Merge pull request Pyomo#3503 from shermanjasonaf/pyros-effective-uncertain-params

Add PyROS Uncertain Parameter Reduction

Author: jsiirola

doc/OnlineDocs/explanation/solvers/pyros.rst

@@ -924,6 +924,9 @@ Observe that the log contains the following information:
   are included in parentheses, next to the total numbers
   of second-stage variables and state variables, respectively;
   note that "adjustable" has been abbreviated as "adj."
+  The number of truly uncertain parameters detected during preprocessing
+  is also noted in parentheses
+  (in which "eff." is an abbreviation for "effective").
 * **Iteration log table** (lines 59--69).
   Summary information on the problem iterates and subproblem outcomes.
   The constituent columns are defined in detail in
@@ -961,21 +964,21 @@ Observe that the log contains the following information:
    :linenos:
 
    ==============================================================================
-   PyROS: The Pyomo Robust Optimization Solver, v1.3.4.
-          Pyomo version: 6.9.0
-          Commit hash: unknown
-          Invoked at UTC 2025-02-13T00:00:00.000000
+   PyROS: The Pyomo Robust Optimization Solver, v1.3.6.
+          Pyomo version: 6.9.2.dev0 (devel {pyros-effective-uncertain-params})
+          Commit hash: 41cd797e0
+          Invoked at UTC 2025-03-13T16:20:31.105320+00:00
 
    Developed by: Natalie M. Isenberg (1), Jason A. F. Sherman (1),
                  John D. Siirola (2), Chrysanthos E. Gounaris (1)
    (1) Carnegie Mellon University, Department of Chemical Engineering
    (2) Sandia National Laboratories, Center for Computing Research
-
+   
    The developers gratefully acknowledge support from the U.S. Department
    of Energy's Institute for the Design of Advanced Energy Systems (IDAES).
    ==============================================================================
    ================================= DISCLAIMER =================================
-   PyROS is still under development.
+   PyROS is still under development. 
    Please provide feedback and/or report any issues by creating a ticket at
    https://github.com/Pyomo/pyomo/issues/new/choose
    ==============================================================================
@@ -1001,7 +1004,7 @@ Observe that the log contains the following information:
     p_robustness={}
    ------------------------------------------------------------------------------
    Preprocessing...
-   Done preprocessing; required wall time of 0.009s.
+   Done preprocessing; required wall time of 0.013s.
    ------------------------------------------------------------------------------
    Model Statistics:
      Number of variables : 62
@@ -1010,7 +1013,7 @@ Observe that the log contains the following information:
        Second-stage variables : 6 (6 adj.)
        State variables : 18 (7 adj.)
        Decision rule variables : 30
-     Number of uncertain parameters : 4
+     Number of uncertain parameters : 4 (4 eff.)
      Number of constraints : 52
        Equality constraints : 24
          Coefficient matching constraints : 0
@@ -1023,33 +1026,34 @@ Observe that the log contains the following information:
    ------------------------------------------------------------------------------
    Itn  Objective    1-Stg Shift  2-Stg Shift  #CViol  Max Viol     Wall Time (s)
    ------------------------------------------------------------------------------
-   0     3.5838e+07  -            -            5       1.8832e+04   0.412
-   1     3.5838e+07  1.2289e-09   1.5886e-12   5       2.8919e+02   0.992
-   2     3.6269e+07  3.1647e-01   1.0432e-01   4       2.9020e+02   1.865
-   3     3.6285e+07  7.6526e-01   2.2258e-01   0       2.3874e-12g  3.508
+   0     3.5838e+07  -            -            5       1.8832e+04   0.693        
+   1     3.5838e+07  1.2289e-09   1.5876e-12   5       3.7762e+04   1.514        
+   2     3.6129e+07  2.7244e-01   3.6878e-01   3       1.1093e+02   2.486        
+   3     3.6269e+07  3.7352e-01   4.3227e-01   1       2.7711e+01   3.667        
+   4     3.6285e+07  7.6526e-01   2.8426e-11   0       4.3364e-05g  6.291        
    ------------------------------------------------------------------------------
    Robust optimal solution identified.
    ------------------------------------------------------------------------------
    Timing breakdown:
-
+   
    Identifier                ncalls   cumtime   percall      %
    -----------------------------------------------------------
-   main                           1     3.509     3.509  100.0
+   main                           1     6.291     6.291  100.0
         ------------------------------------------------------
-        dr_polishing              3     0.209     0.070    6.0
-        global_separation        27     0.590     0.022   16.8
-        local_separation        108     1.569     0.015   44.7
-        master                    4     0.654     0.163   18.6
-        master_feasibility        3     0.083     0.028    2.4
-        preprocessing             1     0.009     0.009    0.3
-        other                   n/a     0.394       n/a   11.2
+        dr_polishing              4     0.334     0.083    5.3
+        global_separation        27     0.954     0.035   15.2
+        local_separation        135     3.046     0.023   48.4
+        master                    5     1.027     0.205   16.3
+        master_feasibility        4     0.133     0.033    2.1
+        preprocessing             1     0.013     0.013    0.2
+        other                   n/a     0.785       n/a   12.5
         ======================================================
    ===========================================================
-
+   
    ------------------------------------------------------------------------------
    Termination stats:
-    Iterations            : 4
-    Solve time (wall s)   : 3.509
+    Iterations            : 5
+    Solve time (wall s)   : 6.291
     Final objective value : 3.6285e+07
     Termination condition : pyrosTerminationCondition.robust_optimal
    ------------------------------------------------------------------------------

pyomo/contrib/pyros/CHANGELOG.txt

@@ -3,6 +3,12 @@ PyROS CHANGELOG
 ===============
 
 
+-------------------------------------------------------------------------------
+PyROS 1.3.6    06 Mar 2025
+-------------------------------------------------------------------------------
+- Add uncertain parameter reduction to preprocessor and subproblems
+
+
 -------------------------------------------------------------------------------
 PyROS 1.3.5    13 Feb 2025
 -------------------------------------------------------------------------------

pyomo/contrib/pyros/pyros.py

@@ -33,7 +33,7 @@
 )
 
 
-__version__ = "1.3.5"
+__version__ = "1.3.6"
 
 
 default_pyros_solver_logger = setup_pyros_logger()

pyomo/contrib/pyros/separation_problem_methods.py

@@ -15,14 +15,17 @@
 """
 
 from itertools import product
-import math
 import os
 
 from pyomo.common.collections import ComponentSet, ComponentMap
 from pyomo.common.dependencies import numpy as np
 from pyomo.core.base import Block, Constraint, maximize, Objective, value, Var
 from pyomo.opt import TerminationCondition as tc
-from pyomo.core.expr import replace_expressions, identify_mutable_parameters
+from pyomo.core.expr import (
+    replace_expressions,
+    identify_variables,
+    identify_mutable_parameters,
+)
 
 from pyomo.contrib.pyros.solve_data import (
     DiscreteSeparationSolveCallResults,
@@ -35,8 +38,6 @@
     ABS_CON_CHECK_FEAS_TOL,
     call_solver,
     check_time_limit_reached,
-    PARAM_IS_CERTAIN_ABS_TOL,
-    PARAM_IS_CERTAIN_REL_TOL,
 )
 
 
@@ -77,17 +78,26 @@ def add_uncertainty_set_constraints(separation_model, config):
         for auxvar, auxval in zip(aux_vars, aux_var_vals):
             auxvar.set_value(auxval)
 
-    # preprocess uncertain parameters which have been fixed by bounds
-    # in order to simplify the separation problems
-    for param_var, nomval in zip(param_var_list, config.nominal_uncertain_param_vals):
-        bounds_close = math.isclose(
-            a=param_var.lb,
-            b=param_var.ub,
-            rel_tol=PARAM_IS_CERTAIN_REL_TOL,
-            abs_tol=PARAM_IS_CERTAIN_ABS_TOL,
-        )
-        if bounds_close:
+    # fix the effectively certain parameters
+    param_val_enum_zip = enumerate(
+        zip(param_var_list, config.nominal_uncertain_param_vals)
+    )
+    fixed_param_var_set = ComponentSet()
+    for idx, (param_var, nomval) in param_val_enum_zip:
+        if idx not in separation_model.effective_uncertain_dimensions:
             param_var.fix(nomval)
+            fixed_param_var_set.add(param_var)
+
+    # deactivate constraints that depend on only the
+    # effective certain parameters
+    separation_model.uncertainty.certain_param_var_cons = []
+    for con in uncertainty_cons:
+        unfixed_param_vars_in_con = (
+            ComponentSet(identify_variables(con.expr)) - fixed_param_var_set
+        )
+        if not unfixed_param_vars_in_con:
+            con.deactivate()
+            separation_model.uncertainty.certain_param_var_cons.append(con)
 
 
 def construct_separation_problem(model_data):
@@ -889,6 +899,30 @@ def eval_master_violation(scenario_idx):
                 f"{con.name!r} by more than {tol} ({lslack=}, {uslack=})"
             )
 
+    for con in sep_model.uncertainty.certain_param_var_cons:
+        trivially_infeasible = (
+            con.lslack() < -ABS_CON_CHECK_FEAS_TOL
+            or con.uslack() < -ABS_CON_CHECK_FEAS_TOL
+        )
+        if trivially_infeasible:
+            # this should never happen in the context of a full solve,
+            # since the certain parameters should be at their
+            # nominal values, and the nominal point was already
+            # confirmed to be a member of the set
+            config.progress_logger.error(
+                f"Uncertainty set "
+                f"(type {type(config.uncertainty_set).__name__}) "
+                f"constraint {con.name!r}, with expression {con.expr}, "
+                "is trivially infeasible at the parameter realization "
+                f"{config.nominal_uncertain_param_vals}. "
+                f"Check implementation of "
+                f"{config.uncertainty_set.set_as_constraint.__name__}."
+            )
+            raise ValueError(
+                f"Trivial infeasibility detected in the uncertainty set "
+                f"(type {type(config.uncertainty_set).__name__}) constraints."
+            )
+
 
 locally_acceptable = {tc.optimal, tc.locallyOptimal, tc.globallyOptimal}
 globally_acceptable = {tc.optimal, tc.globallyOptimal}