Copyright © 1995. Oxford University Press. All rights reserved.

Floudas, Christodoulos A.. Nonlinear and Mixed-Integer

Optimization : Fundamentals and Applications, Oxford University Press, 1995. ProQue
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 To my wife, Fotini
Copyright © 1995. Oxford University Press. All rights reserved.

Floudas, Christodoulos A.. Nonlinear and Mixed-Integer Optimization : Fundamentals and Applications, Oxford University Press, 1995.
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Floudas, Christodoulos A.. Nonlinear and Mixed-Integer Optimization : Fundamentals and Applications, Oxford University Press, 1995.
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 Preface

Nonlinear and Mixed-Integer Optimization addresses the problem of optimizing an objective

function subject to equality and inequality constraints in the presence of continuous and integer
variables. These optimization models have many applications in engineering and applied science
problems and this is the primary motivation for the plethora of theoretical and algorithmic devel-
opments that we have been experiencing during the last two decades.
This book aims at presenting the fundamentals of nonlinear and mixed-integer optimization,
and their applications in the important area of process synthesis and chemical engineering. The
first chapter introduces the reader to the generic formulations of this class of optimization prob-
lems and presents a number of illustrative applications. For the remaining chapters, the book con-
tains the following three main parts:

Part 1: Fundamentals of Convex Analysis and Nonlinear Optimization

Part 2: Fundamentals of Mixed-Integer Optimization
Part 3: Applications in Process Synthesis

Part 1, comprised of three chapters, focuses on the fundamentals of convex analysis and non-
linear optimization. Chapter 2 discusses the key elements of convex analysis (i.e., convex sets,
convex and concave functions, and generalizations of convex and concave functions), which are
very important in the study of nonlinear optimization problems. Chapter 3 presents the first and
second order optimality conditions for unconstrained and constrained nonlinear optimization.
Copyright © 1995. Oxford University Press. All rights reserved.

Chapter 4 introduces the basics of duality theory (i.e., the primal problem, the perturbation func-
tion, and the dual problem) and presents the weak and strong duality theorem along with the dual-
ity gap. Part 1 outlines the basic notions of nonlinear optimization and prepares the reader for
Part 2.
Part 2, comprised of two chapters, addresses the fundamentals and algorithms for mixed-inte-
ger linear and nonlinear optimization models. Chapter 5 provides the basic ideas in mixed-inte-
ger linear optimization, outlines the different methods, and discusses the key elements of branch
and bound approaches. Chapter 6 introduces the reader to the theoretical and algorithmic devel-
opments in mixed-integer nonlinear optimization. After a brief description of the motivation and
the formulation of such models, the reader is introduced to (i) decomposition-based approaches
(e.g., Generalized Benders Decomposition, Generalized Gross Decomposition), (ii) linearization-
based methods (e.g., Outer Approximation and its variants with Equality Relaxation and
Augmented Penalty, and Generalized Outer Approximation), and (iii) comparison between
decomposition- and linearization-based methods.

Floudas, Christodoulos A.. Nonlinear and Mixed-Integer Optimization : Fundamentals and Applications, Oxford University Press, 1995.
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 viii

Part 3, consisting of four chapters, deals with important application areas in chemical engi-
neering. Chapter 7 discusses the components of a chemical process system, defines the objectives
in the area of process synthesis, and presents the different approaches in process synthesis.
Subsequently, the reader is introduced to modeling issues in mixed-integer nonlinear optimiza-
tion problems of process synthesis. Chapter 8 presents the application area of heat exchanger net-
work synthesis. The reader is introduced to optimization models that correspond to (i) targeting
methods for minimum utility cost and minimum number of matches, (ii) decomposition-based
methods, and (iii) simultaneous optimization approaches for the synthesis of heat recovery net-
works. Chapter 9 presents applications of mixed-integer nonlinear optimization in the area of
separations. In particular, the synthesis of sharp heat-integrated distillation columns and the syn-
thesis of non-sharp separation columns are addressed. Chapter 10 discusses the application of
mixed-integer nonlinear optimization methods in the synthesis of reactor networks with complex
reactions and in the synthesis of prototype chemical processes consisting of reactor-separator-
recycle systems.
The main objectives in the preparation of this book are (i) to acquaint the reader with the
basics of convex analysis and nonlinear optimization without presenting the proofs of the theoret-
ical results and the algorithmic details, which can be found in several other textbooks, (ii) to intro-
duce the reader to the elementary notions of mixed-integer linear optimization first and to the the-
ory and methods of mixed-integer nonlinear optimization next, which are not discussed in other
textbooks, and (iii) to consider several key application areas of chemical engineering process syn-
thesis and design in which the mixed-integer nonlinear optimization models and methods apply
naturally. Special efforts have been made so as to make this book self-contained, and establish only
the needed fundamentals in Part 1 to be used in Part 2. The modeling issues and application areas
in Part 3 have been selected on the basis of the most frequently studied in the area of process syn-
thesis in chemical engineering. All chapters have several illustrations and geometrical interpreta-
tions of the theoretical results presented; they include a list of recommended books and articles for
further reading in each discussed topic, and the majority of the chapters contain suggested prob-
lems for the reader. Furthermore, in Part 3 the examples considered in each of the application areas
describe the resulting mathematical models fully with the key objective to familiarize the reader
with the modeling aspects in addition to the algorithmic ones.
This book has been prepared keeping in mind that it can be used as a textbook and as a ref-
erence. It can be used as a textbook on the fundamentals of nonlinear and mixed-integer opti-
Copyright © 1995. Oxford University Press. All rights reserved.

mization and as a reference for special topics in the mixed-integer nonlinear optimization part and
the presented application areas. Material in this book has been used in graduate level courses in
Optimization and Process synthesis at Princeton University, while Parts 1 and 2 were presented
in a graduate level course at ETH. Selected material, namely chapters 3,5,7, and 8, has been used
in the undergraduate design course at Princeton University as an introduction to optimization and
process synthesis.
A number of individuals and institutions deserve acknowledgment for different kinds of help.
First, I thank my doctoral students, postdoctoral associates, colleagues, and in particular, the
chairman, Professor William B. Russel, at Princeton University for their support in this effort.
Second, I express my gratitude to my colleagues in the Centre for Process Systems Engineering
at Imperial College and in the Technical Chemistry at ETH for the stimulating environment and
support they provided during my sabbatical leave. Special thanks go to Professors John Perkins,
Roger W. H. Sargent, and David W. T. Rippin for their instrumental role in a productive and
enjoyable sabbatical. Third, I am indebted to several colleagues and students who have provided
inspiration, encouragement, extensive feedback, and helped me to complete this book. The thought-

Floudas, Christodoulos A.. Nonlinear and Mixed-Integer Optimization : Fundamentals and Applications, Oxford University Press, 1995.
ProQuest Ebook Central, http://ebookcentral.proquest.com/lib/surrey/detail.action?docID=430844.
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 Preface ix

ful comments and constructive criticism of Professors Roger W. H. Sargent, Roy Jackson,
Manfred Morari, Panos M. Pardalos, Amy R. Ciric, and Dr. Efstratios N. Pistikopoulos have helped
enormously to improve the book. Claire Adjiman, Costas D. Maranas, Conor M. McDonald, and
Vishy Visweswaran critically read several manuscript drafts and suggested helpful improvements.
The preparation of the camera-ready copy of this book required a significant amount of work.
Special thanks are reserved for Costas D. Maranas, Conor M. McDonald and Vishy Visweswaran
for their time, LaTex expertise, and tremendous help in the preparation of this book. Without their
assistance the preparation of this book would have taken much longer time. I am also thankful for
the excellent professional assistance of the staff at Oxford University Press, especially Karen
Boyd, who provided detailed editorial comments, and senior editor Robert L. Rogers. Finally and
most importantly, I am very grateful to my wife, Fotini, and daughter, Ismini, for their support,
encouragement, and forbearance of this seemingly never ending task.

C.A.F.
Princeton, New Jersey
March 1995
Copyright © 1995. Oxford University Press. All rights reserved.

Floudas, Christodoulos A.. Nonlinear and Mixed-Integer Optimization : Fundamentals and Applications, Oxford University Press, 1995.
ProQuest Ebook Central, http://ebookcentral.proquest.com/lib/surrey/detail.action?docID=430844.
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 This page intentionally left blank
Copyright © 1995. Oxford University Press. All rights reserved.

Floudas, Christodoulos A.. Nonlinear and Mixed-Integer Optimization : Fundamentals and Applications, Oxford University Press, 1995.
ProQuest Ebook Central, http://ebookcentral.proquest.com/lib/surrey/detail.action?docID=430844.
Created from surrey on 2018-01-01 10:05:23.
 Contents

1. Introduction, 3
1.1 Mathematical and Optimization Models, 3
1.2 Structure of Nonlinear and Mixed-Integer Optimization Models, 4
1.3 Illustrative Applications, 5
1.3.1 Binary Distillation Design, 6
1.3.2 Retrofit Design of Multiproduct Batch Plants, 8
1.3.3 Multicommodity Facility Location—Allocation, 11
1.4 Scope of the Book, 12

PART 1 FUNDAMENTALS OF CONVEX ANALYSIS AND

NONLINEAR OPTIMIZATION
2. Convex Analysis, 17
2.1 Convex Sets, 17
2.1.1 Basic Definitions, 17
2.1.2 Convex Combination and Convex Hull, 20
2.1.3 Separation of Convex Sets, 22
2.1.4 Support of Convex Sets, 24
2.2 Convex and Concave Functions, 24
2.2.1 Basic Definitions, 25
2.2.2 Properties of Convex and Concave Functions, 25
2.2.3 Continuity and Semicontinuity, 27
Copyright © 1995. Oxford University Press. All rights reserved.

2.2.4 Directional Derivative and Subgradients, 30

2.2.5 Differentiable Convex and Concave Functions, 31
2.2.6 Minimum (Infimum) and Maximum (Supremum), 34
2.2.7 Feasible Solution, Local and Global Minimum, 36
2.3 Generalizations of Convex and Concave Functions, 37
2.3.1 Quasi-convex and Quasi-concave Functions, 37
2.3.2 Properties of Quasi-convex and Quasi-concave Functions, 39
2.3.3 Differentiable Quasi-convex, Quasi-concave Functions, 40
2.3.4 Pseudo-convex and Pseudo-concave Functions, 40
2.3.5 Properties of Pseudo-convex and Pseudo-concave Functions, 40
2.3.6 Relationships among Convex, Quasi-convex and Pseudo-convex Functions, 41

Floudas, Christodoulos A.. Nonlinear and Mixed-Integer Optimization : Fundamentals and Applications, Oxford University Press, 1995.
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 xii

3. Fundamentals of Nonlinear Optimization, 45

3.1 Unconstrained Nonlinear Optimization, 45
3.1.1 Formulation and Definitions, 45
3.1.2 Necessary Optimality Conditions, 46
3.1.3 Sufficient Optimality Conditions, 47
3.1.4 Necessary and Sufficient Optimality Conditions, 48
3.2 Constrained Nonlinear Optimization, 49
3.2.1 Formulation and Definitions, 49
3.2.2 Lagrange Functions and Multipliers, 51
3.2.3 Interpretation of Lagrange Multipliers, 52
3.2.4 Existence of Lagrange Multipliers, 54
3.2.5 Weak Lagrange Functions, 56
3.2.6 First-Order Necessary Optimality Conditions, 56
3.2.7 First-Order Sufficient Optimality Conditions, 61
3.2.8 Saddle Point and Optimality Conditions, 62
3.2.9 Second-Order Necessary Optimality Conditions, 64
3.2.10 Second-Order Sufficient Optimality Conditions, 67
3.2.11 Outline of Nonlinear Algorithmic Methods, 68

4. Duality Theory, 75
4.1 Primal Problem, 75
4.1.1 Formulation, 75
4.1.2 Perturbation Function and Its Properties, 76
4.1.3 Stability of Primal Problem, 76
4.1.4 Existence of Optimal Multipliers, 77
4.2 Dual Problem, 77
4.2.1 Formulation, 78
4.2.2 Dual Function and Its Properties, 78
4.2.3 Illustration of Primal-Dual Problems, 79
4.2.4 Geometrical Interpretation of Dual Problem, 80
4.3 Weak and Strong Duality, 82
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4.3.1 Illustration of Strong Duality, 84

4.3.2 Illustration of Weak and Strong Duality, 85
4.3.3 Illustration of Weak Duality, 86
4.4 Duality Gap and Continuity of Perturbation Function, 87
4.4.1 Illustration of Duality Gap, 88

PART 2 FUNDAMENTALS OF MIXED-INTEGER OPTIMIZATION

5. Mixed-Integer Linear Optimization, 95
5.1 Motivation, 95
5.2 Formulation, 96
5.2.1 Mathematical Description, 96
5.2.2 Complexity Issues in MILP, 96
5.2.3 Outline of MILP Algorithms, 97
5.3 Branch and Bound Method, 98
5.3.1 Basic Notions, 98

Floudas, Christodoulos A.. Nonlinear and Mixed-Integer Optimization : Fundamentals and Applications, Oxford University Press, 1995.
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 Contents xiii

5.3.2 General Branch and Bound Framework, 101

5.3.3 Branch and Bound Based on Linear Programming Relaxation, 103

6. Mixed-Integer Nonlinear Optimization, 109

6.1 Motivation, 109
6.2 Formulation, 110
6.2.1 Mathematical Description, 111
6.2.2 Challenges/Difficulties in MINLP, 112
6.2.3 Overview of MINLP Algorithms, 112
6.3 Generalized Benders Decomposition, GBD, 114
6.3.1 Formulation, 114
6.3.2 Basic Idea, 115
6.3.3 Theoretical Development, 116
6.3.4 Algorithmic Development, 112
6.3.5 Variants of GBD, 125
6.3.6 GBD in Continuous and Discrete-Continuous Optimization, 140
6.4 Outer Approximations, OA, 144
6.4.1 Formulation, 144
6.4.2 Basic Idea, 145
6.4.3 Theoretical Development, 145
6.4.4 Algorithmic Development, 151
6.5 Outer Approximation with Equality Relaxation, OA/ER, 155
6.5.1 Formulation, 155
6.5.2 Basic Idea, 156
6.5.3 Theoretical Development, 156
6.5.4 Algorithmic Development, 160
6.5.5 Illustration, 161
6.6 Outer Approximation with Equality Relaxation and Augmented Penalty, OA/ER/AP, 168
6.6.1 Formulation, 168
6.6.2 Basic Idea, 169
6.6.3 Theoretical Development, 169
6.6.4 Algorithm Development, 170
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6.6.5 Illustration, 171

6.7 Generalized Outer Approximation, GOA, 175
6.7.1 Formulation, 175
6.7.2 Basic Idea, 175
6.7.3 Theoretical Development, 176
6.7.4 Algorithmic Development, 179
6.7.5 Worst-Case Analysis of GOA, 180
6.7.6 Generalized Outer Approximation with Exact Penalty, GOA/EP, 181
6.8 Comparison of GBD and OA-based Algorithms, 183
6.8.1 Formulation, 183
6.8.2 Nonlinear Equality Constraints, 184
6.8.3 Nonlinearities in y and Joint x–y, 184
6.8.4 The Primal Problem, 186
6.8.5 The Master Problem, 187
6.8.6 Lower Bounds, 189

Floudas, Christodoulos A.. Nonlinear and Mixed-Integer Optimization : Fundamentals and Applications, Oxford University Press, 1995.
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 xiv

6.9 Generalized Cross Decomposition, GCD, 190

6.9.1 Formulation, 190
6.9.2 Basic Idea 191
6.9.3 Theoretical Development, 191
6.9.4 Algorithmic Development, 199
6.9.5 GCD under Separability, 203
6.9.6 GCD In Continuous and Discrete-Continuous Optimization, 208

PART 3 APPLICATIONS IN PROCESS SYNTHESIS

7. Process Synthesis, 225
7.1 Introduction, 225
7.1.1 The Overall Process System, 226
7.2 Definition, 229
7.2.1 Difficulties/Challenges in Process Synthesis, 230
7.3 Approaches in Process Synthesis, 232
7.4 Optimization Approach in Process Synthesis, 233
7.4.1 Outline, 233
7.4.2 Representation of Alternatives, 234
7.4.3 Mathematical Model of Superstructure, 235
7.4.4 Algorithmic Development, 256
7.5 Application Areas, 257

8. Heat Exchanger Network Synthesis, 259

8.1 Introduction, 259
8.2 Problem Statement, 261
8.2.1 Definition of Temperature Approaches, 262
8.3 Targets for HEN Synthesis, 262
8.3.1 Minimum Utility Cost, 262
8.3.2 Minimum Number of Matches, 280
8.3.3 Minimum Number of Matches for Vertical Heat Transfer, 294
8.4. Decomposition-based HEN Synthesis Approaches, 304
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8.4.1 Heat Exchanger Network Derivation, 305

8.4.2 HEN Synthesis Strategy, 321
8.5 Simultaneous HEN Synthesis Approaches, 323
8.5.1 Simultaneous Matches-Network Optimization, 324
8.5.2 Pseudo-Pinch, 338
8.5.3 Synthesis of HENs Without Decomposition, 342
8.5.4 Simultaneous Optimization Models for HEN Synthesis, 356

9. Distillation-based Separation Systems Synthesis, 379

9.1 Introduction, 379
9.2 Synthesis of Heat-integrated Sharp Distillation Sequences, 381
9.2.1 Problem Statement 382
9.2.2 Basic Idea, 382
9.2.3 Derivation of Superstructure, 383
9.2.4 Mathematical Formulation of Superstructure, 385

Floudas, Christodoulos A.. Nonlinear and Mixed-Integer Optimization : Fundamentals and Applications, Oxford University Press, 1995.
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 Contents xv

9.3 Synthesis of Nonsharp Distillation Sequences, 393

9.3.1 Problem Statement, 396
9.3.2 Basic Idea, 396
9.3.3 Nonsharp Separation Superstructure, 397
9.3.4 Mathematical Formulation of Nonsharp Separation Superstructure, 400

10. Synthesis of Reactor Networks and Reactor-Separator-Recycle Systems, 407

10.1 Introduction, 407
10.2 Synthesis of Isothermal Reactor Networks, 411
10.2.1 Problem Statement, 411
10.2.2 Basic Idea, 412
10.2.3 Reactor Unit Representation, 412
10.2.4 Reactor Network Superstructure, 414
10.2.5 Mathematical Formulation of Reactor Superstructure, 415
10.3 Synthesis of Reactor-Separator-Recycle Systems, 422
10.3.1 Introduction, 422
10.3.2 Problem Statement, 424
10.3.3 Basic Idea, 424
10.3.4 Reactor-Separator-Recycle Superstructure, 425
10.3.5 Mathematical Formulation, 428

Bibliography, 435
Index, 453
Copyright © 1995. Oxford University Press. All rights reserved.

Floudas, Christodoulos A.. Nonlinear and Mixed-Integer Optimization : Fundamentals and Applications, Oxford University Press, 1995.
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Copyright © 1995. Oxford University Press. All rights reserved.

Floudas, Christodoulos A.. Nonlinear and Mixed-Integer Optimization : Fundamentals and Applications, Oxford University Press, 1995.
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 Nonlinear and Mixed-Integer Optimization
Copyright © 1995. Oxford University Press. All rights reserved.

Floudas, Christodoulos A.. Nonlinear and Mixed-Integer Optimization : Fundamentals and Applications, Oxford University Press, 1995.
ProQuest Ebook Central, http://ebookcentral.proquest.com/lib/surrey/detail.action?docID=430844.
Created from surrey on 2018-01-01 10:05:23.
 This page intentionally left blank
Copyright © 1995. Oxford University Press. All rights reserved.

Floudas, Christodoulos A.. Nonlinear and Mixed-Integer Optimization : Fundamentals and Applications, Oxford University Press, 1995.
ProQuest Ebook Central, http://ebookcentral.proquest.com/lib/surrey/detail.action?docID=430844.
Created from surrey on 2018-01-01 10:05:23.