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I recently heard that during some period of time Purina pet food was being produced from crude oil via a set of complex chemical transformations. Which, I think, is mostly bluff and marketing. So is it possible, and have somebody had any real positive practical experience of getting amino acids from hydrocarbons?

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Out of memory, I don't recall a method for the direct synthesis of $\alpha$-amino acids from plain hydrocarbons (including alkenes and alkynes).

The situation is different for $\beta$-amino acids. The $\ce{Pd(II)}$-catalyzed reaction of alkenes with amines in the presence of carbon monoxide, known as aminocarbonylation can furnish these amino acids or their derivates.

[…] from crude oil via a set of complex chemical transformations

however, is pretty vague and may involve anything, including the formation of aldehydes and their subsequent use in a Strecker reaction.

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Well (almost) everything is possible. A better question might be whether or not it is profitable, but remember that A LOT of organic compounds used in synthesis originate from the petrochemical industry (these include other than simple alkanes as well).

A possible industrial pathway from an alkane to an amino acid could be: 1) chlorination of the alkane using a radical chain reaction 2) reaction of the chlorinated functionalized compound with ammonia to yield the alkylamine 3) chlorinate again and react with $\ce{NaCN}$ to obtain the nitrile amine 4) hydrolyze in aqueous acid which yields the desired amino acid.

Of course the above procedure is highly simplified as it does neither consider stereo chemistry nor the question of how to chlorinate at the right carbon (regioselectivity), but you do get the idea that even completely unfunctionalized alkanes can be turned into complex molecules with enough manipulations. Notice that for each functional group (at least for the first) we introduce, we must do some radical chain reaction to functionalize the otherwise unreactive alkane. Chlorination of alkanes is done widely on industrial scale as it is one of the few ways to functionalize an alkane.

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