going back to solving the equation, we note that as d must always be

We can easily conclude that the second derivative is always positive if d is

>> diff(f,d,n) % calculate n-th derivative

We have, therefore, located analytically the minimum that is shown in

We can also determine the ratio of the height to the diameter:

1.4 Convex Functions

Fig. 1.4 A case with two

Fig. 1.5 The deﬁnition of

We start by presenting the deﬁnition of convexity for functions of a single

8x1 , x2 &t 2 ½0, 1,f ðtx1 þ ð1 - t Þx2 Þ ≤ tf ðx1 Þ þ ð1 - t Þf ðx2 Þ ð1:31Þ

A differentiable function of one variable is convex on an interval around x0 if its

Fig. 1.6 Structure of a

Proving that a function of a single variable is convex is usually done using

Example 1.1 Calculations in Crystalline Solids

The interatomic distance at equilibrium is determined by the minimization of

with n = 6, m = 12, A = 14.45, B = 12.13, σ = 0.274 nm, and ε = 0.003121 eV

Fig. 1.7 Interatomic potential as a function of separation

>> clear all

ans = -2*e*((B*m*sigma*(sigma/r)^(m - 1))/r^2 -

ans = -(2*e*(B*m*(sigma/r)^m - A*n*(sigma/r)^n))/r

ans = (2*e*(B*m*(sigma/r)^m - A*n*(sigma/r)^n + B*m^2*(sigma/r)

n(2d - beta/d^2)*(beta/d + d^2)^(n - 1)

ans = -2e((Bmsigma*(sigma/r)^(m - 1))/r^2 -

ans = -(2e(Bm(sigma/r)^m - An(sigma/r)^n))/r

ans = (2e(Bm(sigma/r)^m - An(sigma/r)^n + Bm^2(sigma/r)