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Found out the solution, for all who need to insert citation into caption of tables, figures etc:

You need to insert a latex tag with \protect before inserting a reference in a caption. so you could compile your document without any problems

Hi. Can you explain more on this?
I did type in ...

It's hard to tell from your error, but I suspect that you've moved from siunitx v1 to v2 and are expecting to use units outside of the \SI/\si macros. To do that, you need to set a load-time option. Now, I'm not a Lyx user so this is a tough one for me. In pure LaTeX:
\documentclass{article ...

After I update my MacTex to 2010, my Lyx could not detect siunitx.lyx.
It was alright before I update it. Now when I try to compile my file to pdf, the errors:"undefined control sequence" keep popping out.
One of the description is as following:

...ires about $\mbox{2.21 \kilowatthour/\kg}
$ to ...