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Index

A-stable, 255 barrier solutions, 152

absolute value, 338 barrier problem, 154
absolutely stable, 255 basic variables, 161
absorption, 202 batch crystallization, 287
active constraints, 72 batch process, 213, 239
active set batch process optimization, 218
strongly active set, 73 batch reactor, 217, 219, 229, 268
weakly active set, 73 BDF (backward difference formula), 258,
active set strategy, 134 259, 262
Adams, 256 benchmarks, 178
Adams–Bashforth, 258 Beowulf cluster, 308
Adams–Moulton, 258 Betts–Campbell problem, 318
predictor-corrector Adams methods, BFGS (Broyden–Fletcher–Goldfarb–
259 Shanno), 52, 102, 105, 190,
adiabatic flash, 186 207
adiabatic flash loop, 187 limited memory update, 45
adjoint equations, 222, 225, 228, 230, bilevel optimization problems, 326
244, 268 bioreactors, 323
second order, 284 blending problems, 207
adjoint sensitivity, 260, 265, 268, 270 Bolza problem, 221
checkpointing, 265, 283 boundary value problems (BVPs), 215,
adjoint sensitivity calculations, 262 244, 271, 273, 274, 275, 296,
adjoint sensitivity codes, 283 299, 310, 313
adjoint sensitivity equations, 253 well-conditioned, 275, 299
adjoint variables, 221, 263 brachistochrone problem, 247
algebraically stable, 255, 293 breakpoints, 296, 317
ammonia process optimization, 191 Broyden update, 43
AMPL, 6, 15 Broyden–Fletcher–Goldfarb–Shanno
AN -stable, 255, 293 (BFGS), 44
Armijo condition, 48, 120 Bunch–Kaufman, 97
Armijo criterion, 115 BVPs (boundary value problems), 215,
Armijo inequality, 165 244, 271, 273, 274, 275, 296,
ASPEN, 15, 283 299, 310, 313
augmented Lagrangian function, 110, 167
calculus of variations, 247
B-stationarity, 328, 329 car problem, 229, 238
backward difference formula (BDF), 257 cascading tank problem, 356
bang-bang control, 230, 317 catalyst mixing problem, 240

391

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Cauchy point, 165 convex, 4, 27, 76

Cauchy step, 54, 55 concave, 4
centrifuge, 196 regions, 4
chemical process optimization, 181 convex optimization problems, 65
chemical reactor design, 216 convex quadratic programming, 65, 86
CG (conjugate gradient), 57 convexity, 64
Cholesky factorization, 44, 97 strict, 4
cluster, 308 coordinate bases, 101
coarse discretizations, 317 correction algorithm, 99
collocation, 288, 289 costate, 221
convergence orders, 314 crystallization, 298, 323
discretization, 311 cubic equations of state, 187, 190
equations, 290, 300, 323 CVP (control vector parameterization),
on finite elements, 322 245, 283
superconvergence, 313
complementarity, 70 DAE (differential algebraic equation),
conditions, 78, 134, 151, 226 246, 271, 306
constraints, 325 fully implicit, 214
formulation, 338, 356 index-1 property, 215
operator, 326 semiexplicit, 233
composite-step trust region, 122 semiexplicit form, 214
condenser, 9, 204 semiexplicit, index-1 DAEs, 259
condition number, 22 DAKOTA, 33
cone, 75, 78 DASSL, 279
conjugate direction method of Powell, data fitting, 17
31 data reconciliation, 200
conjugate gradient (CG), 57 Davidon–Fletcher–Powell (DFP), 61
CONOPT, 171, 173, 198, 334, 347, DDASAC, 279
353, 355 decision variables, 1
consistency, 254 degrees of freedom, 1
consistent initial conditions, 234 derivative-free optimization (DFO), 33
constrained optimization, 63 descent direction, 139
constraint qualification, 71, 77, 328 descent property, 41
constraints, 1 descent step, 34
continuous, 25 determinant, 20
continuous function, 25 properties, 20
continuously differentiable, 26 DFO (derivative-free optimization), 33
contour plot, 18, 25, 65 DFP (Davidon–Fletcher–Powell), 61
control vector iteration, 244 dichotomy property, 273, 275, 276, 300
control vector parameterization (CVP), difference equations, 254
245, 283 differentiable distribution function
convergence properties, 157 (DDF), 345
convergence rate, 35, 142, 147 differential algebraic equations (DAEs),
2-step superlinear rate, 142, 147 7, 214, 251
quadratic, 35, 142, 147 differential inclusion, 352, 360, 361
superlinear rate, 142 differential variational inequalities, 361
convergent method, 254 direct search methods, 30

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direct sensitivity, 270 equation-oriented optimization models,

calculations, 261 193, 200
codes, 283 equilibrium, 10, 187
equations, 253 equilibrium relations, 203
simultaneous corrector, 262 Euler discretization, 356
staggered corrector, 262 Euler–Lagrange equations, 224, 226, 238,
staggered direct, 262 244, 246, 309, 310, 313, 315
direct transcription, 246, 287, 316, 322 exact penalty functions, 111
directional derivative, 115 exclusive or (EXOR), 337
discretize then optimize, 244, 310 experimental data, 18
distillation case studies, 343
distillation column, 9, 202 factorization, 97
distillation optimization, 343, 348 failure interior point method, 156
distributed models, 7 feasibility, 70
distributed systems, 213 fermentors, 323
dogleg method, 55 Filippov system, 349, 360, 361
DONLP2, 169 high-index constraint, 351
double integrator problem, 229 filter approach, 109, 112
f -type switching condition, 119
dynamic flash optimization, 235
feasibility restoration phase, 120
dynamic optimization, 276
feasibility restoration step, 157
computational complexity, 303
line search method, 119, 148
direct NLP approach, 245
local properties, 158
direct transcription, 245
restoration phase, 113, 137
indirect approach, 245
switching criterion, 113
multiple shooting, 245, 303
filter trust region, 126, 148
sequential, 303
filterSQP, 169
sequential approach, 245
first order KKT conditions, 134
simulataneous approach, 245
Fischer–Burmeister, 332
simultaneous collocation, 303
flash tank, 235
dynamic optimization problem, 213, 216,
flowsheet, 197
295, 298
flowsheet optimization, 184
dynamic real-time optimization, 219
fmincon, 169, 252
DynoPC, 323 FOCUS, 33
dynopt, 323 Frobenius norm, 22
FSQP/CFSQP, 171
efficiency factors, 306 function, 4, 349
eigenvalues, 21, 42
eigenvectors, 21, 42 GAMS, 6, 15, 333, 347, 348
elastic mode, 332 gasoline blending models, 183
ellipsoidal shapes, 24 gasoline blending problems, 206
energy balance, 7 Gauss–Legendre, 292, 293, 310
enthalpies, 187 Gauss–Legendre collocation, 312, 313
enthalpy balances, 10, 203 Gauss–Legendre quadrature, 312
equality constrained NLP problem, 91 Gauss–Legendre roots, 312
equality path constraints, 232 Gauss–Lobatto, 292
equation-based flowsheet, 326 Gauss–Newton, 265, 266, 279
equation-based process optimization, 326 Gauss–Radau, 292

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Gaussian quadrature, 291 implicit Euler, 357

generalized Legendre–Clebsch condition, implicit Runge–Kutta (IRK), 287
240 inaccurate derivatives, 189
generalized reduced gradient (GRG), 162 index of differential-algebraic equations,
genetic algorithms, 32 232
GESOP, 323 index reduction, 234
global convergence property, 40, 41, 48, indirect approach, 322
157 indirect methods, 310
global minimizer, 63 induced matrix norms, 22
global minimum, 28, 65 inequality path constrained, 322
global optimization, 15 inertia, 98, 146
globalization, 148 inertia KKT matrix, 95
globalization constrained optimization, 109 infeasible QPs, 137
Goldstein–Armijo conditions, 48 initial value problem (IVP), 274
GPOPS, 323 integer programming (IP), 4
gPROMS, 15, 283 interior point
grade transition, 301, 323 predictor-corrector method, 154
grade transition for high-impact polystyrene, interior point (or barrier) strategy, 134
300 interior point methods, 84, 86, 133, 151
gradient projection method, 164 interior point NLP codes, 170
convergence properties, 167 inverse BFGS update, 45
gradient vector, 26 IP (integer programming), 4
Green’s function, 275 IPOPT, 170, 173, 198, 207, 334, 357
GREG, 267 IPOPT-C, 345, 353
GRG (generalized reduced gradient), 167, IRK (implicit Runge–Kutta), 322
168 IRK discretization, 352, 360
GRG2, 171 IRK methods, 293
guard function, 349 isolated local minimizer, 64
IVP (initial value problem), 274
Hamiltonian, 225, 227, 228, 230, 237, 239–
JACOBIAN software, 283
241, 244, 315
Jacobian, 300
function, 223
stationarity condition, 225, 228 Karush–Kuhn–Tucker (KKT), 70
hard case, 57 kinematic illustration, 68
heat exchanger, 7, 196, 201, 219 kinetic rate constants, 306
heat-transfer coefficients, 306 KKT condition, 71, 76, 78, 85, 92, 135,
Hessian, 56 188, 198, 311
Hessian matrix, 27, 40 first order conditions, 71
high-impact polystyrene (HIPS), 300 KKT matrix, 94, 95, 98, 146
high-index DAEs, 247 KNITRO, 170, 173, 198
high-index inequality path constraints, 317
HIPS (high impact polystyrene), 300 1 penalization, 332, 333
Hooke and Jeeves, 31 2 penalty function, 123
hybrid dynamic optimization, 352 p merit function, 113, 139
hybrid dynamic systems, 349, 361 p penalty functions, 111
hydrocracker fractionation plant, 203 L-BFGS-B code, 167
HySyS, 15 Lagrange interpolation, 289

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Lagrange interpolation polynomials, 350 Mangasarian–Fromovitz constraint qual-

Lagrange multiplier estimates, 124 ification (MFCQ), 79
Lagrangian function, 70 Maratos effect, 128, 131
LANCELOT, 171 Markowitz, 86
large-scale SQP, 144 mass balances, 10, 197, 203
LBLT factorization, 99, 146 Mass–Equilibrium–Summation–Heat
LDPE (low-density polyethylene), 305 (MESH), 10, 202
Legendre–Clebsch conditions, 227 mathematical programming, 2
Levenberg–Marquardt correction, 41 mathematical programs with complemen-
Levenberg–Marquardt method, 54, 56 tarity constraints (MPCCs),
LICQ (linear independence constraint 325, 359
qualification), 78, 93, 96, 137, mathematical programs with equilibrium
311, 328 constraints (MPECs), 326
failure of LICQ, 320 MATLAB, 15
ill-conditioned behavior, 320 matrices, 19
lim inf property, 56 matrix
limited memory, 103 diagonal, 20
limiting directions, 74, 75, 78 identity, 20
inverse of a matrix, 20
line search
symmetric, 19
backtracking, 50
transpose, 19
filter method, 155
max operator, 338
methods, 46, 114
Mayer problem, 221
linear constraints, 76
mean value theorem, 314
linear dependence, 326
merit function, 109
linear independence, 92, 195 MESH (Mass-Equilibrium-Summation-
linear independence constraint qualifica- Heat), 10, 202
tion (LICQ), 77 method of moments, 305
linear multistep methods, 256 MFCQ (Mangasarian–Fromovitz
linear program (LP), 4, 65, 84 constraint qualification), 328
linear program with equilibrium constraints MILP (mixed integer linear program), 4
(LPEC), 328 min operator, 338
linearly constrained augmented Lagrangian, minimum energy distillation, 346
167 MINOS, 168, 171, 205
Lipschitz continuity, 25, 39, 93, 95, 194 MINLP (mixed integer nonlinear program-
local minimizer ming), 3, 325
isolated local minimizer, 28 Mittelmann NLP benchmarks, 173, 174
strict local minimizer, 28, 63 mixed integer linear program (MILP), 4
local optimality conditions, 68 mixed integer nonlinear programing
local truncation error, 254 (MINLP), 3, 325
log-barrier function, 151 mixed integer optimization problems, 3
LOQO, 170, 207 model predictive control (MPC), 5, 11, 12
low-density polyethylene (LDP), 304 modified Cholesky factorization, 41
LP portfolio planning, 88 modular, 184
LPEC (linear program with equilibrium modular process simulators, 326
constraints), 328 modular simulation mode, 182
LU factorization, 97 MOOCHO/rSQP++, 170

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Motzkin’s theorem of the alternative, 75 NMPC, 278, 279

moving finite element, 296, 360 predictive horizon, 279
MPC (model predictive control), 5, 11, 12 nonbasic variables, 161
MPCC (mathematical programs with nonconvex feasible region, 66
complementarity constraints), nonconvex objective function, 66
326, 328, 330, 331, 337, 352, nonconvex problems, 91
355, 361 nonlinear complementarity problem
MPCC formulations, 325 (NCP), 332
MPCC modeling, 336 nonlinear model predictive control
MPEC (mathematical programs with equi- (NMPC), 220, 276, 323
librium constraints), 360 nonlinear programming (NLP), 4, 5, 132
MPEC-LICQ property, 329 normal directions, 102
MPEC-MFCQ, 330 normal step (ϑk ), 99, 102, 124, 144, 158
MPEC-SOSC, 330 normal trust region subproblem, 123, 150
MPEC-SSOSC, 330 NOVA, 323
MPECLib, 334 NPSOL, 169, 252
multiple shooting, 271, 272 null space, 162
multiplier, 72, 110 null space basis matrix, 94, 101
least squares estimate, 110
Multistep methods, 254 objective function, 1
operation, 339
MUSCOD, 169, 284
operations research, 2
optimal catalyst mixing, 243
NCP (nonlinear complementarity problem),
optimal control problem, 220, 247, 267,
348
309
NCP formulation, 347
optimal cooling profile for crystallization,
necessary conditions for local optimality,
297
29
OptimalControlCentre, 323
necessary conditions of optimality, 247
optimality conditions, 223, 227
necessary second order condition, 83
optimization, 1
negative curvature, 23, 57 optimization with variable finite elements,
negative definite, 21 354
negative semidefinite, 21 optimize then discretize, 244, 310
Nelder and Mead, 31 orthogonal bases, 101
NEOS server, 169, 208 orthogonal collocation, 293
nested projection methods, 133 orthogonal matrix, 20
nested strategies, 160
NEWCON, 279 p-norm, 21
Newton divided difference formula, parallel implementations, 309
257 parameter estimation, 213, 217, 265, 287,
Newton step, 55, 96 304
Newton’s method, 34, 39, 93 partial differential equations (PDEs), 7
Newton-based barrier solvers, 303 path constraints, 232, 318, 323
NEWUOA, 33 high-index, 318
NLP (nonlinear programming) codes, 178 path inequalities, 238
NLP test problem, 172 corner conditions, 237, 238, 317
NLPEC, 333, 353 entry, 237
NLPQL, 169, 252 exit points, 237

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PDE constrained optimization, 318 qth order inequality path constraint, 237
PDEs (partial differential equations), 7 QP (quadratic program), 4, 12, 85, 95, 136
penalty function, 109, 114 QP portfolio planning, 89
PENNON, 171, 173 QPSOL, 279
perturbation, 260 QR factorization, 45, 101
PF(ρ), 331, 334, 347, 348, 353, 357 quadratic forms, 22
phase changes, 342 quadratic penalty functions, 109
PI (proportional plus integral), 341 quadratic program (QP), 4, 12, 85, 95, 136
PI controller saturation, 341 quasi-Newton methods, 42
Picard–Lindelöf theorem, 215 quasi-Newton update matrix, 102
piecewise functions, 340
planning, 182 Radau collocation, 293, 310, 313, 315,
polyhedron, 84 350, 354, 356
polymerization, 305 Radau collocation on finite elements, 351
polymerization reactors, 300 range-space matrices, 101
polynomial approximation, 289 reactor, 196
portfolio model, 86 reactor control, 239
positive curvature, 23 real-time optimization (RTO), 5, 182, 200,
positive definite, 21 336
positive semidefinite, 21 reboiler, 9, 204
positive step length, 46 reduced gradient method, 190
Powell damping, 44 reduced gradients, 162
Powell dogleg steps, 54 reduced Hessians, 82, 130, 162
Powell’s dogleg method, 123 properties, 82
pressure swing adsorption, 323 reduced-space decomposition, 96
primal degenerate, 84 reduced-space Newton steps, 99
primal-dual equations, 153, 154 reduced-space SQP (rSQP), 205
Pro/II, 15 Reg(), 331, 347, 348
problem of Lagrange, 221 RegComp(), 331
process control, 213 RegEq(), 331
process flowsheet, 7, 186 RNLP-SOSC, 330
process model, 7 RNLP-SSOSC, 330
steady state, 181 ROMeo, 15
process optimization, 326 roundoff errors, 260
process simulation, 184 rSQP (reduced-space SQP), 207
modular mode, 184 RTO, 201, 204
process simulation models, 182 Runge–Kutta, 251, 293
process synthesis, 5 basis, 289
profit function, 193 Butcher block, 256
projected gradient, 164 discretizations, 323
projected gradient steps, 166 explicit, 255
projected Newton methods, 166 fully implicit methods, 255, 256
projection operator, 164 methods, 254–256, 259, 296
PROPT, 323 polynomial representation, 350, 354
ProSIM, 190 representation, 350
pseudospectral methods, 296 semi-implicit methods, 255, 256

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scaled normal trust region subproblem, SQP algorithm, 137, 141

159 SQP codes, 169
scaled tangential trust region subproblem, SQP methods, 135
159 extensions of, 148
scheduling, 182 SR1 (symmetric rank 1), 43
Schur complement, 86, 147, 308 SR1 update, 43, 103, 105
scientific computing, 2 SSOSC (strong second order sufficient
second order conditions, 71, 92, 96, 330 conditions), 330
second order correction, 129, 130 state estimation, 213
second order necessary conditions, 80 state path inequalities, 237
second order sufficient conditions (SOSC), stiff decay, 255, 258, 293
81 stiff system, 254
sensitivity, 260 stochastic programming, 15
sensitivity calculations, 304 strict complementarity, 73, 83
sensitivity equations, 253, 266 strict local minimizer, 64
sequential, 245 strictly convex objective, 65
sequential dynamic optimization, 252, strong stationarity, 329
253 strong Wolfe conditions, 48
sequential quadratic programming (SQP), strongly convex, 27
133 sufficient conditions for local
serial implementation, 309 optimality, 29
signum, 339 sufficient second order conditions, 72,
simplex method, 84 83, 94
simulated annealing, 32 Sunoco hydrocracker, 203
Glauber distribution, 32 superbasic variables, 161
Metropolis distribution, 32 superlinear convergence, 42, 104, 105
simulated moving beds, 323 switching behavior, 349
simultaneous collocation, 307, 327, 349 switching function, 349
simultaneous strategies, 245 switching points, 356
single-step methods, 254 Sylvester’s law of inertia, 94
singular arc, 239, 240, 242, 315, 317 symmetric rank 1 (SR1), 43, 103, 105
singular control, 239, 288, 316, 322
singular matrix, 20 tangential directions, 102
singular optimal control tangential step (qk ), 99, 102, 124,
ill-conditioned, 315 144, 158
regularization, 316, 317 tangential trust region subproblem,
singular optimization problems, 327 150
singular profile, 239 Taylor’s theorem, 27
singular values, 21 tear equations, 186
SNOPT, 170, 173, 207 tear variables, 186
SOCS, 170, 323 Tennessee Eastman reactor, 277
SOSC (second order sufficient conditions), trajectory optimization, 213
81 transversality condition, 222
SQP (sequential quadratic programming), tray optimization, 345
190, 252, 267, 284, 331 TRON, 167
elastic mode, 138 truncated Newton algorithm, 57, 123
reduced-space algorithm, 145 truncation errors, 260

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trust region
ared, 53, 125
pred, 53, 125
trust region globalization, 122
trust region methods, 52, 158
convergence rate, 160
local convergence properties, 160
trust region with merit functions, 149
tubular reactors, 304
twice differentiable, 26

unconstrained optimization, 17, 30

unstable dynamic modes, 300
unstable systems, 272
UOBYQA, 33

variational approach, 244

vector and matrix norms, 21
vectors, 19
VF13AD, 169

Watchdog algorithm, 131

Watchdog strategy, 143
Williams–Otto, 197
Williams–Otto optimization problem, 196
Wolfe conditions, 48

zero curvature, 23
zero-stability property, 254, 255

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