Global self-optimizing control (gSOC) aims to identify optimal controlled variables (CVs) that minimize the average economic cost when uncertainties vary in the whole distribution space. Rigorous numerical optimization for the global optimal CVs is mainly hampered by the intensive computation load, hence only approximate solutions were previously developed to afford tractable computations. These approximations may however be large in many cases. This paper revisits this challenging problem within the nonlinear programming (NLP) framework for gSOC and proposes a sequential solution strategy. Within the solution method, the polynomial chaos expansion (PCE) is introduced for the sake of fast computations of the statistics of the cost function. We also handle the active-set change problem by satisfying chance constraints. To this end, PCEs of the constrained variables are also constructed, to formulate conditions that should be respected for the CVs. To determine the PCE coefficients, the sparse grid collocation method is adopted to further reduce the computation burden, as the dimension of uncertainty could be large for most gSOC problems. Three case studies are provided to show the new gSOC approach, all of which result in more accurate CVs, while maintaining tractable numerical optimizations.