Assuming it's been serviced recently (oil/filter, air filter, fuel filter etc)...
First port of call should be the EGR valve. It's likely clogged up with carbon, and you can take it off yourself and clean it out for [almost] free. You'll need some carb cleaner and I strongly recommend a big box of nitrile gloves and lots of newspaper as it's a messy job.
You should do that periodically anyway. Diesel engines are ultra-dirty.
What concerns me (or it would, if it were my car) is the loss of power/gray smoke. The bad news is that it sounds like you have least one poorly injector, and really, that being the case then your only option is to replace it/them. Now, they're either expensive, or REALLY expensive, depending on whether you have a TDDI or a TDCI. The TDCI injectors are around £200 each, just for the injector. I gather that the TDDI ones are a bit cheaper.
You can verify this with a leak-off test, which I'm just in the process of gathering bits to do one myself as I've got a bad injector on my TDCi.