class PyomoExternalCyIpoptProblem(CyIpoptProblemInterface):
def __init__(self, pyomo_model, ex_input_output_model, inputs, outputs,
outputs_eqn_scaling=None):
"""
Create an instance of this class to pass as a problem to CyIpopt.
Parameters
----------
pyomo_model : ConcreteModel
The ConcreteModel representing the Pyomo part of the problem. This
model must contain Pyomo variables for the inputs and the outputs.
ex_input_output_model : ExternalInputOutputModel
An instance of a derived class (from ExternalInputOutputModel) that provides
the methods to compute the outputs and the derivatives.
inputs : list of Pyomo variables (_VarData)
The Pyomo model needs to have variables to represent the inputs to the
external model. This is the list of those input variables in the order
that corresponds to the input_values vector provided in the set_inputs call.
outputs : list of Pyomo variables (_VarData)
The Pyomo model needs to have variables to represent the outputs from the
external model. This is the list of those output variables in the order
that corresponds to the numpy array returned from the evaluate_outputs call.
outputs_eqn_scaling : list or array-like or None
This sets the value of scaling parameters for the additional
output equations that are generated. No scaling is done if this
is set to None.
"""
self._pyomo_model = pyomo_model
self._ex_io_model = ex_input_output_model
# verify that the inputs and outputs were passed correctly
self._inputs = [v for v in inputs]
for v in self._inputs:
if not isinstance(v, _VarData):
raise RuntimeError('Argument inputs passed to PyomoExternalCyIpoptProblem must be'
' a list of VarData objects. Note: if you have an indexed variable, pass'
' each index as a separate entry in the list (e.g., inputs=[m.x[1], m.x[2]]).')
self._outputs = [v for v in outputs]
for v in self._outputs:
if not isinstance(v, _VarData):
raise RuntimeError('Argument outputs passed to PyomoExternalCyIpoptProblem must be'
' a list of VarData objects. Note: if you have an indexed variable, pass'
' each index as a separate entry in the list (e.g., inputs=[m.x[1], m.x[2]]).')
# we need to add a dummy variable and constraint to the pyomo_nlp
# to make sure it does not remove variables that do not
# appear in the pyomo part of the model - also ensure unique name in case model
# is used in more than one instance of this class
# ToDo: Improve this by convincing Pyomo not to remove the inputs and outputs
dummy_var_name = unique_component_name(self._pyomo_model, '_dummy_variable_CyIpoptPyomoExNLP')
dummy_var = Var()
setattr(self._pyomo_model, dummy_var_name, dummy_var)
dummy_con_name = unique_component_name(self._pyomo_model, '_dummy_constraint_CyIpoptPyomoExNLP')
dummy_con = Constraint(
expr = getattr(self._pyomo_model, dummy_var_name) == \
sum(v for v in self._inputs) + sum(v for v in self._outputs)
)
setattr(self._pyomo_model, dummy_con_name, dummy_con)
# initialize the dummy var to the right hand side
dummy_var_value = 0
for v in self._inputs:
if v.value is not None:
dummy_var_value += value(v)
for v in self._outputs:
if v.value is not None:
dummy_var_value += value(v)
dummy_var.value = dummy_var_value
# make an nlp interface from the pyomo model
self._pyomo_nlp = PyomoNLP(self._pyomo_model)
# create initial value vectors for primals and duals
init_primals = self._pyomo_nlp.init_primals()
init_duals_pyomo = self._pyomo_nlp.init_duals()
if np.any(np.isnan(init_duals_pyomo)):
# set initial values to 1 for any entries that we don't get
# (typically, all are set, or none are set)
init_duals_pyomo[np.isnan(init_duals_pyomo)] = 1.0
init_duals_ex = np.ones(len(self._outputs), dtype=np.float64)
init_duals = BlockVector(2)
init_duals.set_block(0, init_duals_pyomo)
init_duals.set_block(1, init_duals_ex)
# build the map from inputs and outputs to the full x vector
self._input_columns = self._pyomo_nlp.get_primal_indices(self._inputs)
#self._input_x_mask = np.zeros(self._pyomo_nlp.n_primals(), dtype=np.float64)
#self._input_x_mask[self._input_columns] = 1.0
self._output_columns = self._pyomo_nlp.get_primal_indices(self._outputs)
#self._output_x_mask = np.zeros(self._pyomo_nlp.n_primals(), dtype=np.float64)
#self._output_x_mask[self._output_columns] = 1.0
# create caches for primals and duals
self._cached_primals = init_primals.copy()
self._cached_duals = init_duals.clone(copy=True)
self._cached_obj_factor = 1.0
# set the initial values for the pyomo primals and duals
self._pyomo_nlp.set_primals(self._cached_primals)
self._pyomo_nlp.set_duals(self._cached_duals.get_block(0))
# set the initial values for the external inputs
ex_inputs = self._ex_io_inputs_from_full_primals(self._cached_primals)
self._ex_io_model.set_inputs(ex_inputs)
# create the lower and upper bounds for the complete problem
pyomo_nlp_con_lb = self._pyomo_nlp.constraints_lb()
ex_con_lb = np.zeros(len(self._outputs), dtype=np.float64)
self._gL = np.concatenate((pyomo_nlp_con_lb, ex_con_lb))
pyomo_nlp_con_ub = self._pyomo_nlp.constraints_ub()
ex_con_ub = np.zeros(len(self._outputs), dtype=np.float64)
self._gU = np.concatenate((pyomo_nlp_con_ub, ex_con_ub))
# create the scaling parameters if they are provided
self._obj_scaling = self._pyomo_nlp.get_obj_scaling()
self._primals_scaling = self._pyomo_nlp.get_primals_scaling()
pyomo_constraints_scaling = self._pyomo_nlp.get_constraints_scaling()
self._constraints_scaling = None
# check if we need constraint scaling, and if so, add in the
# outputs_eqn_scaling
if pyomo_constraints_scaling is not None or outputs_eqn_scaling is not None:
if pyomo_constraints_scaling is None:
pyomo_constraints_scaling = np.ones(self._pyomo_nlp.n_primals(), dtype=np.float64)
if outputs_eqn_scaling is None:
outputs_eqn_scaling = np.ones(len(self._outputs), dtype=np.float64)
if type(outputs_eqn_scaling) is list:
outputs_eqn_scaling = np.asarray(outputs_eqn_scaling, dtype=np.float64)
self._constraints_scaling = np.concatenate((pyomo_constraints_scaling,
outputs_eqn_scaling))
### setup the jacobian structures
self._jac_pyomo = self._pyomo_nlp.evaluate_jacobian()
# We will be mapping the dense external jacobian (doutputs/dinputs)
# to the correct columns from the full x vector
ex_start_row = self._pyomo_nlp.n_constraints()
jac_ex = self._ex_io_model.evaluate_derivatives()
# the jacobian returned from the external model is in the
# space of the external model only. We need to shift
# the rows down and shift the columns appropriately
jac_ex_irows = np.copy(jac_ex.row)
jac_ex_irows += ex_start_row
jac_ex_jcols = np.copy(jac_ex.col)
for z,col in enumerate(jac_ex_jcols):
jac_ex_jcols[z] = self._input_columns[col]
jac_ex_data = np.copy(jac_ex.data)
# CDL: this code was for the dense version of evaluate_derivatives
# for i in range(len(self._outputs)):
# for j in range(len(self._inputs)):
# jac_ex_irows.append(ex_start_row + i)
# jac_ex_jcols.append(self._input_columns[j])
# jac_ex_data.append(jac_ex[i,j])
jac_ex_output_irows = list()
jac_ex_output_jcols = list()
jac_ex_output_data = list()
# add the jac for output variables from the extra equations
for i in range(len(self._outputs)):
jac_ex_output_irows.append(ex_start_row + i)
jac_ex_output_jcols.append(self._output_columns[i])
jac_ex_output_data.append(-1.0)
self._full_jac_irows = np.concatenate((self._jac_pyomo.row, jac_ex_irows, jac_ex_output_irows))
self._full_jac_jcols = np.concatenate((self._jac_pyomo.col, jac_ex_jcols, jac_ex_output_jcols))
self._full_jac_data = np.concatenate((self._jac_pyomo.data, jac_ex_data, jac_ex_output_data))
# currently, this interface does not do anything with Hessians
def load_x_into_pyomo(self, primals):
"""
Use this method to load a numpy array of values into the corresponding
Pyomo variables (e.g., the solution from CyIpopt)
Parameters
----------
primals : numpy array
The array of values that will be given to the Pyomo variables. The
order of this array is the same as the order in the PyomoNLP created
internally.
"""
pyomo_variables = self._pyomo_nlp.get_pyomo_variables()
for i,v in enumerate(primals):
pyomo_variables[i].set_value(v)
def _set_primals_if_necessary(self, primals):
if not np.array_equal(primals, self._cached_primals):
self._pyomo_nlp.set_primals(primals)
ex_inputs = self._ex_io_inputs_from_full_primals(primals)
self._ex_io_model.set_inputs(ex_inputs)
self._cached_primals = primals.copy()
def _set_duals_if_necessary(self, duals):
if not np.array_equal(duals, self._cached_duals):
self._cached_duals.copy_from(duals)
self._pyomo_nlp.set_duals(self._cached_duals.get_block(0))
def _set_obj_factor_if_necessary(self, obj_factor):
if obj_factor != self._cached_obj_factor:
self._pyomo_nlp.set_obj_factor(obj_factor)
self._cached_obj_factor = obj_factor
def x_init(self):
return self._pyomo_nlp.init_primals()
def x_lb(self):
return self._pyomo_nlp.primals_lb()
def x_ub(self):
return self._pyomo_nlp.primals_ub()
def g_lb(self):
return self._gL.copy()
def g_ub(self):
return self._gU.copy()
def scaling_factors(self):
return self._obj_scaling, self._primals_scaling, self._constraints_scaling
def objective(self, primals):
self._set_primals_if_necessary(primals)
return self._pyomo_nlp.evaluate_objective()
def gradient(self, primals):
self._set_primals_if_necessary(primals)
return self._pyomo_nlp.evaluate_grad_objective()
def constraints(self, primals):
self._set_primals_if_necessary(primals)
pyomo_constraints = self._pyomo_nlp.evaluate_constraints()
ex_io_outputs = self._ex_io_model.evaluate_outputs()
ex_io_constraints = ex_io_outputs - self._ex_io_outputs_from_full_primals(primals)
constraints = BlockVector(2)
constraints.set_block(0, pyomo_constraints)
constraints.set_block(1, ex_io_constraints)
return constraints.flatten()
def jacobianstructure(self):
return self._full_jac_irows, self._full_jac_jcols
def jacobian(self, primals):
self._set_primals_if_necessary(primals)
self._pyomo_nlp.evaluate_jacobian(out=self._jac_pyomo)
pyomo_data = self._jac_pyomo.data
ex_io_deriv = self._ex_io_model.evaluate_derivatives()
# CDL: dense version: ex_io_deriv = self._ex_io_model.evaluate_derivatives().flatten('C')
self._full_jac_data[0:len(pyomo_data)] = pyomo_data
self._full_jac_data[len(pyomo_data):len(pyomo_data)+len(ex_io_deriv.data)] = ex_io_deriv.data
# CDL: dense version: self._full_jac_data[len(pyomo_data):len(pyomo_data)+len(ex_io_deriv)] = ex_io_deriv
# the -1s for the output variables should still be here
return self._full_jac_data
def hessianstructure(self):
return np.zeros(0), np.zeros(0)
#raise NotImplementedError('No Hessians for now')
def hessian(self, x, y, obj_factor):
raise NotImplementedError('No Hessians for now')
def _ex_io_inputs_from_full_primals(self, primals):
return primals[self._input_columns]
#return np.compress(self._input_x_mask, primals)
def _ex_io_outputs_from_full_primals(self, primals):
return primals[self._output_columns]
#return np.compress(self._output_x_mask, primals)
M = BlockSymMatrix(2)
M[0, 0] = H
M[1, 0] = J
Np = BlockMatrix(2, 1)
Np[0, 0] = nlp.extract_submatrix_hessian_lag(
pyomo_variables_rows=nlp.get_pyomo_variables(),
pyomo_variables_cols=[m.eta1, m.eta2])
Np[1, 0] = nlp.extract_submatrix_jacobian(
pyomo_variables=[m.eta1, m.eta2],
pyomo_constraints=nlp.get_pyomo_constraints())
ds = spsolve(M.tocsc(), Np.tocsc())
print(nlp.variable_names())
#################################################################
p0 = np.array([pyo.value(m.nominal_eta1), pyo.value(m.nominal_eta2)])
p = np.array([4.45, 1.05])
dp = p - p0
dx = ds.dot(dp)[0:nlp.n_primals()]
new_x = x + dx
print(new_x)
#################################################################
m = create_model(4.45, 1.05)
opt = pyo.SolverFactory('ipopt')
results = opt.solve(m, tee=True)
nlp = PyomoNLP(m)
print(nlp.init_primals())
# define and initialize the SP
instance_factory = ScenarioTreeInstanceFactory(pysp_instance_creation_callback,
nx_scenario_tree)
options = ScenarioTreeManagerFactory.register_options()
options.scenario_tree_manager = 'serial'
sp = ScenarioTreeManagerFactory(options, factory=instance_factory)
sp.initialize()
instance = create_ef_instance(sp.scenario_tree)
#instance = create_model(1.0)
nlp = PyomoNLP(instance)
print("\n----------------------")
print("Problem statistics:")
print("----------------------")
print("Number of variables: {:>25d}".format(nlp.n_primals()))
print("Number of equality constraints: {:>14d}".format(nlp.n_eq_constraints()))
print("Number of inequality constraints: {:>11d}".format(
nlp.n_ineq_constraints()))
print("Total number of constraints: {:>17d}".format(nlp.n_constraints()))
print("Number of nnz in Jacobian: {:>20d}".format(nlp.nnz_jacobian()))
print("Number of nnz in hessian of Lagrange: {:>8d}".format(
nlp.nnz_hessian_lag()))
x = nlp.init_primals().copy()
y = nlp.create_new_vector('duals')
y.fill(1.0)
nlp.set_primals(x)
nlp.set_duals(y)
# Evaluate jacobian of all constraints
