Multi-period dynamic optimization for large-scale differential-algebraic process models under uncertainty

Abstract

A technique for optimizing large-scale differential-algebraic process models under uncertainty using a parallel embedded model approach is developed in this article. A combined multi-period multiple-shooting discretization scheme is proposed, which creates a significant number of independent numerical integration tasks for each shooting interval over all scenario/period realizations. Each independent integration task is able to be solved in parallel as part of the function evaluations within a gradient-based non-linear programming solver. The focus of this paper is on demonstrating potential computation performance improvement when the embedded differential-algebraic equation model solution of the multi-period discretization is implemented in parallel. We assess our parallel dynamic optimization approach on two case studies; the first is a benchmark literature problem, while the second is a large-scale air separation problem that considers a robust set-point transition under parametric uncertainty. Results indicate that focusing on the speed-up of the embedded model evaluation can significantly decrease the overall computation time; however, as the multi-period formulation grows with increased realizations, the computational burden quickly shifts to the internal computation performed within the non-linear programming algorithm. This highlights the need for further decomposition, structure exploitation and parallelization within the non-linear programming algorithm and is the subject for further investigation.