Received: 8 March 2016 Revised: 20 May 2016 Accepted: 23 May 2016

DOI 10.1002/cem.2808

RESEARCH ARTICLE

An approach for simultaneous estimation of reaction kinetics and

curve resolution from process and spectral data
Weifeng Chen1 | Lorenz T. Biegler2* | Salvador García Muñoz3

1
College of Information Engineering, Zhejiang
University of Technology, Hangzhou, ZJ 310023,
China
2
Center for Advanced Process Decision‐making,
Department of Chemical Engineering, Carnegie
Mellon University, Pittsburgh, PA 15213, USA
3
Small Molecule Design and Development, Lilly
Research Labs, Indianapolis, IN 46285, USA
Correspondence
Lorenz T. Biegler, Center for Advanced Process
Decision‐making, Department of Chemical,
Engineering, Carnegie Mellon University, 5000
Forbes Ave. Pittsburgh, PA 15213, USA.
Email: lb01@andrew.cmu.edu
Parameter estimation of reaction kinetics from spectroscopic data remains an impor-
tant and challenging problem. This study describes a unified framework to address
this challenge. The presented framework is based on maximum likelihood princi-
ples, nonlinear optimization techniques, and the use of collocation methods to solve
the differential equations involved. To solve the overall parameter estimation
problem, we first develop an iterative optimization‐based procedure to estimate
the variances of the noise in system variables (eg, concentrations) and spectral
measurements. Once these variances are estimated, we then determine the concen-
tration profiles and kinetic parameters simultaneously. From the properties of the
nonlinear programming solver and solution sensitivity, we also obtain the covari-
ance matrix and standard deviations for the estimated kinetic parameters. Our pro-
posed approach is demonstrated on 7 case studies that include simulated data as
well as actual experimental data. Moreover, our numerical results compare well with
the multivariate curve resolution alternating least squares approach.

KE YWO RD S

multivariate curve resolution, nonlinear programming, parameter estimation

1 | IN T RO D U C T IO N problem with this kind of posteriori kinetic modeling

Identification of reaction kinetics plays an important role in
the development of new products and processes for chemi-
cal and biochemical systems. The precise knowledge of
kinetic parameters is critical in the design of robust, con-
trollable, and safe processes and in the scale‐up calculations
from laboratory to commercial. Spectroscopic techniques
are commonly used for chemical reaction monitoring
especially within ultraviolet‐visible, Raman, infrared and
near‐infrared (NIR) wavelength regions.1–4 These provide
vast amounts of data about the transient concentration of
species in the reaction medium. The number of independent
chemical species and the corresponding absorption spectra
and concentration profiles in time can be recovered from
the spectroscopic measurements by the means of self‐
modeling curve resolution techniques5–14 without using
any behavior model or a priori information about the reac-
tion system. After concentrations are recovered, the kinetic
parameters can be estimated by fitting a proposed kinetic
pathway using nonlinear optimization. However, the main
approach is that the self‐modeling curve resolution methods
suffer from rotational ambiguity and intensity ambigu-
ity,9,11,15 which may significantly decrease the accuracy of
estimated kinetic parameters.
An alternate approach that aims to identify and select
well‐posed spectral data and determine the associated con-
centration profiles is based on mixed integer nonlinear
programming. Here, an Akaike information criterion with
unknown covariance is posed for maximization, and binary
variables are introduced to select the most informative data.
In a work by Westerlund et al,16 a decomposition approach
is developed where the concentrations are determined (with
fixed covariance) in an inner loop and covariance is updated
in an outer loop. This approach was later generalized in the
work of Vaia and Sahinidis17 where concentrations and
covariance are determined simultaneously with a global
mixed integer nonlinear programming algorithm. This
approach was demonstrated to yield superior solutions for
small problems but can be quite expensive for typical data
sets with ntp and nwp approaching 100 or more.

506 Copyright © 2016 John Wiley & Sons, Ltd. wileyonlinelibrary.com/journal/cem J. Chemometrics 2016; 30: 506–522
CHEN ET AL.
In addition, more sophisticated techniques have been
adopted for the determination of kinetic parameters from
spectroscopic data. Such techniques rely on the availability
of accurate pure component spectra to identify the com-
pounds participating in the reaction. The approach based on
Gauss‐Newton‐Levenberg‐Marquardt18,19 is widely used to
adjust the kinetic parameters for minimizing the difference
between the measured and modeled absorbance spectra and
usually has good performance.20–24 This kind of approach
fixes the kinetic parameters and integrates the system of ordi-
nary differential equations (ODEs) to get the concentration
profiles. Then, the pure component spectra and the sensitivity
of the system with respect to the kinetic parameter can be
estimated to calculate the perturbed step of kinetic parameter
to reduce the fitting error of the spectroscopic data. However,
this approach is sequential and poorly suited to unstable and
ill‐conditioned dynamic systems; it can lead to unbounded
state profiles and convergence difficulties.25 Another widely
applied approach is the multivariate curve resolution alternat-
ing least squares (MCR‐ALS) method, which obtains the
pure concentration profiles and spectra of all absorbing
species present in the raw measurements by using soft model-
ing constraints and kinetic model constraints.26,27 The con-
centration and spectra matrices are updated alternately by
separate least squares methods. Once the concentration
matrix is obtained by least squares, it is modified by
nonnegativity constraints, unimodality constraints, closure
constraints, and other soft constraints. Then the ODE is fitted
to concentration data to get kinetic parameters. The spectra
matrix is also modified by these constraints before calculat-
ing the concentration matrix with least squares. These alter-
nating iterations continue until the residual sum of squares
has little change. Without derivative information and explicit
search directions towards minimizing the fitting error, this
procedure converges slowly and the precision of estimated
kinetic parameters may not be high enough. Moreover, in
another study,26 it is stated that the “hard‐ and soft‐modelling
approach equals or overcomes the performance of pure hard‐
modelling method and pure soft‐modelling method in any
case.” For this reason, as well as the ready availability of
MCR‐ALS, we will compare our proposed method to
MCR‐ALS in this study.
Another hybrid approach proposed by Sawall et al28 com-
bines the model‐free curve resolution technique with a
model‐based kinetic regularization. Here, a low‐rank approx-
imation of the original spectroscopic data is computed by a
singular value decomposition in the first step and only a rota-
tion matrix is determined to recover the concentration and
spectra matrix. Then the regularized error between the con-
centration matrix and the solution of the kinetic model can
be incorporated to recover the spectra.14 The NL2SOL29
optimization code was used to minimize the regularized
objective function to adjust the rotation matrix and kinetic
parameters simultaneously. However, no guidelines were
given to properly choose the structure of the rotation matrix,
507
and it is difficult to determine the weight factors correspond-
ing to the regularization items; these affect the accuracy of
kinetic parameter estimation significantly. In addition, the
hybrid method breaks down when the columns of the concen-
tration matrix (C in Equation 2) are dependent, because this
method requires (CTC) to be nonsingular. For the same rea-
son, both Gauss‐Newton‐Levenberg‐Marquardt and MCR‐
ALS also encounter calculation problems for the dependent
case. Finally, while all of the previous methods consider mea-
surement errors in the spectra, none of these approaches con-
sider the system noise in the reaction kinetic model, which
directly affects the concentrations. This noise should not be
conflated with measurement errors and must be captured
with an extended maximum likelihood form.
In this work, we develop a simultaneous parameter esti-
mation algorithm based on spectroscopic data for reaction
systems with both system variables and spectral measurement
noise. In Section 2 we develop a simultaneous collocation
approach for kinetic parameter estimation, where we assume
that variances for spectral measurement error and system
variable noise are known. However, because only spectra
are available and concentrations are not measured directly,
this assumption cannot be applied directly. Because both
measurement error and system noise are conflated, their var-
iances cannot be determined independently. To address this
issue, Section 3 extends the approach of Section 2 and pre-
sents an iterative optimization‐based strategy that determines
estimates of spectral measurement and system variances, on
the basis of maximum likelihood concepts. This approach
then leads to an overall parameter estimation strategy.
Following the parameter estimation, Section 4 then derives
covariance matrices and confidence limits of the estimated
parameters. The overall approach described in Sections 3
and 4 is then demonstrated on 7 cases with simulated data
as well as real measurements in Section 5. Our numerical
results are also compared with the MCR‐ALS GUI 2.0 tool-
box.27 Finally, Section 6 summarizes the results and con-
cludes the paper.
2 | SIMU LTAN EOU S AP PROAC H F O R
K I N E T I C PA R A M E T E R E S T I M AT I O N
The spectra measured at each sampling time during the reac-
tion can be arranged as rows to form a 2‐dimensional matrix.
If there is no measurement error, then Beer‐Lambert's law
predicts the absorbance of a solution d(t, λ) at a particular
wavelength λ and given time t as the sum over all contribu-
tions of dissolved absorbing species, ie,
d ðt; λÞ ¼ c1 ðt Þs1 ðλÞ þ c2 ðt Þs2 ðλÞ þ ⋯ þ cnc ðt Þsnc ðλÞ (1)
where ck(t) is the concentration for the kth species at time t,
sk(λ) is the absorbance for the kth species with 1 unit concen-
tration at time t, and nc is the number of absorbing species.
Assuming ntp is the number of sampling points in time and
508 CHEN ET AL.

nwp is the number of sampling points for wavelength dimen-

ck ðt i−1 þ ΔtÞ ¼ ck ðt i Þ ¼ ck ðt i−1 Þ þ f k ðcðt i−1 Þ; θÞΔt
sion, Beer‐Lambert's law can be expressed with the following (5)
model: þκ k dW k ðt Þ; k ¼ 1; :::; nc; i ¼ 1; :::; ntp

where κkdWk(t) ~ N(0, Δtκk2) = N(0, σk2), k = 1, …, nc, and

D ¼ CST þ E (2)
we define ηk(t) = κkdWk(t). Equation 5 can be rewritten in
vector form as
where D is the ntp‐by‐nwp spectra matrix (each element is
8
regarded as a random variable). C is the ntp‐by‐nc concentra- > c1 ðt 1 Þ−½c1 ðt 0 Þ þ f 1 ðcðt 0 Þ; θÞΔt þ κ 1 dW 1 ðt 0 Þ
>
>
tion matrix, the row is sampling time, and the column is the >
>
>
> c1 ðt 2 Þ−½c1 ðt 1 Þ þ f 1 ðcðt 1 Þ; θÞΔt þ κ 1 dW 1 ðt 1 Þ
>
>
absorbing species. S is the nwp‐by‐nc absorbance matrix, >
>
>
< ::::::
with wavelengths for the rows and absorbing species for the Fðc; θÞ−η ¼
 


 

>
> c1 t ntp − c1 t ntp þ f 1 c tntp ; θ Δt þ κ1 dW 1 tntp
columns. E is the ntp‐by‐nwp measurement error matrix. >
>
>
>
This noise in the spectroscopic measurement is composed >
> ::::::
>
>
>
>
of background noise, precision of the instrument, and :
 


 

cnc tntp − cnc tntp þ f nc c t ntp ; θ Δt þ κnc dW nc tntp
possibly instrument aging. We assume each measurement 

T
c ¼ c1 ðt 1 Þ; c1 ðt 2 Þ; :::; c1 t ntp ; :::; cnc ðt 1 Þ :::; cnc t ntp
is independent and has the same variance; ie, for each 

T
η ¼ η1 ðt1 Þ; η1 ðt2 Þ; :::; η1 t ntp ; :::; ηnc ðt1 Þ; :::; ηnc t ntp
component of matrix E,

Fðc; θÞ ¼ η; ηk ðt i Þ∈N 0; σ 2k ; i ¼ 1; :::; ntp; k ¼ 1; :::; nc

 (6)
ζ i;l ∈N 0; δ2 ; i ¼ 1::ntp; l ¼ 1::nwp (3)

We assume that z(t), the concentration profile without

In practice, there may be noise in the reaction system; ie, system noise, satisfies the following equation:
the process should be modeled as the following stochastic
dzðt Þ
differential equations: ¼ f ðzðt Þ; θÞ (7)
dt

dcðt Þ ¼ f ðcðt Þ; θÞdt þ ΚdW ðt Þ

nc After discretization and reformulation, we have the same
d i;l ¼ ∑ ck ðt i Þsk ðλl Þ þ ζi;l (4)
k¼1
function as Equation 6,
i ¼ 1::ntp; l ¼ 1::nwp
Fðz; θÞ ¼ 0


 T
z ¼ z1 ðt 1 Þ; z1 ðt 2 Þ; :::; z1 tntp ; :::; znc ðt 1 Þ; :::; znc t ntp
where c(t) is the differential state variable vector and θ is (8)
the kinetic parameter vector. The components of W(t), ie,
Wk(t), are described by standard Brownian motion or stan-
dard Wiener process, and we assume that they are indepen- Also, we assume that η is small compared with z.
dent of each other. К is a diagonal matrix, and the diagonal Expanding Equation 6 at c = z leads to
element is κk, the disturbance intensity for the kth state var- ∂F  
iable. Over the time span [0, T], Wk(t), k = 1, ..., nc, is a Fðc; θÞ ¼ Fðz; θÞ þ ðc−zÞ þ O kc−zk2 ¼ η
∂c
random variable, and it depends continuously on t ∈ [0,
T] and satisfies the following 3 conditions:30 and thus,

∂F
1. Wk(0) = 0 (with probability 1). ðc−zÞ≈η (9)
2. For 0 ≤ s < t ≤ T, the random variable given by incre- ∂c
ment Wk(t) − Wk(s) is normally distributed with mean
0 and variance t − s; equivalently, Wk(t) − Wk(s) From Equation 9, we can show for t ∈ [0, T] that we have
~ (t − s)(1/2) N(0, 1), where N(0, 1) denotes a normally

the probability density function p(ω = c − z) ≈ det ∂F
∂c p(η),
31

distributed random variable with 0 mean and unit variance.
∂F

and from Equation 5, we can show det ∂c = 1 (see Appendix
3. For 0 ≤ s < t < u < v ≤ T, the increments Wk(t) − Wk(s) and
A for this result), which leaves
Wk(v) − Wk(u) are independent. κk is the system noise
intensity. pðω ¼ c−zÞ≈pðηÞ (10)

We discretize the stochastic differential equations,

Equation 4, with the Euler scheme so that for each element Equation 10 is consistent with the Markov property of
we have the following relationship: states and the law of total conditional probability.
CHEN ET AL. 509

Thus, the process model (Equation 4) can be transformed

̇ ðτÞz −h ⋅f
z ; θ ¼ 0
K
as ∑ lm jm j jm (16)
m¼0

dzðt Þ
¼ f ðzðt Þ; θÞ and we interpolate z(t) at the sampling times ti using Equation
dt 15. Equation 14 becomes
ck ðt i Þ ¼ zk ðt i Þ þ ωk ðt i Þ
nc (11)
 2
d i;l ¼ ∑ ck ðt i Þsk ðλl Þ þ ζi;l ntp nwp nc ntp nc
k¼1 min∑ ∑ d i;l − ∑ ck ðti Þsk ðλl Þ =δ2 þ ∑ ∑ ðck ðt i Þ−zk ðti ÞÞ2 =σ 2k
i ¼ 1::ntp; l ¼ 1::nwp; k ¼ 1::nc i¼1 l¼1 k¼1 i¼1k¼1
K

s:t: ∑ l ̇m ðτÞzjm −hj ⋅f zjm ; θ ¼ 0; j ¼ 1::ne; m ¼ 1::K
m¼0
K


From Equation 11, we have zK ðt i Þ ¼ ∑ lm ðτÞzjm ; τ ¼ ti −tpj−1 = tpj −tpj−1
m¼0


 ntp nwp C≥0; S≥0

p D−CST ¼ ∏ ∏ p ζi;l (12)
i¼1 l¼1 (17)

and combining with Equation 10, we have

However, before we can solve this problem, we need to
estimate the variances δ2 and σk2. Also, the solution of Equa-

 ntp nwp
 ntp nc
p D−CST ; c−zjθ ¼ ∏ ∏ p ζ i;l ⋅∏ ∏ pðηk ðt i ÞÞ (13) tion 17 requires a careful initialization of the variables C, S,
i¼1 l¼1 i¼1 k¼1
and θ. These topics are discussed in the next section. With
δ2 and σk2 obtained, we can then solve Equation 17 to obtain
estimates of the kinetic parameters, concentration profiles,
If we can assume that all of the variances are known, then
and spectra simultaneously.
we can apply the maximum likelihood estimation approach to
Equation 13 and obtain the following optimization formula-
tion: 3 | E ST I M AT IO N O F M EA S U R E M E N T AN D
 2
N O I S E VA R I A NC E S
ntp nwpnc ntp nc
min∑ ∑ d i;l − ∑ ck ðti Þsk ðλl Þ =δ2 þ ∑ ∑ ðck ðt i Þ−zk ðti ÞÞ2 =σ 2k
i¼1 l¼1 k¼1 i¼1k¼1 Evolving factor analysis34,35 has been widely applied to
dzðt Þ obtain an initial guess for concentration profiles. Also, if we
s:t: ¼ f ðzðtÞ; θÞ
dt have prior knowledge of the kinetic parameters, an initial
C≥0; S≥0 guess for the concentration profiles may also be obtained by
(14) solving the process model (Equation 11). Instead, our
approach obtains the initial guess for concentration profiles
by solving the following optimization problem, which is
To solve this problem, we apply the simultaneous collo- constructed by neglecting the system noise ω(t):
cation approach. Here, we discretize the system of ordinary
differential equations Equation 7 with Radau collocation,
 2
which is numerically stable.32,33 We choose K + 1 interpola- ntp nc
min∑ ∑ d i;l − ∑ zKk ðt i Þsk ðλl Þ
tion points (the shifted roots of the corresponding Radau i¼1l∈A k¼1
polynomial) in element j and represent the state in this
̇ ðτÞz −h ⋅f
z ; θ ¼ 0; j ¼ 1…ne; m ¼ 1…K
K
element as25 s:t: ∑ l m jm j jm
m¼0 (18)
K K


zK ðt Þ ¼ ∑ lm ðτÞzjm ; t ¼ tpj−1 þ hj τ; τ∈½0;1; (15) zK ðt i Þ ¼ ∑ lm ðτÞzjm ; τ ¼ ti −tpj−1 = tpj −tpj−1
m¼0 m¼0
K ðτ−τm′ Þ
l m ðτ Þ ¼ ∏
ðτ −τm′ Þ
m0 ¼0;≠m m
S≥0

Here, A is the subset of {1, ..., nwp} that represents

Here, zK(t) is represented as a Lagrange interpolating
polynomial, where lm(τ) is the polynomial basis function
and the breakpoints of the finite elements are given by tpj
with hj = tpj − tpj−1.
Substituting Equation 15 into the differential equations
leads to the following collocation equations:
selected wavelength points. This approach decreases the
problem size and provides initialization information for
Equation 17. The obtained concentration profiles are
regarded as observations of ck(t) ∈ N(zk(t), σ2k ). On the basis
of the maximum likelihood estimation approach with
unknown variance, σ2k , and under the assumption that the
510 CHEN ET AL.

obtained data set is large enough to accurately approximate  2

nc 1 ntp nc
the mean and variance of the probability density function, ν2l ¼ ∑ sk ðλl Þ2 σ 2k þδ ¼2
∑ di;l − ∑ zk ðt i Þsk ðλl Þ
k¼1 ntpi¼1 k¼1
we have
l ¼ 1; :::; nwp
(23)
max ln pðcjθÞ
̇ ðτÞz −h ⋅f
z ; θ ¼ 0; j ¼ 1::ne; m ¼ 1::K
K
s:t: ∑ l m jm j jm When Equation 22 is solved successfully, we also get an
m¼0 (19)
initialization for the S matrix. Now, by fixing the values of
K


zK ðt i Þ ¼ ∑ lm ðτÞzjm ; τ ¼ t i −tpj−1 = tpj −tpj−1 S and regarding ck(ti) as parameters, we consider di,l again
m¼0 and use the following maximum likelihood function formula-
tion with unknown variance δ2. Under the assumption that the
data set is sufficiently large, we have
Equation 19 is equivalent to Equation 20 (see Appendix
ntp nwp

B for the derivation) max∏ ∏ p di;l jsk ðλl Þ; k ¼ 1::nc
i¼1 l¼1 (24)
 s:t: C≥0
nc 1 ntp 2
min ∑ ln ∑ ðck ðt i Þ−zk ðt i ÞÞ
k¼1 ntpi¼1
K
 Equation 24 is equivalent to the following optimization
s:t: ∑ l ̇m ðτÞzjm −hj ⋅f zjm ; θ ¼ 0; j ¼ 1::ne; m ¼ 1::K problem (see Appendix B for the derivation):
m¼0
K

  2
zK ðt i Þ ¼ ∑ lm ðτÞzjm ; τ ¼ t i −tpj−1 = tpj −tpj−1 ntp nwp nc
m¼0 min∑ ∑ d i;l − ∑ ck ðt i Þsk ðλl Þ
i¼1 l¼1 k¼1 (25)
(20)
s:t: C≥0

When Equation 20 is solved successfully, we also get an

estimate of the kinetic parameters and z(t) profiles. To obtain
an initialization for the S matrix and the variances for D and
C, we now regard the values of z(t) as fixed and note that
absorbances di,l, for each i = 1, ..., ntp, are independent over
index l (i.e. λ), but for each l = 1, ..., nwp, they are dependent
over index i (i.e. t). Hence, for any l, we consider the follow-
ing maximum likelihood function with the unknown variance
νl2, and under the assumption that the obtained data set is
large enough, we have
ntp
 uate the variance.
max ∏ p d i;l jzk ðt i Þ; k ¼ 1::nc
i¼1
(21)
s:t: S≥0
l ¼ 1; :::; nwp; k ¼ 1; :::; nc
The following optimization problem can be derived from
Equation 21 (see Appendix B for the derivation):
When Equation 25 is solved successfully, we return to
solve Equation 20 and repeat the cycle of optimization prob-
lems until S, C, δ, and σk converge. The whole procedure can
be described by Figure 1.
When the procedure in Figure 1 converges, we can esti-
mate δ2 and σ2k with the overdetermined system of Equation
23 and obtain the initial guesses for Equation 17. This
approach is similar to MCR‐ALS27 for kinetic parameter esti-
mation, but the theoretical foundation is not provided in the
work of Jaumot et al,27 and this approach is just used to eval-
Finally, we emphasize that the obtained kinetic parame-
ters from Equation 20 are not the final values, but they can
be adopted as an improved initial guess. With the initial guess
for all the corresponding variables and estimated variances
for system noise and measurement error, Equation 17 can
then be solved directly.

ntp
 nc
2
min∑ d i;l − ∑ zk ðt i Þsk ðλl Þ
i¼1 k¼1
(22)
s:t: S≥0
l ¼ 1; :::; nwp; k ¼ 1; :::; nc

And variance νl2 can be estimated by the following

equation (see Appendix B for the derivation): FIGURE 1 Flow sheet of the procedure for variance estimation
CHEN ET AL. 511

4 | COVAR IA NCE A ND I NTE RP RE TAT I ON Suppose the data d^ are varied slightly, this would cause
O F PA RA M ET ER UNC ERTAI NT Y the minimum to shift from Θ ^ to Θ
^ þ δΘ, where we have

From the solution of Equation 17, we obtain the optimal esti-  

mates of the kinetic parameters. We now consider how these ∂J Θ; d^ þ δd

¼0 (31)
∂Θ

parameters are affected by measurement error and system

^
Θ¼ΘþδΘ
noise.
Here, we regard D as a random matrix, and D^ is an obser-
 
vation matrix. Note that J Θ; d^ is regarded as the reduced Equation 31 is expanded to first order, and then we have
objective of Equation 17, ie,

     T ∂2 J ðΘ; dÞ

∂2 J ðΘ; dÞ

min J Θ; d^ ; d^ ¼ D
^ ;Θ ¼ ½CT ; ½ST ; θ (26) H δΘ þ B δd ¼ 0; H ¼
;B ¼ ∂Θ ∂d

θ ∂Θ2
Θ¼ Θ^ ^
Θ¼ Θ
d¼ ^d d¼d^

where [·] transforms a matrix to a column vector. (32)

ntp nc
Because of the additional term ∑ ∑ ðck ðt i Þ−zk ðt i ÞÞ2 =σ 2k
i¼1 k¼1
in the objective function of Equation 17, the confidence Then the desired covariance matrix VΘ is defined by
region calculation formula36 for the general nonlinear least


squares problem cannot be used directly for Equation 17. V Θ ¼ E δΘ⋅δΘT ¼ H−1 BV d BT H −T (33)
Consequently, we consider the related epsilon indifference
region31 given by

   
where H−1 from Equation 33 is the inverse of the reduced

^ d^

≤ε

J Θ; d^ −J Θ; (27) Hessian and calculated directly by sIPOPT, a code developed
for sensitivity analysis of nonlinear programming prob-
lems.37 B is a partial derivative matrix with respect to d and
where ɛ is the largest difference between risks that we are
Θ, and Vd is the covariance matrix of d (see Appendix C
willing to consider insignificant, and we have no reason to
^ over any other value of Θ, which satisfies Equation for the derivation of Equation 33 and expressions for B and
prefer Θ
Vd).
27. Moreover, the smaller is the max∥Θ−Θ ^ ∥ that satisfies
Remark: In this work, covariance matrix of the parame-
Equation 27, the better estimate Θ^ we have. ter estimates is used to evaluate the reliability of the parame-
The objective function of Equation 26 can be approxi- ter estimates.
mated by a second‐order expansion around the estimated
h   i

^ With ∂J Θ; d^ = ∂Θ

parameters Θ. ¼0, we have

^ Θ¼ Θ 5 | N UM ERICAL RE S ULTS

    1 T ∂2 J

  We consider 7 examples that demonstrate our proposed

^ ^ ^
J Θ; d ≈J Θ; d þ Θ−Θ^
Θ− ^
Θ (28)
(28)
2 ∂Θ2
Θ ¼ Θ^ parameter estimation approach. The first 4 deal with simu-
lated data where the true values for kinetic parameters and
variances for measurement error and system noise are
known. Consequently, numerical results can be evaluated
Substituting Equation 28 into Equation 27, we can there-
and compared for accuracy. The last 3 cases deal with
fore define the epsilon indifference region as follows:
actual experimental data, where the true values of the esti-
 T ∂2 J

  mates are unknown, and we compare them with available

^
Θ−Θ
^ ≤2ε
Θ−Θ (29)
∂Θ2

literature results. Our proposed optimization strategy was

^
Θ¼Θ
implemented with AMPL, a modeling language for mathe-
matical programming,38 and solved with IPOPT 3.8.1 (a
Another approach to evaluate the reliability of the param- nonlinear programming solver based on an interior point
eter estimates obtained by solving Equation 17 is to calculate method with a filter line search strategy39–41). All cases
the covariance matrix of the parameter estimates.31 At the were run on a Lenovo S230u Twist laptop running on Win-
minimum of Equation 26, we have dows 8 with an Intel Core i7‐3537U CPU, 2.00 GHz, and
 
8.0‐GB RAM. Also, for all cases, the covariance matrix
∂J Θ; d^

and standard deviation were calculated with sIPOPT37 for

¼0 (30)
∂Θ

the estimated kinetic parameters so as to evaluate the valid-

^ Θ¼Θ ity of the estimation.
512 CHEN ET AL.

5.1 | Cases with simulated data approach have good confidence levels. The concentration
profiles for species A, B, and C with the estimated parameter
5.1.1 | Reaction (A → B and B → C), no system noise 27
values and the profile bands corresponding to the standard
We consider a 2‐step consecutive reaction (A → B and
deviations are shown in Figure 2.
B → C) with an initial concentration of species A of
1.0 × 10−3 mol L−1. The data matrices were obtained by sim-
ulating the reaction mechanism with rates k1 = 2.0 second−1 5.1.2 | Reaction (A → B and B → C) with system noise
and k2 = 0.2 second−1. Three NIR spectra with considerable
A 2‐step consecutive reaction mechanism (A → B and
overlaps were used as pure species spectra of the 3 assumed
B → C) with rates k1 = 0.30 second−1 and k2 = 0.05
components. Measurement error was introduced by adding
second−1 is considered. The initial concentrations of species
normally distributed random numbers. The dimension of
A of 1.0 M L−1 and others are 0. System noise is considered
the data matrix D is 300 × 100.
in this case, and the concentration profiles for A, B, and C
In the first step, using the proposed variance estimation
were obtained by simulating the stochastic differential equa-
procedure in Figure 1, the variances of system noise (σk2)
tions with the approach proposed by Higham.30 Three NIR
for the 3 species were obtained as 1.5519 × 10−11,
spectra were simulated for the 3 individual species using
8.5460 × 10−11, and 6.1185 × 10−11 for A, B, and C, respec-
Gaussian peaks. Normally distributed white noise was added
tively. Note that the true variances are 0 for these species, so
to the data matrix. The dimension of the simulated data
the estimated variances are reasonable. The estimated vari-
matrix D is 401 × 301.
ance for measurement error (δ2) is 1.8731 × 10−6. Our vari-
In the first step, the proposed variance estimation pro-
ance estimation procedure converges in 2 iterations, and the
cedure in Figure 1 leads to variances of system noise
CPU time cost is 2.0 seconds.
(σk2) given by 4.2962 × 10−6, 1.1130 × 10−5, and
With the above estimated variances and initialization, the
1.0791 × 10−5 for A, B, and C, respectively. The true var-
solution of Equation 17 requires 10.35 CPU seconds and 21
iances for system noise are 2.7493 × 10−6, 1.5907 × 10−5,
iterations with optimal parameters k1 = 1.9735 second−1
and 1.1523 × 10−5. The estimated variance (δ2) for mea-
and k2 = 0.20071 second−1. The relative errors are 1.33%
surement error is 7.2544 × 10−6, and the true variance
and 0.36%, respectively. With MCR‐ALS,27 we obtain
for measurement error is 7.4075 × 10−6. We can see that
k1 = 1.8939 second−1 and k2 = 0.19840 second−1, and the
the estimated and true variances have the same order of
relative errors are 5.30% and 0.80%, respectively. Hence,
magnitude. The variance estimation procedure requires 2
the proposed approach performs better than MCR‐ALS.
iterations to converge, and the CPU time cost is
The covariance matrix of the estimates with respect to k
10.0 seconds.
was also evaluated, and the diagonal elements of the covari-
With the above estimated variances and initialization, the
ance matrix are shown as follows:
solution of Equation 17 requires 52.59 CPU seconds and 17
 T iterations with optimal parameters k1 = 0.29678 second−1
diagðV Θ Þ ¼ 7:9510×10−4 4:0600×10−5

 and k2 = 0.049831 second−1. The relative errors are 1.07%
σ k1 ¼ sqrt 7:9510×10−4 ¼ 0:028

 and 0.34%, respectively. With MCR‐ALS,27 we obtain
σ k2 ¼ sqrt 4:0600×10−5 ¼ 0:0064 k1 = 0.30236 second−1 and k2 = 0.074513 second−1. The rel-
ative errors are 0.79% and 49.03%, respectively, and the rela-
The standard deviations for both k1 and k2 are small; tive error for k2 is very large. We also evaluate the covariance
hence, the kinetic parameters estimated by the proposed matrix of the estimates for k1 and k2 as follows:

FIGURE 2 Profiles for A, B, and C and profile bands corresponding to the standard deviations
CHEN ET AL. 513

 T and k2 = 1.0256 second−1. The relative errors are 0.63%

diagðV Θ Þ ¼ 3:3409×10−7 2:7886×10−7

 and 2.56%, respectively. However, because the column rank
σ k1 ¼ sqrt 3:3409×10−7 ¼ 5:8×10−4 of the concentration matrix C is only 3 for this 4‐species


σ k2 ¼ sqrt 2:7886×10−7 ¼ 5:3×10−4 problem and (CTC) is singular, the MCR‐ALS toolbox27 is
unable to handle this example. In MCR‐ALS, ST is calculated
sequentially by (CTC)−1CTD, and if CTC is singular, the pro-
The standard deviations for both k1 and k2 are small; cedure is terminated abnormally, while in the proposed
hence, the kinetic parameters estimated by the proposed approach, C and S are calculated simultaneously by solving
approach have a good confidence level. The concentration Equation 17 and (CTC)−1 is never required.
profiles for species A, B, and C with the estimated parameter In the following, we evaluate the covariance matrix of the
values and the profile bands corresponding to the standard estimates. The covariance matrix of the estimates with
deviations are shown in Figure 3. respect to k is as follows:

5.1.3 | Reaction (A + B → C and 2C → D) with system noise

 T
We now consider the reaction mechanism (A + B → C and diagðV Θ Þ ¼ 6:8979×10−4 4:5744×10−4


2C → D)24 with initial concentrations of species A of σ k1 ¼ sqrt 6:8979×10−4 ¼ 2:6×10−2
1.0 mol L−1 and B of 0.8 mol L−1 and rates of k1 = 2.0

σ k2 ¼ sqrt 4:5744×10−4 ¼ 2:1×10−2
second−1 and k2 = 1.0 second−1. System noise is also consid-
ered in this case. Concentration profiles for A, B, C, and D
were obtained by simulating the stochastic differential equa-
The standard deviations for both k1 and k2 are small;
tions with the approach proposed by Higham.30 Four NIR
hence, the kinetic parameters estimated by the proposed
spectra were simulated for the 4 individual species using
approach have good confidence levels. The profiles for A,
Gaussian peaks. Experimental error was simulated with nor-
B, C, and D with the estimated parameter values and the pro-
mally distributed random numbers. The dimension of the
file bands corresponding to the standard deviations are shown
simulated data matrix is 400 × 101.
in Figure 4.
Our proposed variance estimation procedure in Figure 1
leads to variances of system noise (σk2) given as 4.3468 × 10−6,
5.1.4 | Aspirin synthesis with dissolution, reaction and crys-
2.6269 × 10−6, 5.3181 × 10−6, and 2.7271 × 10−6 for species tallization processes
A, B, C, and D, respectively, and the true variances for system
We now consider a larger parameter estimation problem with
noise are 1.9774 × 10−5, 3.1714 × 10−6, 7.4167 × 10−6, and
more complex kinetics. The reaction mechanism of aspirin
8.3283 × 10−6. The estimated variance for measurement error
production is described by Joiner et al22 with the following
(δ2) is 1.6651 × 10−6, and the true variance for measurement
reactions:
error is 9.7098 × 10−7. All the estimated variances are close
to the true values except the variance for the A species, SA þ AA →
k1
ASA þ HA
which is a little larger. The variance estimation procedure ASA þ AA →
k2
ASAA þ HA
requires 291 iterations, and the CPU time cost is
ASAA þ H2 O →
k3
ASA þ HA
583.0 seconds. (34)
With the above estimated variances and initialization, the AA þ H2 O →
k4
2HA
solution of Equation 17 requires 56.53 CPU seconds and 35 SAðsÞ →
kd
SAðlÞ
iterations with optimal parameters k1 = 2.0126 second−1 ASAðlÞ →
kc
ASAðsÞ

FIGURE 3 Profiles for A, B, and C and profile bands corresponding to the standard deviations
514 CHEN ET AL.

FIGURE 4 Profiles for A, B, C, and D and pro-

file bands corresponding to the standard deviations

The reaction, dissolution, and crystallization rate laws are normally distributed random numbers. The dimension of
shown as follows: the D matrix is 471 × 111.
Using the proposed variance estimation procedure in
r 1 ¼ k 1 cSA ðt ÞcAA ðt Þ Figure 1, we estimate system noise variances for SA, ASA,
r 2 ¼ k 2 cASA ðt ÞcAA ðt Þ and ASAA species (σk2) as 5.4538 × 10−8, 5.0461 × 10−7,
r 3 ¼ k 3 cASAA ðt ÞcH 2 O ðt Þ and 3.3012 × 10−7, respectively. The true variances are
r 4 ¼ k 4 cAA ðt ÞcH 2 O ðt Þ 2.2440 × 10−8, 1.8459 × 10−7, and 2.1517 × 10−7. The esti-
(35)
(
d mated variance for measurement error(δ2) is 9.6868 × 10−8,
SA ðT Þ−cSA ðt Þ ; if mSA ðt Þ≥0
k d csat and the true value is 1.0 × 10−7. It can be seen that they have
rd ¼
0; if mSA ðt Þ<0 the same order of magnitude. The proposed variance estima-


c tion procedure requires 8 iterations, and the CPU time cost is
r g ¼ k c max cASA ðt Þ−csat ASA ðT Þ; 0
83.0 seconds.
With the above estimated variances and initialization, the
The change of concentration and mass for each liquid and solution of Equation 17 requires 9.63 CPU seconds and 7
solid component of the reaction system can be described by iterations to obtain the optimal parameters listed in Table 1.
the following system of ODEs: We also obtained the following covariance matrix for the esti-
mated parameters:
V̇
ṁSA ¼ −M SA Vr d ; ċSA ¼ rd −r 1 − cSA
V
V̇ ½9:2821×10−11 3:0548×10−8 1:6041×10−2
ċAA ¼ −r 1 −r2 −r 4 − cAA diagðV Θ Þ ¼
V
1:3796×10−3 4:6649×10−6 2:0728×10−5 1:2780×10−7 T
V̇
ċHA ¼ r1 þ r 2 þ r3 þ 2r4 − cHA
V
V̇ with standard deviations shown in the Standard Deviation
ṁASA ¼ M ASA Vr g ; ċASA ¼ r1 −r 2 þ r3 −r g − cASA (36) column of Table 1.
V
V̇ From Table 1, we can see that the relative errors for all the
ċASAA ¼ r 2 −r3 − cASAA parameters are within their confidence intervals and are
V
f V̇ therefore acceptable.
ċH2 O ¼ −r3 −r4 þ cin H2 O − cH O We also can see that the standard deviations are compat-
V V 2 !
ns 4 ible with the absolute errors for all the estimated parameters.
f
V ̇ ¼ V ∑ υi ∑ γ i;j r j þ γ i;d rd þ γ i;c rc þ εi cin The profiles for SA, ASA, and ASAA with the estimated
i¼1 j¼1 V H2 O
The comparison between the exact and estimated parameters
where γ are stoichiometric coefficients and ν are partial vol- TABLE 1

umes. To validate the accuracy of our method, we generate Absolute Relative Standard
Exact Estimated Error Error (%) Deviation
simulated absorbance data for known parameters,
k1 0.036031 0.036011 2.0 × 10−5 0.056 9.6 × 10−6
k1 = 0.036031, k2 = 0.15961, k3 = 6.8032, k4 = 1.8029,
k2 0.15961 0.15967 6.8 × 10−5 0.043 1.7 × 10−4
kc = 0.75669, kd = 7.1109, and CSAsat = 2.0627. Here, we
k3 6.8032 7.0390 0.24 3.5 0.13
add system noise η to produce concentration profiles for
k4 1.8029 1.8560 0.053 2.9 0.037
SA, ASA, and ASAA by solving the corresponding stochastic
kc 0.75669 0.76021 0.0035 0.46 2.2 × 10−3
differential equations. Also, the pure component spectra for
kd 7.1109 7.1073 0.0035 0.049 4.6 × 10−3
SA, ASA, and ASAA are the same as in the work of Joiner et −4
CSAsat 2.0627 2.0629 2.4 × 10 0.012 3.6 × 10−4
al,22 and the measurement error for D was introduced with
CHEN ET AL.
parameter values and the profile bands corresponding to the
standard deviations are shown in Figure 5.
5.2 | Parameter estimation with real measurements
5.2.1 | Reaction (A + B → C + D)
Consider the reaction of 4‐(trifluoromethyl) aniline (A) with
benzaldehyde (B). The solvent is 4‐methyl‐2‐pentanone
(MIBK). The reaction products are imine (C) and water
(D). The temperature at which the reaction was performed
is 22°C, and the reaction scheme is A + B → C + D. The vol-
ume stays constant, and the active species A and C were
monitored. The infrared spectra were recorded using a time
interval of 1 minute. The data size is 193 × 431.
FIGURE 5 Concentration profiles for SA, ASA, and ASAA with the estimated parameter values and profile bands corresponding to the standard deviations
515
The evaluated system noise variances for the A and C spe-
cies (σk2) are 2.4589 × 10−6 and 3.1297 × 10−15, respectively.
The estimated variance for measurement error (δ2) is
1.9455 × 10−5. The variance estimation procedure in Figure 1
requires 2 iterations, and the CPU time cost is 5.0 seconds.
With the above estimated variances and initialization, the
solution of Equation 17 requires 6.89 CPU seconds and 15
iterations with optimal parameters k1 = 0.0066555 second−1.
The variance of the estimates (σ2) with respect to k1 is
5.3399 × 10−19, and the standard deviation (σ) is 7.3 × 10−10.
The profiles for A and C with the estimated parameter values
and profile bands corresponding to the standard deviations are
shown in Figure 6. Because the standard deviation is so small,
the widths of the profile bands are nearly 0 and cannot be rec-
ognized in the figure.
516
FIGURE 6 Concentration profiles for A and C with the estimated parameter values and profile bands corresponding to the standard deviation
5.2.2 | Reaction (A + B → C + D) with chloroform as solvent
We consider the same reaction as in the previous case but with
chloroform as a solvent. Again, the reaction scheme is
A + B → C + D, the volume stays constant, and the active spe-
cies A and C were monitored. The infrared spectra were recorded
using a time interval of 3 minutes. The data size is 331 × 431.
The evaluated system noise variances for A and C species
(σk2) are 1.8170 × 10−6 and 2.6250 × 10−13, respectively. The
estimated variance for measurement error (δ2) is 3.1032 × 10−5.
The variance estimation procedure in Figure 1 requires 2
iterations to converge, and the CPU time cost is 9.0 seconds.
With the above estimated variances and initialization, the
solution of Equation 17 requires 33.55 CPU seconds and 21
iterations with optimal parameters k1 = 0.0053905 second−1.
The variance of the estimates (σ2) with respect to k1 is
1.7181 × 10−8, and the standard deviation (σ) is 1.3 × 10−4.
The profiles for A and C profiles with the estimated parameter
values and profile bands corresponding to the standard devia-
tions are shown in Figure 7.
5.2.3 | Reaction (A + B → C and C → D + E)21
Consider the reaction of 3‐chlorophenyl‐
hydrazonopropane dinitrile (A) with 2‐mercaptoethanol
FIGURE 7 Concentration profiles for A and C with the estimated parameter values and profile bands corresponding to the standard deviation
CHEN ET AL.
(B). The intermediate adduct (C) is formed during the
reaction. The reaction products are 3‐chlorophenyl‐
hydrazonocyanoacetamide (D) and the byproduct ethylene
sulfide (E). The temperature at which the reaction was
performed is 25°C. The reaction scheme is A + B → C
and C → D + E. The active species A, C, and D were
monitored. The UV‐visible spectra for each run were
recorded using time intervals of 10 seconds. The wave-
length range is 200 to 600 nm (wavelength resolution is
1 nm). The total runtime is 2710 CPU seconds.21 The
comparison between the proposed approach and MCR‐
ALS is shown in Table 2. The “Run Index” in Table 2 rep-
resents different experimental data sets.
Bijlsma et al21 estimated the kinetic parameters with the
Levenberg–Marquardt/PARAFAC method. The mean
values for k1 and k2 were reported as 0.3146 and 0.0258,
and the corresponding standard deviations are 0.0092 and
0.0011. From Table 2, we can see that the mean values
evaluated by the proposed approach are closer to the values
reported by Bijlsma et al21 than those from MCR‐ALS,
especially the estimated value for k2. The profiles for A,
C, and D with the estimated mean parameter values and
the profile bands corresponding to the standard deviations
are shown in Figure 8.
CHEN ET AL. 517

TABLE 2 The comparison among the proposed approach and multivariate curve resolution alternating least squares (MCR‐ALS) for parameter estimation
based on real experiment data set
MCR‐ALS
Proposed Approach
Run Index k1 Standard Deviation k2 Standard Deviation CPU (s) k1 k2
1 0.31125 0.015 0.025819 0.0046 43.54 0.30946 0.027807
2 0.31015 0.012 0.026766 0.0035 81.18 0.29592 0.030658
3 0.30935 0.018 0.027232 0.0051 134.01 0.29320 0.031308
4 0.31519 0.012 0.027201 0.0030 70.91 0.30068 0.030813
5 0.30786 0.012 0.025151 0.0011 83.98 0.32234 0.036597
6 0.29377 0.011 0.029307 0.0031 78.68 0.28094 0.036662
7 0.32149 0.013 0.025268 0.0035 84.26 0.31103 0.026977
8 0.31714 0.013 0.028323 0.0022 68.99 0.31349 0.029298
9 0.31942 0.0080 0.025035 0.0011 101.89 0.32905 0.024903
10 0.29952 0.0054 0.026399 0.0015 58.90 0.30034 0.027889
Mean 0.31051 0.012 0.026650 0.0029 80.63 0.30565 0.030291

FIGURE 8 Concentration profiles for A, C, and D with the estimated mean parameter values and profile bands corresponding to the standard deviations

6 | C O NC LUS I O N S of the concentration matrix can be overcome by considering

Spectroscopic techniques are commonly used for chemical
reaction monitoring, and several approaches have been devel-
oped for kinetic parameter estimation with spectroscopic data.
In this work, the system noise for concentration profiles is con-
sidered as part of the estimation process, and the collected spec-
tra data include both system noise and measurement error. This
develops a unified framework for kinetic parameter estimation
based on maximum likelihood and simultaneous collocation
approaches. Because variances of system noise and measure-
ment error need to be determined, we develop an iterative pro-
cedure based on the repeated solution of maximum likelihood
optimization problems. This provides the initial guesses of var-
iances, parameters, and profiles to solve the overall least
squares problem with a dynamic model. On the basis of the
structure of the nonlinear programming algorithm, IPOPT, we
can also calculate the covariance matrix for the estimated
kinetic parameters with the assistance of sIPOPT. Finally, the
proposed approach is tested and compared with the toolbox
MCR‐ALS 2.0. Three simulated case studies show that the pro-
posed approach performs better than MCR‐ALS, and it can
handle the scenario that the concentration matrix is dependent,
while MCR‐ALS cannot. We recognize that the rank deficiency
multiple experiments with different concentration ratios and
augmenting the obtained spectra matrix. However, the added
experiments may hinder the implementation of such a strategy
and spectra matrix augmentation would make kinetic parameter
estimation more complicated.
In addition, a more complex aspirin synthesis with dissolu-
tion, reaction, and crystallization processes was also solved effi-
ciently with the proposed approach. For the last 3 cases, we
consider real measurement data where we do not know the exact
kinetic parameter values. The first 2 cases converge very quickly
and lead to small standard deviations for the estimated parame-
ters. In the third case, our numerical results obtain mean values
for 10 experimental runs that are much closer to the values
reported in the literature21 than those from MCR‐ALS.
N O M E NC L AT UR E
B partial derivative matrix with respect to d and θ
c vector of discretized c(t)
c(t) concentration vector with system noise
ck(ti) concentration for the k‐th species at time ti
518 CHEN ET AL.

C ntp by nc concentration matrix ɛ the largest difference between risks that we are
d(ti, λl) absorbance of a solution at a particular wavelength willing to consider insignificant
λl and given time ti ζi,l entry in the ith row and lth column of E
di,l the entry in the ith row and lth column of matrix D ηk(t) system noise for the kth species
d^ vector form of D ^
η vector of discretized system noise
D ntp‐by‐nwp spectra matrix θ kinetic parameter vector
^
D observation for D, when D is regarded as a Θ parameter vector for the reduced version of Equa-
random matrix tion 17
E ntp‐by‐nwp noise matrix ^
Θ estimated value for Θ
f(c(t),θ) process function vector К diagonal matrix and the diagonal element is κk
fk(c(t),θ) process function corresponding to the kth κk disturbance intensity for the kth state variable
state variable
λl lth sampling wavelength point
F vector of discretized dc(t)/dt = f(c(t), θ)
νl2 variance for the lth column of spectra data D
hj length of jth finite element
σk2 variance for ηk(t)
H  reduced Hessian τ relative value of t in finite element
^
J Θ; d reduced objective of Equation 17
τj jth Radau collocation point
lm(τ) Lagrange basis polynomials
ω error vector between c and z
l˙m ðτÞ derivative of Lagrange basis polynomials
nc number of absorbing species
ACKNOWLEDGEMENT
ntp number of sampling points in time
nwp number of sampling points for wavelength dimension This research was supported by the Lilly Research Award
Program. SG thanks Kevin Girard (Pfizer Inc) for his
N(·, ·) normal distribution
feedback to improve the title of this paper. We thank Carla
O infinitesimal of the same order Luciani, Michael Frederick, and Zhenqi (Pete) Shi (Eli Lilly)
p(·) the probability density function for their assistance in collecting data. We also thank Prof Paul
sk(λl) absorbance for the kth species with 1 unit concen- Gemperline for sharing data on the aspirin case study.
tration at λl
S nwp‐by‐nc absorbance matrix
APPENDIX A
tpj−1 beginning point of the jth finite element
Consider the general scenario
ti ith sampling time point 0 

F 1;1 ≡c1;1 − c1;0 þ f 1 c1;0 ; c2;0 :::; cm;0
Vd covariance matrix of d B 

B F 1;2 ≡c1;2 − c1;1 þ f 1 c1;1 ; c2;1 :::; cm;1
VΘ covariance matrix of Θ B
B
B :::
Wk(t) standard Wiener process B
B
B F ≡c −c

W(t) vector composed of Wk(t) B 1;n 1;n 1;n−1 þ f 1 c1;n−1 ; c2;n−1 :::; cm;n−1
B 

B
z vector of discretized z(t) B F 2;1 ≡c2;1 − c2;0 þ f 2 c1;0 ; c2;0 :::; cm;0
B 

B
z(t) concentration vector without system noise B F 2;2 ≡c2;2 − c2;1 þ f 2 c1;1 ; c2;1 :::; cm;1
B
B
K
z (t) interpolation polynomial vector F¼B B :::
B
B F ≡c −c

zjm value of z(t) at the mth collocation point of the jth B 2;n 2;n 2;n−1 þ f 2 c1;n−1 ; c2;n−1 :::; cm;n−1
B
finite element B :::
B
value of the kth component of z(t) at ti B 

zk (ti) B
B F m;1 ≡cm;1 − cm;0 þ f m c1;0 ; c2;0 :::; cm;0
Z B 

concentration matrix without system noise B
B F m;2 ≡cm;2 − cm;1 þ f m c1;1 ; c2;1 :::; cm;1
(corresponding to C) B
B
B :::
δ2 variance of ζi,l @


δd infinitesimal for d F m;n ≡cm;n − cm;n−1 þ f m c1;n−1 ; c2;n−1 :::; cm;n−1
 T
δΘ infinitesimal for Θ c ¼ c1;1 ; ; c1;2 :::; ; c1;n ; ; c2;1 ; ; c2;2 :::; ; c2;n :::; ; cm;1 ; ; cm;2 :::; ; cm;n
CHEN ET AL. 519

For i ≠ j, Consider the whole Jacobian matrix J; we find that J

2 3 (i × n + 1, i × n + 1) = 1 and J(i × n + 1, k) = 0, if k is
0 0 0 ⋯ 0
6 ∂f i 7 not equal to i × n + 1. J can be transformed to J(1) with the
6− 0 0 ⋯ 07
6 ∂cj;1 7 same determinant as J by adding some multiple of the
∂F i;• 6 7
6 ∂f i 7 i × n + 1th row to the i × n + 2th row to eliminate the nonzero
¼6 0 − 0 ⋯ 07
∂cj;• 6 ∂cj;2 7 elements; the index i is from 0 to m − 1. J(1) is composed of
6 7
6 ⋮ ⋮ ⋮ ⋱ ⋮7 the following submatrices.
4 ∂f i 5
0 ⋯ 0 − 0 For i ≠ j,
∂cj;n−1
For i = j, 2 3
0 0 0 ⋯ 0
2 3 60
1 0 0 ⋯ 0 6 0 0 ⋯ 077
6 ∂f 7 ∂F i;• ð 1Þ 6 ∂f 7
6 −1− i ⋯ 07 6 − i ⋯ 07
6 ∂cj;1
1 0
7 ¼ 60 ∂cj;2
0 7
6 7 ∂cj;• 6 7
∂F i;• 6 ∂f i 7 6⋮ ⋮ ⋮ ⋱ ⋮7
¼6 0 −1− 1 ⋯ 07 4 5
∂cj;• 6 ∂cj;2 7 ⋯ −
∂f i
6 7 0 0
∂cj;n−1
0
6 ⋮ ⋮ ⋮ ⋱ ⋮7
4 ∂f i 5
0 ⋯ 0 −1− 1
∂cj;n−1
For i = j,
2 3
1 0 0 ⋯ 0 2 3
6 7 1 0 0 ⋯ 0
6 −1− ∂f 1 1 0 ⋯ 07 60 ⋯ 07
6 ∂c1;1 7 6 1 0 7
6 7 ð 1Þ 6 7
∂F 1;• 6
6
7
7
∂F i;• 6 0 −1− ∂f i 1 ⋯ 07
¼6 −1−
∂f 1
⋯ 0 7; ¼6 ∂cj;2 7
6
0 1
7 ∂cj;• 6 7
∂c1;• ∂c1;2 6⋮ ⋮ ⋮ ⋱ ⋮7
6 7 4 5
6 ⋮ ⋮ ⋮ ⋱ ⋮7 ∂f i
6 7 0 ⋯ 0 −1− 1
4 ∂f 1
5 ∂cj;n−1
0 ⋯ 0 −1− 1
∂c1;n−1

2 3
0 0 0 ⋯ 0
6 ∂f 1 7 Then we have J(1)(i × n + 1, i × n + 1) = 1, J(1)(i × n + 2,
6− 0 0 ⋯ 07 i × n + 2) = 1, and J(1)(i × n + 1, k) = 0, if k is not equal
6 ∂c2;1 7
6 7 to i × n + 1 and i × n + 2, i = 0, ..., m − 1.
∂F 1;• 6 7
6 ∂f 1 7
¼6 0 − 0 ⋯ 07 Next, J(1) can be transformed to J(2) with the same deter-
∂c2;• 6 ∂c2;2 7
6 7 minant as J(1) by adding some times of the i × n + 2th row to
6 ⋮ ⋮ ⋮ ⋱ ⋮7
6 7 the i × n + 3th row to J(2) to eliminate the nonzero elements;
4 ∂f 1
5
0 ⋯ 0 − 0 the index i is from 0 to m − 1. J(2) is composed of the follow-
∂c2;n−1
ing submatrices.
2 3 For i ≠ j,
0 0 0 ⋯ 0
6 ∂f 1 7 2 3
6− 0 0 ⋯ 07 0 0 0 ⋯ 0
6 ∂c3;1 7 60
6
6
7
7 6 0 0 ⋯ 077
∂F 1;• 6 ∂f 1 7 ∂F i;• ð 2Þ 6 7
¼6 0 − 0 ⋯ 0 7; :::; 6 ⋯ 07
∂c3;• 6 ∂c3;2 7 ¼ 60 0 0 7
6 7 ∂cj;• 6 7
6 ⋮ ⋮ ⋮ ⋱ ⋮7 6⋮ ⋮ ⋮ ⋱ ⋮7
6 7 4 ∂f i
5
4 ∂f 1
5 0 ⋯ 0 − 0
0 ⋯ 0 − 0 ∂cj;n−1
∂c3;n−1

2 3
0 0 0 ⋯ 0 For i = j,
6 ∂f 1 7 2 3
6− 0 0 ⋯ 07
6 ∂cm;1 7 1 0 0 ⋯ 0
6 7 60
∂F 1;• 6
6 ∂f 1
7
7 6 1 0 ⋯ 077
¼6 0 − 0 ⋯ 07 ∂F i;• ð 2Þ 6 7
∂cm;• 6 ∂cm;2 7 6 ⋯ 07
6 7 ¼ 60 0 1 7
6 ⋮ ⋮ ⋮ ⋱ ⋮7 ∂cj;• 6 7
6 7 6⋮ ⋮ ⋮ ⋱ ⋮7
4 5 4 ∂f i
5
∂f ⋯ −1−
0 ⋯ 0 − 1 0 0 0
∂cj;n−1
1
∂cm;n−1
520 CHEN ET AL.

Repeat the procedure; finally, we have J(m−1)(i × n + j,

i × n + j) = 1, i = 0, ..., m − 1, j = 1, ..., n, and the others 
∂F
are 0. Hence, the determinant of ∂F/∂c is 1. det ¼1
∂c
For example, let us consider the scenario with 3 compo-
nent and 3 sampling time points, and the irrelevant variables
are neglected; Equation 5 is written in detail as
APPENDIX B
0 
 For Equation 19, the objective function can be expressed as
c1;1 − c1;0 þ f 1 c1;0 ; c2;0 ; c3;0
B 


 
B c1;2 − c1;1 þ f 1 c1;1 ; c2;1 ; c3;1 lnðpðcjθÞÞ ¼ p c1 ðt 1 Þ :::; cnc t ntp jθ
B
B c −c þ f
c ; c ; c   nc ntp
B 1;3 1;2 1 1;2 2;2 3;2
¼ ln ∏ ∏ pðck ðt i Þjck ðt i−1 Þ; θÞ
B 

B c2;1 − c2;0 þ f 2 c1;0 ; c2;0 ; c3;0
B 

k¼1i¼1
!!
B ðck ðt i Þ−zk ðt i ÞÞ2
F ¼ B c2;2 − c2;1 þ f 2 c1;1 ; c2;1 ; c3;1 ; nc ntp1
B 
 ¼ ln ∏ ∏ pffiffiffiffiffi exp −
B c2;3 − c2;2 þ f c1;2 ; c2;2 ; c3;2 k¼1i¼1 2π σ k 2σ 2k
B 
2

 !
B pffiffiffiffiffi
B c3;1 − c3;0 þ f 3 c1;0 ; c2;0 ; c3;0 nc ntp ðck ðt i Þ−zk ðt i ÞÞ2
B
B c − c þ f c ; c ; c 

¼ ∑ ∑ − ln 2π − lnðσ k Þ−
2σ 2k
@ 3;2 3;1 3 1;1 2;1 3;1 k¼1i¼1


c3;3 − c3;2 þ f 3 c1;2 ; c2;2 ; c3;2 (B1)
 T
c ¼ c1;1 ; c1;2 ; c1;3 ; c2;1 ; c2;2 ; c2;3 ; c3;1 ; c3;2 ; c3;3

2 3
1 0 0 0 0 0 0 0 0
6 −1− ∂f 1 −
∂f 1
−
∂f 1
07
6 ∂c1;1
1 0
∂c2;1
0 0
∂c3;1
0 7
6 7
6 ∂f 1 ∂f 1 ∂f 1 7
6 0 −1− 1 0 − 0 0 − 07
6 ∂c1;2 ∂c2;2 ∂c3;2 7
6 7
6 07
6 0 0 0 1 0 0 0 0 7
6 ∂f ∂f ∂f 7
6
∂F 6 − 2 0 0 −1− 2 1 0 − 2 0 07
¼ 6 ∂c1;1 ∂c2;1 ∂c3;1 7
∂c 6 7
∂f 2 ∂f 2 ∂f 2 7
6 0 − 0 0 −1− 1 0 − 07
6 ∂c1;2 ∂c2;2 ∂c3;2 7
6 7
6 0 0 0 0 0 0 1 0 07
6 7
6 ∂f ∂f ∂f 7
6 − 3 0 0 − 3 0 0 −1− 3 1 07
6 ∂c1;1 ∂c2;1 ∂c3;1 7
4 5
∂f 3 ∂f 3 ∂f 3
0 − 0 0 − 0 0 −1− 1
∂c1;2 ∂c2;2 ∂c3;2

so the Jacobian matrix is Constructing the Lagrangian function L1 of Equation 19

and setting its derivative to 0, we have
Let us look at the first, fourth, and seventh rows, and we
can find that !
1 ðck ðt i Þ−zk ðt i ÞÞ2
ntp
∂L1 =∂σ k ¼ ∑ − þ ¼0
i¼1 σk σk 3
0 1
1 0 0 0 0 0 0 0 0
B0 1 0 0 0 0 0 0 0C leading to
B C
B ∂f ∂f ∂f C
B0 −1− 1 1 0 − 1 0 0 − 1 0C
B ∂c1;2 ∂c2;2 ∂c3;2 C
B C
B0 0 0 1 0 0 0 0 0C
 B
B
C
C
1 ntp
det
∂F
¼ detB 0 0 0 0 1 0 0 0 0C σ 2k ¼ ∑ ðck ðt i Þ−zk ðt i ÞÞ2 (B2)
∂c B ∂f ∂f ∂f C ntp i¼1
B0 − 2 −1− 2 − 2 0C
B ∂c1;2
0 0
∂c2;2
1 0
∂c3;2 C
B C
B0 0C
B 0 0 0 0 0 1 0 C
B C
B0 0 0 0 0 0 0 1 0C
@ A
0 −
∂f 3
0 0 −
∂f 3
0 0 −1−
∂f 3
1
Substituting Equation B2 in the objective function (Equa-
∂c1;2 ∂c2;2 ∂c3;2
tion B1), we have
CHEN ET AL. 521

!
pffiffiffiffiffi
nc ntp ðck ðt i Þ−zk ðt i ÞÞ2 In a similar manner as with Equations B1 and 19, we get
lnðpðcjθÞÞ ¼ ∑ ∑ − ln 2π − lnðσ k Þ−
2σ 2k
k¼1i¼1
   2
nc ntp  
pffiffiffiffiffi 1 1 ntp 1 ntp nwp nc
¼ ∑ ∑ − ln 2π − ln ∑ ðck ðt m Þ−zk ðt m ÞÞ2 (B3) δ2 ¼ ∑ ∑ d i;l − ∑ ck ðt i Þsk ðλl Þ (B9)
k¼1i¼1 2 ntpm¼1 ntp⋅nwp i¼1 l¼1 k¼1
ntp⋅nc
−
2
Substituting Equation B9 into the objective function of
Equation 24, we obtain Equation 25.
Because σk2 is independent of index i in Equation B3,
Equation 19 becomes Equation 20.
APPENDIX C
When the values of zk(ti) are fixed, di,l can be described by
For Equation 26, matrix B in Equation 33 is
nc nc
di;l ¼ ∑ ck ðt i Þsk ðλl Þ þ ζi;l ¼ ∑ ðzk ðt i Þ þ ωk ðt i ÞÞsk ðλl Þ þ ζi;l −2Sðl; kÞ
k¼1 k¼1 Bððk−1Þ⋅ntp þ i; i þ ðl−1Þ⋅ntpÞ ¼
nc nc δ2
¼ ∑ zk ðt i Þsk ðλl Þ þ ∑ ωk ðt i Þsk ðλl Þ þ ζ i;l −2Cði; kÞ
k¼1 k¼1 (B4) Bðnc⋅ntp þ ðk−1Þ⋅nwp þ l; i þ ðl−1Þ⋅ntpÞ ¼
 nc δ2

 nc
2 2 i ¼ 1:::ntp; l ¼ 1:::nwp; k ¼ 1:::nc
p di;l jzk ðti Þ; k ¼ 1…nc eN ∑ zk ðt i Þsk ðλl Þ; ∑ sk ðλl Þ σ k þ δ 2
k¼1 k¼1 (C1)
i ¼ 1; …; ntp; l ¼ 1; …; nwp

On the basis of Equations 4 and 10, the covariance matrix

Note that di,l and each i = 1, ..., ntp are independent for of d can be evaluated as follows.If i ≠ q, l ≠ p, we have
any l, but for each l = 1, ..., nwp, they are dependent over i.
Hence, for any l, we define  nc


Cov di;l ; dq;p ¼E ∑ ωk ðt i Þsk ðλl Þ þ ζi;l (C2)
nc k¼1
ν2l ¼ ∑ sk ðλl Þ2 σ 2k þδ 2
(B5)
 nc !
k¼1


∑ ωr t q sr λp þ ζq;p ¼0
In a similar manner as with Equations B1 and 19, we con- r¼1

struct the Lagrangian function L2,l for Equation 21 and find

its stationary point for Equation 21 to yield If i = q, l ≠ p, we have


0  2 1 Cov di;l ; dq;p
nc
di;l − ∑ zk ðt i Þsk ðλl Þ C  nc  nc
ntp B 1


B k¼1 C ¼E ∑ ωk ðt i Þsk ðλl Þ þ ζi;l ∑ ωr t q sr λp þ ζq;p
∂L2;l =∂νl ¼ ∑ B− þ C ¼ 0 (B6)
i¼1@ νl νl 3 A k¼1 r¼1
 nc  nc


¼E ∑ ωk ðt i Þsk ðλl Þ þ ζi;l ∑ ωr ðt i Þsr λp þ ζ i;p
k¼1 r¼1
 nc nc
and

¼ E ∑ ∑ ωk ðt i Þsk ðλl Þωr ðt i Þsr λp
 2 k¼1r¼1
 nc
nc 1 ntp nc
 nc

ν2l ¼ ∑ sk ðλl Þ2 σ 2k þ δ2 ¼ ∑ d i;l − ∑ zk ðt i Þsk ðλl Þ 2
¼ E ∑ ωk ðt i Þ sk ðλl Þsk λp ¼ ∑ σ 2k sk ðλl Þsk λp
k¼1 ntpi¼1 k¼1 k¼1 k¼1
l ¼ 1; :::; nwp (C3)
(B7)
If i ≠ q, l = p, we have
Substituting Equation B7 into the objective function of
Equation 21, we obtain Equation 22.

When the values of S are fixed and ck(ti) are regarded as Cov di;l ; dq;p
 nc  nc
parameters, di,l can be described by


¼E ∑ ωk ðt i Þsk ðλl Þ þ ζi;l ∑ ωr t q sr λp þ ζq;p
k¼1 r¼1
 nc  nc
nc


d i;l ¼ ∑ ck ðt i Þsk ðλl Þ þ ζi;l ¼E ∑ ωk ðt i Þsk ðλl Þ þ ζi;l ∑ ωr t q sr ðλl Þ þ ζ q;l
k¼1
 nc

k¼1

r¼1

 (B8) ¼ E ζ i;l ζq;l ¼ 0
p d i;l jsk ðλl Þ; k ¼ 1 ::nc eN ∑ ck ðt i Þsk ðλl Þ; δ 2
k¼1 (C4)
i ¼ 1; :::; ntp; l ¼ 1; :::; nwp If i = q, l = p, we have
522 CHEN ET AL.


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25. Biegler LT. Nonlinear Programming: Concepts, Algorithms, and Applications
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