Real option theory from finance to batch distillation

Computers and Chemical Engineering

Volumn 27, Issue 12, 2003, Pages 1867-1882

  Rico Ramirez, Vicente ^a   Diwekar, Urmila M ^b   Morel, Benoit ^c  

^a DEPARTAMENTO DE INGENIERÍA QUÍMICA   (Mexico)

^b 1120 Science and Engineering Offices   (United States)

^c CARNEGIE MELLON UNIVERSITY   (United States)

Author keywords

Batch distillation control; Real option theory; Stochastic optimal control

Indexed keywords

COMPUTATIONAL COMPLEXITY; DISTILLATION COLUMNS; MATHEMATICAL MODELS; OPTIMAL CONTROL SYSTEMS; PROBLEM SOLVING;

BATCH DISTILLATION;

DISTILLATION;

BATCH PROCESS; COMPUTER; CONTROL SYSTEM; DISTILLATION; STOCHASTIC METHOD;

ALGORITHM; ARTICLE; BATCH DISTILLATION; BATCH DISTILLATION PROCESS SIMULATOR; BATCH PROCESS; CHEMICAL ENGINEERING; COUPLED MAXIMUM PRINCIPLE; DISTILLATION; INDUSTRIAL PRODUCTION; MATHEMATICAL COMPUTING; MATHEMATICAL MODEL; PROBLEM SOLVING; PROCESS MODEL; REACTION OPTIMIZATION; REAL OPTION THEORY; SIMULATOR; STEADY STATE; THEORY;

EID: 0242558075     PISSN: 00981354     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0098-1354(03)00160-1     Document Type: Article

References (22)

1. Amram, M., & Kulatilaka, N. (1999). Real options: managing strategic investment in an uncertain world. Boston, MA: Harvard Business School Press.
2. Bellman, R. (1957). Dynamic programming. Princeton, NJ: Princeton University Press.
3. Converse, A. O., & Gross, G. D. (1963). Optimal distillate policy in batch distillation. Industrial Engineering and Chemical Fundamentals 2, 217.
4. Diwekar, U. M. (1992). Unified approach to solving optimal design control problems in batch distillation. American Institute of Chemical Engineering Journal 38, 1551.
5. Diwekar, U. M. (1994). Batch distillation. Simulation, optimal design and control. Washington, DC, USA: Taylor & Francis.
6. Diwekar, U. M. (1996). Understanding batch distillation process principles with MultiBatchDS. Computer Applications in Chemical Engineering Education 4, 275.
7. Diwekar, U. M. (2003), Introduction to applied optimization. Boston, MA: Kluwer Academic Publishers.
8. Diwekar, U. M., Malik, R. K., & Madhavan, K. P. (1987). Optimal reflux rate policy determination for multicomponent batch distillation columns. Computers and Chemical Engineering 11, 629.
9. Dixit, A. K., & Pindyck, R. S. (1994). Investment under uncertainty. Princeton, NJ, USA: Princeton University Press,
10. Dreyfus, S. (1965). Dynamic programming and teh calculus of variations. New York, NY: Academic Press.
11. Farhat, S., Czernicki, M., Pibouleau, L., & Domench, S. (1990). Optimization of multi-fraction batch distillation by nonlinear programming. American Institute of Chemical Engineering Journal 36, 1349.
12. Hansen, T. T., & Jorgensen, S. B. (1986). Optimal control of binary batch distillation in tray or packed columns, Chemical Engineering Journal 33, 151.
13. Ito, K. (1951). On stochastic differential equations. Memoirs of American Mathematical Society 4, 1.
14. Ito, K. (1974). On stochastic differentials. Applied Mathematics and Optimization 4, 374.
15. Kerkhof, L. H., & Vissers, H. J. M. (1978). On the profit of optimum control in batch distillation. Chemical Engineering and Science 33, 961.
16. Logsdon, J. S., Diwekar, U. M., & Biegler, L. T. (1990). On the simultaneous optimal design and operation of batch distillation columns. Transactions of Institute of Chemical Engineering 68, 434.
17. Merton, R. C., & Samuelson, P. A. (1990). Continuous-time finance. Cambridge, MA, USA: B. Blackwell Publishing.
18. Mujtaba, I. M., & Macchietto, S. (1988). Optimal control of batch distillation. IMAC world conference, Paris.
19. Naf, U. G. (1994). Stochastic simulation using gPROMS. Computers and Chemical Engineering 18, S743.
20. Potryagin, L. S. (1957). Basic problems of automatic regulation and control (in Russian). Izd-vo Akad Nauk, SSSR,
21. Thompson, G. L., & Sethi, S. P. (1994). Optimal control theory Boston, USA: Martinus Nijhoff Publishing.
22. Ulas, S., Diwekar, U., & Rico-Ramirez, V. (2003). Stochastic optimal control in batch distillation: a real option approach. In: INFORMS/CUSTOM conference on managing environmental risk in an uncertain world. Chicago, IL.