def convert_prob(self):
self.logger.info("Converting optimization problem")
self.model.con_list = ConstraintList()
# Set of objective functions
self.model.Os = Set(ordered=True, initialize=[o + 2 for o in self.iter_obj2])
# Slack for objectives introduced as constraints
self.model.Slack = Var(self.model.Os, within=NonNegativeReals)
self.model.e = Param(
self.model.Os,
initialize=[np.nan for _ in self.model.Os],
within=Any,
mutable=True,
) # RHS of constraints
# Add p-1 objective functions as constraints
for o in range(1, self.n_obj):
self.model.obj_list[1].expr += self.opts.eps * (
10 ** (-1 * (o - 1)) * self.model.Slack[o + 1] / self.obj_range[o - 1]
)
self.model.con_list.add(
expr=self.model.obj_list[o + 1].expr - self.model.Slack[o + 1]
== self.model.e[o + 1]
)
def construct_payoff(self):
self.logger.info("Constructing payoff")
self.progress.set_message("constructing payoff")
def set_payoff(i, j):
self.obj_activate(j)
self.solve()
self.progress.increment()
self.payoff[i, j] = self.obj_val(j)
self.obj_deactivate(j)
self.payoff = np.full((self.n_obj, self.n_obj), np.inf)
self.model.pcon_list = ConstraintList()
# Independently optimize each objective function (diagonal elements)
for i in self.iter_obj:
for j in self.iter_obj:
if i == j:
set_payoff(i, j)
# Optimize j having all the i as constraints (off-diagonal elements)
for i in self.iter_obj:
self.model.pcon_list.add(expr=self.obj_expr(i) == self.payoff[i, i])
for j in self.iter_obj:
if i != j:
set_payoff(i, j)
self.model.pcon_list.add(expr=self.obj_expr(j) == self.payoff[i, j])
self.model.pcon_list.clear()
def make_noisy(self, cov_dict, conf_level=2):
self.d1.name = "Noisy plant (d1)"
k = 0
for x in self.states:
s = getattr(self.d1, x) #: state
xicc = getattr(self.d1, x + "_icc")
xicc.deactivate()
for j in self.state_vars[x]:
self.xp_l.append(s[(1, 0) + j])
self.xp_key[(x, j)] = k
k += 1
self.d1.xS_pnoisy = Set(initialize=[
i for i in range(0, len(self.xp_l))
]) #: Create set of noisy_states
self.d1.w_pnoisy = Var(self.d1.xS_pnoisy,
initialize=0.0) #: Model disturbance
self.d1.Q_pnoisy = Param(self.d1.xS_pnoisy, initialize=1, mutable=True)
self.d1.obj_fun_noisy = Objective(
sense=maximize,
expr=0.5 * sum(self.d1.Q_pnoisy[k] * self.d1.w_pnoisy[k]**2
for k in self.d1.xS_pnoisy))
self.d1.ics_noisy = ConstraintList()
k = 0
for x in self.states:
s = getattr(self.d1, x) #: state
xic = getattr(self.d1, x + "_ic")
for j in self.state_vars[x]:
expr = s[(1, 1) + j] == xic[j] + self.d1.w_pnoisy[k]
self.d1.ics_noisy.add(expr)
k += 1
for key in cov_dict:
vni = key
v_i = self.xp_key[vni]
self.d1.Q_pnoisy[v_i].value = cov_dict[vni]
self.d1.w_pnoisy[v_i].setlb(-conf_level * cov_dict[vni])
self.d1.w_pnoisy[v_i].setub(conf_level * cov_dict[vni])
with open("debug.txt", "w") as f:
self.d1.Q_pnoisy.display(ostream=f)
self.d1.obj_fun_noisy.pprint(ostream=f)
self.d1.ics_noisy.pprint(ostream=f)
self.d1.w_pnoisy.display(ostream=f)
def substitute_ssv_in_dr_constraints(model, constraint):
'''
Generate the standard_repn for the dr constraints. Generate new expression with replace_expression to ignore
the ssv component.
Then, replace_expression with substitution_map between ssv and the new expression.
Deactivate or del_component the original dr equation.
Then, return modified model and do coefficient matching as normal.
:param model: the working_model
:param constraint: an equality constraint from the working model identified to be of the form h(x,z,q) = 0.
:return:
'''
dr_eqns = model.util.decision_rule_eqns
fsv = ComponentSet(model.util.first_stage_variables)
if not hasattr(model, "dr_substituted_constraints"):
model.dr_substituted_constraints = ConstraintList()
for eqn in dr_eqns:
repn = generate_standard_repn(eqn.body, compute_values=False)
new_expression = 0
map_linear_coeff_to_var = [x for x in zip(repn.linear_coefs, repn.linear_vars) if x[1] in ComponentSet(fsv)]
map_quad_coeff_to_var = [x for x in zip(repn.quadratic_coefs, repn.quadratic_vars) if x[1] in ComponentSet(fsv)]
if repn.linear_coefs:
for coeff, var in map_linear_coeff_to_var:
new_expression += coeff * var
if repn.quadratic_coefs:
for coeff, var in map_quad_coeff_to_var:
new_expression += coeff * var[0] * var[1] # var here is a 2-tuple
model.no_ssv_dr_expr = Expression(expr=new_expression)
substitution_map = {}
substitution_map[id(repn.linear_vars[-1])] = model.no_ssv_dr_expr.expr
model.dr_substituted_constraints.add(
replace_expressions(expr=constraint.lower,
substitution_map=substitution_map) ==
replace_expressions(expr=constraint.body,
substitution_map=substitution_map))
# === Delete the original constraint
model.del_component(constraint.name)
model.del_component("no_ssv_dr_expr")
return model.dr_substituted_constraints[max(model.dr_substituted_constraints.keys())]
def replace_uncertain_bounds_with_constraints(model, uncertain_params):
"""
For variables of which the bounds are dependent on the parameters
in the list `uncertain_params`, remove the bounds and add
explicit variable bound inequality constraints.
:param model: Model in which to make the bounds/constraint replacements
:type model: class:`pyomo.core.base.PyomoModel.ConcreteModel`
:param uncertain_params: List of uncertain model parameters
:type uncertain_params: list
"""
uncertain_param_set = ComponentSet(uncertain_params)
# component for explicit inequality constraints
uncertain_var_bound_constrs = ConstraintList()
model.add_component(unique_component_name(model,
'uncertain_var_bound_cons'),
uncertain_var_bound_constrs)
# get all variables in active objective and constraint expression(s)
vars_in_cons = ComponentSet(get_vars_from_component(model, Constraint))
vars_in_obj = ComponentSet(get_vars_from_component(model, Objective))
for v in vars_in_cons | vars_in_obj:
# get mutable parameters in variable bounds expressions
ub = v.upper
mutable_params_ub = ComponentSet(identify_mutable_parameters(ub))
lb = v.lower
mutable_params_lb = ComponentSet(identify_mutable_parameters(lb))
# add explicit inequality constraint(s), remove variable bound(s)
if mutable_params_ub & uncertain_param_set:
if type(ub) is NPV_MinExpression:
upper_bounds = ub.args
else:
upper_bounds = (ub,)
for u_bnd in upper_bounds:
uncertain_var_bound_constrs.add(v - u_bnd <= 0)
v.setub(None)
if mutable_params_lb & uncertain_param_set:
if type(ub) is NPV_MaxExpression:
lower_bounds = lb.args
else:
lower_bounds = (lb,)
for l_bnd in lower_bounds:
uncertain_var_bound_constrs.add(l_bnd - v <= 0)
v.setlb(None)
def _relax_bilinear(self, b, u, v):
u_lb, u_ub = u.bounds
v_lb, v_ub = v.bounds
if u_lb is None or u_ub is None:
raise RuntimeError("Couldn't relax variable %s: missing "
"finite lower/upper bounds." % (u.cname(True)))
if v_lb is None or v_ub is None:
raise RuntimeError("Couldn't relax variable %s: missing "
"finite lower/upper bounds." % (v.cname(True)))
w = Var(bounds=(min(u_lb*v_lb, u_lb*v_ub, u_ub*v_lb, u_ub*v_ub),
max(u_lb*v_lb, u_lb*v_ub, u_ub*v_lb, u_ub*v_ub)))
b.add_component("w_%s_%s" % (u.cname(), v.cname()), w)
_c = ConstraintList(noruleinit=True)
b.add_component( "c_mccormick_%s_%s" % (u.cname(), v.cname()), _c )
_c.add(expr=w >= u * v_lb + u_lb * v - u_lb*v_lb)
_c.add(expr=w >= u * v_ub + u_ub * v - u_ub*v_ub)
_c.add(expr=w <= u * v_lb + u_ub * v - u_ub*v_lb)
_c.add(expr=w <= u * v_ub + u_lb * v - u_lb*v_ub)
return w
def ROSolver_iterative_solve(model_data, config):
'''
GRCS algorithm implementation
:model_data: ROSolveData object with deterministic model information
:config: ConfigBlock for the instance being solved
'''
# === The "violation" e.g. uncertain parameter values added to the master problem are nominal in iteration 0
# User can supply a nominal_uncertain_param_vals if they want to set nominal to a certain point,
# Otherwise, the default init value for the params is used as nominal_uncertain_param_vals
violation = list(p for p in config.nominal_uncertain_param_vals)
# === Do coefficient matching
constraints = [
c for c in model_data.working_model.component_data_objects(Constraint)
if c.equality and c not in ComponentSet(
model_data.working_model.util.decision_rule_eqns)
]
model_data.working_model.util.h_x_q_constraints = ComponentSet()
for c in constraints:
coeff_matching_success, robust_infeasible = coefficient_matching(
model=model_data.working_model,
constraint=c,
uncertain_params=model_data.working_model.util.uncertain_params,
config=config)
if not coeff_matching_success and not robust_infeasible:
raise ValueError(
"Equality constraint \"%s\" cannot be guaranteed to be robustly feasible, "
"given the current partitioning between first-stage, second-stage and state variables. "
"You might consider editing this constraint to reference some second-stage "
"and/or state variable(s)." % c.name)
elif not coeff_matching_success and robust_infeasible:
config.progress_logger.info(
"PyROS has determined that the model is robust infeasible. "
"One reason for this is that equality constraint \"%s\" cannot be satisfied "
"against all realizations of uncertainty, "
"given the current partitioning between first-stage, second-stage and state variables. "
"You might consider editing this constraint to reference some (additional) second-stage "
"and/or state variable(s)." % c.name)
return None, None
else:
pass
# h(x,q) == 0 becomes h'(x) == 0
for c in model_data.working_model.util.h_x_q_constraints:
c.deactivate()
# === Build the master problem and master problem data container object
master_data = master_problem_methods.initial_construct_master(model_data)
# === If using p_robustness, add ConstraintList for additional constraints
if config.p_robustness:
master_data.master_model.p_robust_constraints = ConstraintList()
# === Add scenario_0
master_data.master_model.scenarios[0, 0].transfer_attributes_from(
master_data.original.clone())
if len(master_data.master_model.scenarios[
0, 0].util.uncertain_params) != len(violation):
raise ValueError
# === Set the nominal uncertain parameters to the violation values
for i, v in enumerate(violation):
master_data.master_model.scenarios[
0, 0].util.uncertain_params[i].value = v
# === Add objective function (assuming minimization of costs) with nominal second-stage costs
if config.objective_focus is ObjectiveType.nominal:
master_data.master_model.obj = Objective(
expr=master_data.master_model.scenarios[0,
0].first_stage_objective +
master_data.master_model.scenarios[0, 0].second_stage_objective)
elif config.objective_focus is ObjectiveType.worst_case:
# === Worst-case cost objective
master_data.master_model.zeta = Var(initialize=value(
master_data.master_model.scenarios[0, 0].first_stage_objective +
master_data.master_model.scenarios[0, 0].second_stage_objective))
master_data.master_model.obj = Objective(
expr=master_data.master_model.zeta)
master_data.master_model.scenarios[0, 0].epigraph_constr = Constraint(
expr=master_data.master_model.scenarios[0,
0].first_stage_objective +
master_data.master_model.scenarios[0, 0].second_stage_objective <=
master_data.master_model.zeta)
master_data.master_model.scenarios[
0,
0].util.first_stage_variables.append(master_data.master_model.zeta)
# === Add deterministic constraints to ComponentSet on original so that these become part of separation model
master_data.original.util.deterministic_constraints = \
ComponentSet(c for c in master_data.original.component_data_objects(Constraint, descend_into=True))
# === Make separation problem model once before entering the solve loop
separation_model = separation_problem_methods.make_separation_problem(
model_data=master_data, config=config)
# === Create separation problem data container object and add information to catalog during solve
separation_data = SeparationProblemData()
separation_data.separation_model = separation_model
separation_data.points_separated = [
] # contains last point separated in the separation problem
separation_data.points_added_to_master = [
config.nominal_uncertain_param_vals
] # explicitly robust against in master
separation_data.constraint_violations = [
] # list of constraint violations for each iteration
separation_data.total_global_separation_solves = 0 # number of times global solve is used
separation_data.timing = master_data.timing # timing object
# === Keep track of subsolver termination statuses from each iteration
separation_data.separation_problem_subsolver_statuses = []
# === Nominal information
nominal_data = Block()
nominal_data.nom_fsv_vals = []
nominal_data.nom_ssv_vals = []
nominal_data.nom_first_stage_cost = 0
nominal_data.nom_second_stage_cost = 0
nominal_data.nom_obj = 0
# === Time information
timing_data = Block()
timing_data.total_master_solve_time = 0
timing_data.total_separation_local_time = 0
timing_data.total_separation_global_time = 0
timing_data.total_dr_polish_time = 0
dr_var_lists_original = []
dr_var_lists_polished = []
k = 0
while config.max_iter == -1 or k < config.max_iter:
master_data.iteration = k
# === Add p-robust constraint if iteration > 0
if k > 0 and config.p_robustness:
master_problem_methods.add_p_robust_constraint(
model_data=master_data, config=config)
# === Solve Master Problem
config.progress_logger.info("PyROS working on iteration %s..." % k)
master_soln = master_problem_methods.solve_master(
model_data=master_data, config=config)
#config.progress_logger.info("Done solving Master Problem!")
master_soln.master_problem_subsolver_statuses = []
# === Keep track of total time and subsolver termination conditions
timing_data.total_master_solve_time += get_time_from_solver(
master_soln.results)
timing_data.total_master_solve_time += get_time_from_solver(
master_soln.feasibility_problem_results)
master_soln.master_problem_subsolver_statuses.append(
master_soln.results.solver.termination_condition)
# === Check for robust infeasibility or error or time-out in master problem solve
if master_soln.master_subsolver_results[
1] is pyrosTerminationCondition.robust_infeasible:
term_cond = pyrosTerminationCondition.robust_infeasible
output_logger(config=config, robust_infeasible=True)
elif master_soln.pyros_termination_condition is pyrosTerminationCondition.subsolver_error:
term_cond = pyrosTerminationCondition.subsolver_error
else:
term_cond = None
if term_cond == pyrosTerminationCondition.subsolver_error or \
term_cond == pyrosTerminationCondition.robust_infeasible:
update_grcs_solve_data(pyros_soln=model_data,
k=k,
term_cond=term_cond,
nominal_data=nominal_data,
timing_data=timing_data,
separation_data=separation_data,
master_soln=master_soln)
return model_data, []
# === Check if time limit reached
elapsed = get_main_elapsed_time(model_data.timing)
if config.time_limit:
if elapsed >= config.time_limit:
output_logger(config=config, time_out=True, elapsed=elapsed)
update_grcs_solve_data(
pyros_soln=model_data,
k=k,
term_cond=pyrosTerminationCondition.time_out,
nominal_data=nominal_data,
timing_data=timing_data,
separation_data=separation_data,
master_soln=master_soln)
return model_data, []
# === Save nominal information
if k == 0:
for val in master_soln.fsv_vals:
nominal_data.nom_fsv_vals.append(val)
for val in master_soln.ssv_vals:
nominal_data.nom_ssv_vals.append(val)
nominal_data.nom_first_stage_cost = master_soln.first_stage_objective
nominal_data.nom_second_stage_cost = master_soln.second_stage_objective
nominal_data.nom_obj = value(master_data.master_model.obj)
if (
# === Decision rule polishing (do not polish on first iteration if no ssv or if decision_rule_order = 0)
(config.decision_rule_order != 0
and len(config.second_stage_variables) > 0 and k != 0)):
# === Save initial values of DR vars to file
for varslist in master_data.master_model.scenarios[
0, 0].util.decision_rule_vars:
vals = []
for dvar in varslist.values():
vals.append(dvar.value)
dr_var_lists_original.append(vals)
polishing_results = master_problem_methods.minimize_dr_vars(
model_data=master_data, config=config)
timing_data.total_dr_polish_time += get_time_from_solver(
polishing_results)
#=== Save after polish
for varslist in master_data.master_model.scenarios[
0, 0].util.decision_rule_vars:
vals = []
for dvar in varslist.values():
vals.append(dvar.value)
dr_var_lists_polished.append(vals)
# === Set up for the separation problem
separation_data.opt_fsv_vals = [
v.value for v in master_soln.master_model.scenarios[
0, 0].util.first_stage_variables
]
separation_data.opt_ssv_vals = master_soln.ssv_vals
# === Provide master model scenarios to separation problem for initialization options
separation_data.master_scenarios = master_data.master_model.scenarios
if config.objective_focus is ObjectiveType.worst_case:
separation_model.util.zeta = value(master_soln.master_model.obj)
# === Solve Separation Problem
separation_data.iteration = k
separation_data.master_nominal_scenario = master_data.master_model.scenarios[
0, 0]
separation_data.master_model = master_data.master_model
separation_solns, violating_realizations, constr_violations, is_global, \
local_sep_time, global_sep_time = \
separation_problem_methods.solve_separation_problem(model_data=separation_data, config=config)
for sep_soln_list in separation_solns:
for s in sep_soln_list:
separation_data.separation_problem_subsolver_statuses.append(
s.termination_condition)
if is_global:
separation_data.total_global_separation_solves += 1
timing_data.total_separation_local_time += local_sep_time
timing_data.total_separation_global_time += global_sep_time
separation_data.constraint_violations.append(constr_violations)
if not any(s.found_violation for solve_data_list in separation_solns
for s in solve_data_list):
separation_data.points_separated = []
else:
separation_data.points_separated = violating_realizations
# === Check if time limit reached
elapsed = get_main_elapsed_time(model_data.timing)
if config.time_limit:
if elapsed >= config.time_limit:
output_logger(config=config, time_out=True, elapsed=elapsed)
termination_condition = pyrosTerminationCondition.time_out
update_grcs_solve_data(pyros_soln=model_data,
k=k,
term_cond=termination_condition,
nominal_data=nominal_data,
timing_data=timing_data,
separation_data=separation_data,
master_soln=master_soln)
return model_data, separation_solns
# === Check if we exit due to solver returning unsatisfactory statuses (not in permitted_termination_conditions)
local_solve_term_conditions = {
TerminationCondition.optimal, TerminationCondition.locallyOptimal,
TerminationCondition.globallyOptimal
}
global_solve_term_conditions = {
TerminationCondition.optimal, TerminationCondition.globallyOptimal
}
if (is_global and any((s.termination_condition not in global_solve_term_conditions)
for sep_soln_list in separation_solns for s in sep_soln_list)) or \
(not is_global and any((s.termination_condition not in local_solve_term_conditions)
for sep_soln_list in separation_solns for s in sep_soln_list)):
termination_condition = pyrosTerminationCondition.subsolver_error
update_grcs_solve_data(pyros_soln=model_data,
k=k,
term_cond=termination_condition,
nominal_data=nominal_data,
timing_data=timing_data,
separation_data=separation_data,
master_soln=master_soln)
return model_data, separation_solns
# === Check if we terminate due to robust optimality or feasibility
if not any(s.found_violation for sep_soln_list in separation_solns
for s in sep_soln_list) and is_global:
if config.solve_master_globally and config.objective_focus is ObjectiveType.worst_case:
output_logger(config=config, robust_optimal=True)
termination_condition = pyrosTerminationCondition.robust_optimal
else:
output_logger(config=config, robust_feasible=True)
termination_condition = pyrosTerminationCondition.robust_feasible
update_grcs_solve_data(pyros_soln=model_data,
k=k,
term_cond=termination_condition,
nominal_data=nominal_data,
timing_data=timing_data,
separation_data=separation_data,
master_soln=master_soln)
return model_data, separation_solns
# === Add block to master at violation
master_problem_methods.add_scenario_to_master(master_data,
violating_realizations)
separation_data.points_added_to_master.append(violating_realizations)
k += 1
output_logger(config=config, max_iter=True)
update_grcs_solve_data(pyros_soln=model_data,
k=k,
term_cond=pyrosTerminationCondition.max_iter,
nominal_data=nominal_data,
timing_data=timing_data,
separation_data=separation_data,
master_soln=master_soln)
# === In this case we still return the final solution objects for the last iteration
return model_data, separation_solns
def _apply_to(self, instance, **kwds):
if __debug__ and logger.isEnabledFor(logging.DEBUG): #pragma:nocover
logger.debug("Calling ConnectorExpander")
connectorsFound = False
for c in instance.component_data_objects(Connector):
connectorsFound = True
break
if not connectorsFound:
return
if __debug__ and logger.isEnabledFor(logging.DEBUG): #pragma:nocover
logger.debug(" Connectors found!")
#
# At this point, there are connectors in the model, so we must
# look for constraints that involve connectors and expand them.
#
connector_types = set([SimpleConnector, _ConnectorData])
constraint_list = []
connector_list = []
matched_connectors = {}
found = dict()
for constraint in instance.component_data_objects(Constraint):
for c in expr.identify_variables(
constraint.body, include_potentially_variable=True):
if c.__class__ in connector_types:
found[id(c)] = c
if not found:
continue
# Note that it is important to copy the set of found
# connectors, since the matching routine below will
# manipulate sets in place.
found_this_constraint = dict(found)
constraint_list.append( (constraint, found_this_constraint) )
# Find all the connectors that are used in the constraint,
# so we know which connectors to validate against each
# other. Note that the validation must be transitive (that
# is, if con1 has a & b and con2 has b & c, then a,b, and c
# must all validate against each other.
for cId, c in iteritems(found_this_constraint):
if cId in matched_connectors:
oldSet = matched_connectors[cId]
found.update( oldSet )
for _cId in oldSet:
matched_connectors[_cId] = found
else:
connector_list.append(c)
matched_connectors[cId] = found
# Reset found back to empty (this is more efficient as the
# bulk of the constraints in the model will not have
# connectors - so if we did this at the top of the loop, we
# would spend a lot of time clearing empty sets
found = {}
# Validate all connector sets and expand the empty ones
known_conn_sets = {}
for connector in connector_list:
conn_set = matched_connectors[id(connector)]
if id(conn_set) in known_conn_sets:
continue
known_conn_sets[id(conn_set)] \
= self._validate_and_expand_connector_set(conn_set)
# Expand each constraint
for constraint, conn_set in constraint_list:
cList = ConstraintList()
constraint.parent_block().add_component(
'%s.expanded' % ( constraint.local_name, ), cList )
connId = next(iterkeys(conn_set))
ref = known_conn_sets[id(matched_connectors[connId])]
for k,v in sorted(iteritems(ref)):
if v[1] >= 0:
_iter = v[0]
else:
_iter = (v[0],)
for idx in _iter:
substitution = {}
for c in itervalues(conn_set):
if v[1] >= 0:
new_v = c.vars[k][idx]
elif k in c.aggregators:
new_v = c.vars[k].add()
else:
new_v = c.vars[k]
substitution[id(c)] = new_v
cList.add((
constraint.lower,
expr.clone_expression( constraint.body, substitution ),
constraint.upper ))
constraint.deactivate()
# Now, go back and implement VarList aggregators
for conn in connector_list:
block = conn.parent_block()
for var, aggregator in iteritems(conn.aggregators):
c = Constraint(expr=aggregator(block, conn.vars[var]))
block.add_component(
'%s.%s.aggregate' % (conn.local_name, var), c )
def _apply_to(self, instance, **kwds):
if __debug__ and logger.isEnabledFor(logging.DEBUG): #pragma:nocover
logger.debug("Calling ConnectorExpander")
connectorsFound = False
for c in instance.component_data_objects(Connector):
connectorsFound = True
break
if not connectorsFound:
return
if __debug__ and logger.isEnabledFor(logging.DEBUG): #pragma:nocover
logger.debug(" Connectors found!")
#
# At this point, there are connectors in the model, so we must
# look for constraints that involve connectors and expand them.
#
connector_types = set([SimpleConnector, _ConnectorData])
constraint_list = []
connector_list = []
matched_connectors = {}
found = dict()
for constraint in instance.component_data_objects(Constraint):
for c in expr.identify_variables(
constraint.body, include_potentially_variable=True):
if c.__class__ in connector_types:
found[id(c)] = c
if not found:
continue
# Note that it is important to copy the set of found
# connectors, since the matching routine below will
# manipulate sets in place.
found_this_constraint = dict(found)
constraint_list.append((constraint, found_this_constraint))
# Find all the connectors that are used in the constraint,
# so we know which connectors to validate against each
# other. Note that the validation must be transitive (that
# is, if con1 has a & b and con2 has b & c, then a,b, and c
# must all validate against each other.
for cId, c in iteritems(found_this_constraint):
if cId in matched_connectors:
oldSet = matched_connectors[cId]
found.update(oldSet)
for _cId in oldSet:
matched_connectors[_cId] = found
else:
connector_list.append(c)
matched_connectors[cId] = found
# Reset found back to empty (this is more efficient as the
# bulk of the constraints in the model will not have
# connectors - so if we did this at the top of the loop, we
# would spend a lot of time clearing empty sets
found = {}
# Validate all connector sets and expand the empty ones
known_conn_sets = {}
for connector in connector_list:
conn_set = matched_connectors[id(connector)]
if id(conn_set) in known_conn_sets:
continue
known_conn_sets[id(conn_set)] \
= self._validate_and_expand_connector_set(conn_set)
# Expand each constraint
for constraint, conn_set in constraint_list:
cList = ConstraintList()
constraint.parent_block().add_component(
'%s.expanded' % (constraint.local_name, ), cList)
connId = next(iterkeys(conn_set))
ref = known_conn_sets[id(matched_connectors[connId])]
for k, v in sorted(iteritems(ref)):
if v[1] >= 0:
_iter = v[0]
else:
_iter = (v[0], )
for idx in _iter:
substitution = {}
for c in itervalues(conn_set):
if v[1] >= 0:
new_v = c.vars[k][idx]
elif k in c.aggregators:
new_v = c.vars[k].add()
else:
new_v = c.vars[k]
substitution[id(c)] = new_v
cList.add((constraint.lower,
expr.clone_expression(constraint.body,
substitution),
constraint.upper))
constraint.deactivate()
# Now, go back and implement VarList aggregators
for conn in connector_list:
block = conn.parent_block()
for var, aggregator in iteritems(conn.aggregators):
c = Constraint(expr=aggregator(block, conn.vars[var]))
block.add_component('%s.%s.aggregate' % (conn.local_name, var),
c)
def __init__(self, **kwargs):
NmpcGen.__init__(self, **kwargs)
self.int_file_mhe_suf = int(time.time())-1
# Need a list of relevant measurements y
self.y = kwargs.pop('y', [])
self.y_vars = kwargs.pop('y_vars', {})
# Need a list or relevant noisy-states z
self.x_noisy = kwargs.pop('x_noisy', [])
self.x_vars = kwargs.pop('x_vars', {})
self.deact_ics = kwargs.pop('del_ics', True)
self.diag_Q_R = kwargs.pop('diag_QR', True) #: By default use diagonal matrices for Q and R matrices
self.u = kwargs.pop('u', [])
self.IgnoreProcessNoise = kwargs.pop('IgnoreProcessNoise', False)
print("-" * 120)
print("I[[create_lsmhe]] lsmhe (full) model created.")
print("-" * 120)
nstates = sum(len(self.x_vars[x]) for x in self.x_noisy)
self.journalizer("I", self._c_it, "MHE with \t", str(nstates) + "states")
self.journalizer("I", self._c_it, "MHE with \t", str(nstates*self.nfe_t*self.ncp_t) + "noise vars")
self.lsmhe = self.d_mod(self.nfe_t, self.ncp_t, _t=self._t)
self.lsmhe.name = "LSMHE (Least-Squares MHE)"
self.lsmhe.create_bounds()
#: create x_pi constraint
#: Create list of noisy-states vars
self.xkN_l = []
self.xkN_nexcl = []
self.xkN_key = {}
k = 0
for x in self.x_noisy:
n_s = getattr(self.lsmhe, x) #: Noisy-state
for jth in self.x_vars[x]: #: the jth variable
self.xkN_l.append(n_s[(1, 0) + jth])
self.xkN_nexcl.append(1) #: non-exclusion list for active bounds
self.xkN_key[(x, jth)] = k
k += 1
self.lsmhe.xkNk_mhe = Set(initialize=[i for i in range(0, len(self.xkN_l))]) #: Create set of noisy_states
self.lsmhe.x_0_mhe = Param(self.lsmhe.xkNk_mhe, initialize=0.0, mutable=True) #: Prior-state
self.lsmhe.wk_mhe = Param(self.lsmhe.fe_t, self.lsmhe.cp_ta, self.lsmhe.xkNk_mhe, initialize=0.0) \
if self.IgnoreProcessNoise else Expression(self.lsmhe.fe_t, self.lsmhe.cp_ta, self.lsmhe.xkNk_mhe) #: Model disturbance
self.lsmhe.PikN_mhe = Param(self.lsmhe.xkNk_mhe, self.lsmhe.xkNk_mhe,
initialize=lambda m, i, ii: 1. if i == ii else 0.0, mutable=True) #: Prior-Covariance
self.lsmhe.Q_mhe = Param(range(1, self.nfe_t), self.lsmhe.xkNk_mhe, initialize=1, mutable=True) if self.diag_Q_R\
else Param(range(1, self.nfe_t), self.lsmhe.xkNk_mhe, self.lsmhe.xkNk_mhe,
initialize=lambda m, t, i, ii: 1. if i == ii else 0.0, mutable=True) #: Disturbance-weight
j = 0
for i in self.x_noisy:
de_exp = getattr(self.lsmhe, "de_" + i)
for k in self.x_vars[i]:
for tfe in range(1, self.nfe_t+1):
for tcp in range(1, self.ncp_t + 1):
self.lsmhe.wk_mhe[tfe, tcp, j].set_value(de_exp[(tfe, tcp) + k]._body)
de_exp[(tfe, tcp) + k].deactivate()
j += 1
#: Create list of measurements vars
self.yk_l = {}
self.yk_key = {}
k = 0
self.yk_l[1] = []
for y in self.y:
m_v = getattr(self.lsmhe, y) #: Measured "state"
for jth in self.y_vars[y]: #: the jth variable
self.yk_l[1].append(m_v[(1, self.ncp_t) + jth])
self.yk_key[(y, jth)] = k #: The key needs to be created only once, that is why the loop was split
k += 1
for t in range(2, self.nfe_t + 1):
self.yk_l[t] = []
for y in self.y:
m_v = getattr(self.lsmhe, y) #: Measured "state"
for jth in self.y_vars[y]: #: the jth variable
self.yk_l[t].append(m_v[(t, self.ncp_t) + jth])
self.lsmhe.ykk_mhe = Set(initialize=[i for i in range(0, len(self.yk_l[1]))]) #: Create set of measured_vars
self.lsmhe.nuk_mhe = Var(self.lsmhe.fe_t, self.lsmhe.ykk_mhe, initialize=0.0) #: Measurement noise
self.lsmhe.yk0_mhe = Param(self.lsmhe.fe_t, self.lsmhe.ykk_mhe, initialize=1.0, mutable=True)
self.lsmhe.hyk_c_mhe = Constraint(self.lsmhe.fe_t, self.lsmhe.ykk_mhe,
rule=
lambda mod, t, i:mod.yk0_mhe[t, i] - self.yk_l[t][i] - mod.nuk_mhe[t, i] == 0.0)
self.lsmhe.hyk_c_mhe.deactivate()
self.lsmhe.R_mhe = Param(self.lsmhe.fe_t, self.lsmhe.ykk_mhe, initialize=1.0, mutable=True) if self.diag_Q_R else \
Param(self.lsmhe.fe_t, self.lsmhe.ykk_mhe, self.lsmhe.ykk_mhe,
initialize=lambda mod, t, i, ii: 1.0 if i == ii else 0.0, mutable=True)
f = open("file_cv.txt", "w")
f.close()
#: Constraints for the input noise
for u in self.u:
# cv = getattr(self.lsmhe, u) #: Get the param
# c_val = [value(cv[i]) for i in cv.keys()] #: Current value
# self.lsmhe.del_component(cv) #: Delete the param
# self.lsmhe.add_component(u + "_mhe", Var(self.lsmhe.fe_t, initialize=lambda m, i: c_val[i-1]))
self.lsmhe.add_component("w_" + u + "_mhe", Var(self.lsmhe.fe_t, initialize=0.0)) #: Noise for input
self.lsmhe.add_component("w_" + u + "c_mhe", Constraint(self.lsmhe.fe_t))
self.lsmhe.equalize_u(direction="r_to_u")
# cc = getattr(self.lsmhe, u + "_c") #: Get the constraint for input
con_w = getattr(self.lsmhe, "w_" + u + "c_mhe") #: Get the constraint-noisy
var_w = getattr(self.lsmhe, "w_" + u + "_mhe") #: Get the constraint-noisy
ce = getattr(self.lsmhe, u + "_e") #: Get the expression
cp = getattr(self.lsmhe, u) #: Get the param
con_w.rule = lambda m, i: cp[i] == ce[i] + var_w[i]
con_w.reconstruct()
con_w.deactivate()
# con_w.rule = lambda m, i: cp[i] == cv[i] + var_w[i]
# con_w.reconstruct()
# with open("file_cv.txt", "a") as f:
# cc.pprint(ostream=f)
# con_w.pprint(ostream=f)
# f.close()
self.lsmhe.U_mhe = Param(range(1, self.nfe_t + 1), self.u, initialize=1, mutable=True)
#: Deactivate icc constraints
if self.deact_ics:
pass
# for i in self.states:
# self.lsmhe.del_component(i + "_icc")
#: Maybe only for a subset of the states
else:
for i in self.states:
if i in self.x_noisy:
ic_con = getattr(self.lsmhe, i + "_icc")
for k in self.x_vars[i]:
ic_con[k].deactivate()
#: Put the noise in the continuation equations (finite-element)
j = 0
self.lsmhe.noisy_cont = ConstraintList()
for i in self.x_noisy:
# cp_con = getattr(self.lsmhe, "cp_" + i)
cp_exp = getattr(self.lsmhe, "noisy_" + i)
# self.lsmhe.del_component(cp_con)
for k in self.x_vars[i]: #: This should keep the same order
for t in range(1, self.nfe_t):
self.lsmhe.noisy_cont.add(cp_exp[t, k] == 0.0)
# self.lsmhe.noisy_cont.add(cp_exp[t, k] == 0.0)
j += 1
# cp_con.reconstruct()
j = 0
self.lsmhe.noisy_cont.deactivate()
#: Expressions for the objective function (least-squares)
self.lsmhe.Q_e_mhe = 0.0 if self.IgnoreProcessNoise else Expression(
expr=0.5 * sum(
sum(
sum(self.lsmhe.Q_mhe[1, k] * self.lsmhe.wk_mhe[i, j, k]**2 for k in self.lsmhe.xkNk_mhe) for j in range(1, self.ncp_t +1))
for i in range(1, self.nfe_t+1))) if self.diag_Q_R else Expression(
expr=sum(sum(self.lsmhe.wk_mhe[i, j] *
sum(self.lsmhe.Q_mhe[i, j, k] * self.lsmhe.wk_mhe[i, 1, k] for k in self.lsmhe.xkNk_mhe)
for j in self.lsmhe.xkNk_mhe) for i in range(1, self.nfe_t)))
self.lsmhe.R_e_mhe = Expression(
expr=0.5 * sum(
sum(
self.lsmhe.R_mhe[i, k] * self.lsmhe.nuk_mhe[i, k]**2 for k in self.lsmhe.ykk_mhe)
for i in self.lsmhe.fe_t)) if self.diag_Q_R else Expression(
expr=sum(sum(self.lsmhe.nuk_mhe[i, j] *
sum(self.lsmhe.R_mhe[i, j, k] * self.lsmhe.nuk_mhe[i, k] for k in self.lsmhe.ykk_mhe)
for j in self.lsmhe.ykk_mhe) for i in self.lsmhe.fe_t))
expr_u_obf = 0
for i in self.lsmhe.fe_t:
for u in self.u:
var_w = getattr(self.lsmhe, "w_" + u + "_mhe") #: Get the constraint-noisy
expr_u_obf += self.lsmhe.U_mhe[i, u] * var_w[i] ** 2
self.lsmhe.U_e_mhe = Expression(expr=0.5 * expr_u_obf) # how about this
# with open("file_cv.txt", "a") as f:
# self.lsmhe.U_e_mhe.pprint(ostream=f)
# f.close()
self.lsmhe.Arrival_e_mhe = Expression(
expr=0.5 * sum((self.xkN_l[j] - self.lsmhe.x_0_mhe[j]) *
sum(self.lsmhe.PikN_mhe[j, k] * (self.xkN_l[k] - self.lsmhe.x_0_mhe[k]) for k in self.lsmhe.xkNk_mhe)
for j in self.lsmhe.xkNk_mhe))
self.lsmhe.Arrival_dummy_e_mhe = Expression(
expr=100000.0 * sum((self.xkN_l[j] - self.lsmhe.x_0_mhe[j]) ** 2 for j in self.lsmhe.xkNk_mhe))
self.lsmhe.obfun_dum_mhe_deb = Objective(sense=minimize,
expr=self.lsmhe.Q_e_mhe)
self.lsmhe.obfun_dum_mhe = Objective(sense=minimize,
expr=self.lsmhe.R_e_mhe + self.lsmhe.Q_e_mhe + self.lsmhe.U_e_mhe) # no arrival
self.lsmhe.obfun_dum_mhe.deactivate()
self.lsmhe.obfun_mhe_first = Objective(sense=minimize,
expr=self.lsmhe.Arrival_dummy_e_mhe + self.lsmhe.Q_e_mhe)
self.lsmhe.obfun_mhe_first.deactivate()
self.lsmhe.obfun_mhe = Objective(sense=minimize,
expr=self.lsmhe.Arrival_dummy_e_mhe + self.lsmhe.R_e_mhe + self.lsmhe.Q_e_mhe + self.lsmhe.U_e_mhe)
self.lsmhe.obfun_mhe.deactivate()
# with open("file_cv.txt", "a") as f:
# self.lsmhe.obfun_mhe.pprint(ostream=f)
# f.close()
self._PI = {} #: Container of the KKT matrix
self.xreal_W = {}
self.curr_m_noise = {} #: Current measurement noise
self.curr_y_offset = {} #: Current offset of measurement
for y in self.y:
for j in self.y_vars[y]:
self.curr_m_noise[(y, j)] = 0.0
self.curr_y_offset[(y, j)] = 0.0
self.s_estimate = {}
self.s_real = {}
for x in self.x_noisy:
self.s_estimate[x] = []
self.s_real[x] = []
self.y_estimate = {}
self.y_real = {}
self.y_noise_jrnl = {}
self.yk0_jrnl = {}
for y in self.y:
self.y_estimate[y] = []
self.y_real[y] = []
self.y_noise_jrnl[y] = []
self.yk0_jrnl[y] = []
def _add_optimality_conditions(self, instance, submodel):
"""
Add optimality conditions for the submodel
This assumes that the original model has the form:
min c1*x + d1*y
A3*x <= b3
A1*x + B1*y <= b1
min c2*x + d2*y + x'*Q*y
A2*x + B2*y + x'*E2*y <= b2
y >= 0
NOTE THE VARIABLE BOUNDS!
"""
#
# Populate the block with the linear constraints.
# Note that we don't simply clone the current block.
# We need to collect a single set of equations that
# can be easily expressed.
#
d2 = {}
B2 = {}
vtmp = {}
utmp = {}
sids_set = set()
sids_list = []
#
block = Block(concrete=True)
block.u = VarList()
block.v = VarList()
block.c1 = ConstraintList()
block.c2 = ComplementarityList()
block.c3 = ComplementarityList()
#
# Collect submodel objective terms
#
# TODO: detect fixed variables
#
for odata in submodel.component_data_objects(Objective, active=True):
if odata.sense == maximize:
d_sense = -1
else:
d_sense = 1
#
# Iterate through the variables in the representation
#
o_terms = generate_standard_repn(odata.expr, compute_values=False)
#
# Linear terms
#
for i, var in enumerate(o_terms.linear_vars):
if var.parent_component().local_name in self._fixed_upper_vars:
#
# Skip fixed upper variables
#
continue
#
# Store the coefficient for the variable. The coefficient is
# negated if the objective is maximized.
#
id_ = id(var)
d2[id_] = d_sense * o_terms.linear_coefs[i]
if not id_ in sids_set:
sids_set.add(id_)
sids_list.append(id_)
#
# Quadratic terms
#
for i, var in enumerate(o_terms.quadratic_vars):
if var[0].parent_component(
).local_name in self._fixed_upper_vars:
if var[1].parent_component(
).local_name in self._fixed_upper_vars:
#
# Skip fixed upper variables
#
continue
#
# Add the linear term
#
id_ = id(var[1])
d2[id_] = d2.get(
id_, 0) + d_sense * o_terms.quadratic_coefs[i] * var[0]
if not id_ in sids_set:
sids_set.add(id_)
sids_list.append(id_)
elif var[1].parent_component(
).local_name in self._fixed_upper_vars:
#
# Add the linear term
#
id_ = id(var[0])
d2[id_] = d2.get(
id_, 0) + d_sense * o_terms.quadratic_coefs[i] * var[1]
if not id_ in sids_set:
sids_set.add(id_)
sids_list.append(id_)
else:
raise RuntimeError(
"Cannot apply this transformation to a problem with quadratic terms where both variables are in the lower level."
)
#
# Stop after the first objective
#
break
#
# Iterate through all lower level variables, adding dual variables
# and complementarity slackness conditions for y bound constraints
#
for vcomponent in instance.component_objects(Var, active=True):
if vcomponent.local_name in self._fixed_upper_vars:
#
# Skip fixed upper variables
#
continue
for ndx in vcomponent:
#
# For each index, get the bounds for the variable
#
lb, ub = vcomponent[ndx].bounds
if not lb is None:
#
# Add the complementarity slackness condition for a lower bound
#
v = block.v.add()
block.c3.add(complements(vcomponent[ndx] >= lb, v >= 0))
else:
v = None
if not ub is None:
#
# Add the complementarity slackness condition for an upper bound
#
w = block.v.add()
vtmp[id(vcomponent[ndx])] = w
block.c3.add(complements(vcomponent[ndx] <= ub, w >= 0))
else:
w = None
if not (v is None and w is None):
#
# Record the variables for which complementarity slackness conditions
# were created.
#
id_ = id(vcomponent[ndx])
vtmp[id_] = (v, w)
if not id_ in sids_set:
sids_set.add(id_)
sids_list.append(id_)
#
# Iterate through all constraints, adding dual variables and
# complementary slackness conditions (for inequality constraints)
#
for cdata in submodel.component_data_objects(Constraint, active=True):
if cdata.equality:
# Don't add a complementary slackness condition for an equality constraint
u = block.u.add()
utmp[id(cdata)] = (None, u)
else:
if not cdata.lower is None:
#
# Add the complementarity slackness condition for a greater-than inequality
#
u = block.u.add()
block.c2.add(
complements(-cdata.body <= -cdata.lower, u >= 0))
else:
u = None
if not cdata.upper is None:
#
# Add the complementarity slackness condition for a less-than inequality
#
w = block.u.add()
block.c2.add(complements(cdata.body <= cdata.upper,
w >= 0))
else:
w = None
if not (u is None and w is None):
utmp[id(cdata)] = (u, w)
#
# Store the coefficients for the contraint variables that are not fixed
#
c_terms = generate_standard_repn(cdata.body, compute_values=False)
#
# Linear terms
#
for i, var in enumerate(c_terms.linear_vars):
if var.parent_component().local_name in self._fixed_upper_vars:
continue
id_ = id(var)
B2.setdefault(id_, {}).setdefault(id(cdata),
c_terms.linear_coefs[i])
if not id_ in sids_set:
sids_set.add(id_)
sids_list.append(id_)
#
# Quadratic terms
#
for i, var in enumerate(c_terms.quadratic_vars):
if var[0].parent_component(
).local_name in self._fixed_upper_vars:
if var[1].parent_component(
).local_name in self._fixed_upper_vars:
continue
id_ = id(var[1])
if id_ in B2:
B2[id_][id(
cdata)] = c_terms.quadratic_coefs[i] * var[0]
else:
B2.setdefault(id_, {}).setdefault(
id(cdata), c_terms.quadratic_coefs[i] * var[0])
if not id_ in sids_set:
sids_set.add(id_)
sids_list.append(id_)
elif var[1].parent_component(
).local_name in self._fixed_upper_vars:
id_ = id(var[0])
if id_ in B2:
B2[id_][id(
cdata)] = c_terms.quadratic_coefs[i] * var[1]
else:
B2.setdefault(id_, {}).setdefault(
id(cdata), c_terms.quadratic_coefs[i] * var[1])
if not id_ in sids_set:
sids_set.add(id_)
sids_list.append(id_)
else:
raise RuntimeError(
"Cannot apply this transformation to a problem with quadratic terms where both variables are in the lower level."
)
#
# Generate stationarity equations
#
tmp__ = (None, None)
for vid in sids_list:
exp = d2.get(vid, 0)
#
lb_dual, ub_dual = vtmp.get(vid, tmp__)
if vid in vtmp:
if not lb_dual is None:
exp -= lb_dual # dual for variable lower bound
if not ub_dual is None:
exp += ub_dual # dual for variable upper bound
#
B2_ = B2.get(vid, {})
utmp_keys = list(utmp.keys())
if self._deterministic:
utmp_keys.sort(key=lambda x: utmp[x][0].local_name if utmp[x][
1] is None else utmp[x][1].local_name)
for uid in utmp_keys:
if uid in B2_:
lb_dual, ub_dual = utmp[uid]
if not lb_dual is None:
exp -= B2_[uid] * lb_dual
if not ub_dual is None:
exp += B2_[uid] * ub_dual
if type(exp) in six.integer_types or type(exp) is float:
# TODO: Annotate the model as unbounded
raise IOError("Unbounded variable without side constraints")
else:
block.c1.add(exp == 0)
#
# Return block
#
return block
def _apply_to(self, instance, **kwds):
if __debug__ and logger.isEnabledFor(logging.DEBUG): #pragma:nocover
logger.debug("Calling ConnectorExpander")
connectorsFound = False
for c in instance.component_data_objects(Connector):
connectorsFound = True
break
if not connectorsFound:
return
if __debug__ and logger.isEnabledFor(logging.DEBUG): #pragma:nocover
logger.debug(" Connectors found!")
self._name_buffer = {}
#
# At this point, there are connectors in the model, so we must
# look for constraints that involve connectors and expand them.
#
# List of the connectors in the order in which we found them
# (this should be deterministic, provided that the user's model
# is deterministic)
connector_list = []
# list of constraints with connectors: tuple(constraint, connector_set)
# (this should be deterministic, provided that the user's model
# is deterministic)
constraint_list = []
# ID of the next connector group (set of matched connectors)
groupID = 0
# connector_groups stars out as a dict of {id(set): (groupID, set)}
# If you sort by the groupID, then this will be deterministic.
connector_groups = dict()
# map of connector to the set of connectors that must match it
matched_connectors = ComponentMap()
# The set of connectors found in the current constraint
found = ComponentSet()
connector_types = set([SimpleConnector, _ConnectorData])
for constraint in instance.component_data_objects(
Constraint, sort=SortComponents.deterministic):
ref = None
for c in EXPR.identify_components(constraint.body, connector_types):
found.add(c)
if c in matched_connectors:
if ref is None:
# The first connector in this constraint has
# already been seen. We will use that Set as
# the reference
ref = matched_connectors[c]
elif ref is not matched_connectors[c]:
# We already have a reference group; merge this
# new group into it.
#
# Optimization: this merge is linear in the size
# of the src set. If the reference set is
# smaller, save time by switching to a new
# reference set.
src = matched_connectors[c]
if len(ref) < len(src):
ref, src = src, ref
ref.update(src)
for _ in src:
matched_connectors[_] = ref
del connector_groups[id(src)]
# else: pass
# The new group *is* the reference group;
# there is nothing to do.
else:
# The connector has not been seen before.
connector_list.append(c)
if ref is None:
# This is the first connector in the constraint:
# start a new reference set.
ref = ComponentSet()
connector_groups[id(ref)] = (groupID, ref)
groupID += 1
# This connector hasn't been seen. Record it.
ref.add(c)
matched_connectors[c] = ref
if ref is not None:
constraint_list.append((constraint, found))
found = ComponentSet()
# Validate all connector sets and expand the empty ones
known_conn_sets = {}
for groupID, conn_set in sorted(itervalues(connector_groups)):
known_conn_sets[id(conn_set)] \
= self._validate_and_expand_connector_set(conn_set)
# Expand each constraint
for constraint, conn_set in constraint_list:
cList = ConstraintList()
constraint.parent_block().add_component(
'%s.expanded' % ( constraint.getname(
fully_qualified=False, name_buffer=self._name_buffer), ),
cList )
connId = next(iter(conn_set))
ref = known_conn_sets[id(matched_connectors[connId])]
for k,v in sorted(iteritems(ref)):
if v[1] >= 0:
_iter = v[0]
else:
_iter = (v[0],)
for idx in _iter:
substitution = {}
for c in conn_set:
if v[1] >= 0:
new_v = c.vars[k][idx]
elif k in c.aggregators:
new_v = c.vars[k].add()
else:
new_v = c.vars[k]
substitution[id(c)] = new_v
cList.add((
constraint.lower,
EXPR.clone_expression( constraint.body, substitution ),
constraint.upper ))
constraint.deactivate()
# Now, go back and implement VarList aggregators
for conn in connector_list:
block = conn.parent_block()
for var, aggregator in iteritems(conn.aggregators):
c = Constraint(expr=aggregator(block, conn.vars[var]))
block.add_component(
'%s.%s.aggregate' % (
conn.getname(
fully_qualified=True,
name_buffer=self._name_buffer),
var), c )
def minimize_dr_vars(model_data, config):
"""
Decision rule polishing: For a given optimal design (x) determined in separation,
and the optimal value for control vars (z), choose min magnitude decision_rule_var
values.
"""
#config.progress_logger.info("Executing decision rule variable polishing solve.")
model = model_data.master_model
polishing_model = model.clone()
first_stage_variables = polishing_model.scenarios[
0, 0].util.first_stage_variables
decision_rule_vars = polishing_model.scenarios[0,
0].util.decision_rule_vars
polishing_model.obj.deactivate()
index_set = decision_rule_vars[0].index_set()
polishing_model.tau_vars = []
# ==========
for idx in range(len(decision_rule_vars)):
polishing_model.scenarios[0, 0].add_component(
"polishing_var_" + str(idx),
Var(index_set, initialize=1e6, domain=NonNegativeReals))
polishing_model.tau_vars.append(
getattr(polishing_model.scenarios[0, 0],
"polishing_var_" + str(idx)))
# ==========
this_iter = polishing_model.scenarios[
max(polishing_model.scenarios.keys())[0], 0]
nom_block = polishing_model.scenarios[0, 0]
if config.objective_focus == ObjectiveType.nominal:
obj_val = value(this_iter.second_stage_objective +
this_iter.first_stage_objective)
polishing_model.scenarios[0,0].polishing_constraint = \
Constraint(expr=obj_val >= nom_block.second_stage_objective + nom_block.first_stage_objective)
elif config.objective_focus == ObjectiveType.worst_case:
polishing_model.zeta.fix(
) # Searching equivalent optimal solutions given optimal zeta
# === Make absolute value constraints on polishing_vars
polishing_model.scenarios[
0, 0].util.absolute_var_constraints = cons = ConstraintList()
uncertain_params = nom_block.util.uncertain_params
if config.decision_rule_order == 1:
for i, tau in enumerate(polishing_model.tau_vars):
for j in range(len(this_iter.util.decision_rule_vars[i])):
if j == 0:
cons.add(
-tau[j] <= this_iter.util.decision_rule_vars[i][j])
cons.add(this_iter.util.decision_rule_vars[i][j] <= tau[j])
else:
cons.add(
-tau[j] <= this_iter.util.decision_rule_vars[i][j] *
uncertain_params[j - 1])
cons.add(this_iter.util.decision_rule_vars[i][j] *
uncertain_params[j - 1] <= tau[j])
elif config.decision_rule_order == 2:
l = list(range(len(uncertain_params)))
index_pairs = list(it.combinations(l, 2))
for i, tau in enumerate(polishing_model.tau_vars):
Z = this_iter.util.decision_rule_vars[i]
indices = list(k for k in range(len(Z)))
for r in indices:
if r == 0:
cons.add(-tau[r] <= Z[r])
cons.add(Z[r] <= tau[r])
elif r <= len(uncertain_params) and r > 0:
cons.add(-tau[r] <= Z[r] * uncertain_params[r - 1])
cons.add(Z[r] * uncertain_params[r - 1] <= tau[r])
elif r <= len(indices) - len(uncertain_params) - 1 and r > len(
uncertain_params):
cons.add(-tau[r] <= Z[r] * uncertain_params[index_pairs[
r - len(uncertain_params) - 1][0]] * uncertain_params[
index_pairs[r - len(uncertain_params) - 1][1]])
cons.add(Z[r] * uncertain_params[index_pairs[
r - len(uncertain_params) - 1][0]] *
uncertain_params[index_pairs[
r - len(uncertain_params) - 1][1]] <= tau[r])
elif r > len(indices) - len(uncertain_params) - 1:
cons.add(-tau[r] <= Z[r] *
uncertain_params[r - len(index_pairs) -
len(uncertain_params) - 1]**2)
cons.add(Z[r] * uncertain_params[r - len(index_pairs) -
len(uncertain_params) -
1]**2 <= tau[r])
else:
raise NotImplementedError(
"Decision rule variable polishing has not been generalized to decision_rule_order "
+ str(config.decision_rule_order) + ".")
polishing_model.scenarios[0,0].polishing_obj = \
Objective(expr=sum(sum(tau[j] for j in tau.index_set()) for tau in polishing_model.tau_vars))
# === Fix design
for d in first_stage_variables:
d.fix()
# === Unfix DR vars
num_dr_vars = len(model.scenarios[
0, 0].util.decision_rule_vars[0]) # there is at least one dr var
num_uncertain_params = len(config.uncertain_params)
if model.const_efficiency_applied:
for d in decision_rule_vars:
for i in range(1, num_dr_vars):
d[i].fix(0)
d[0].unfix()
elif model.linear_efficiency_applied:
for d in decision_rule_vars:
d.unfix()
for i in range(num_uncertain_params + 1, num_dr_vars):
d[i].fix(0)
else:
for d in decision_rule_vars:
d.unfix()
# === Unfix all control var values
for block in polishing_model.scenarios.values():
for c in block.util.second_stage_variables:
c.unfix()
if model.const_efficiency_applied:
for d in block.util.decision_rule_vars:
for i in range(1, num_dr_vars):
d[i].fix(0)
d[0].unfix()
elif model.linear_efficiency_applied:
for d in block.util.decision_rule_vars:
d.unfix()
for i in range(num_uncertain_params + 1, num_dr_vars):
d[i].fix(0)
else:
for d in block.util.decision_rule_vars:
d.unfix()
# === Solve the polishing model
polish_soln = MasterResult()
solver = config.global_solver
if not solver.available():
raise RuntimeError("NLP solver %s is not available." % config.solver)
try:
results = solver.solve(polishing_model, tee=config.tee)
polish_soln.termination_condition = results.solver.termination_condition
except ValueError as err:
polish_soln.pyros_termination_condition = pyrosTerminationCondition.subsolver_error
polish_soln.termination_condition = tc.error
raise
polish_soln.fsv_values = list(
v.value
for v in polishing_model.scenarios[0, 0].util.first_stage_variables)
polish_soln.ssv_values = list(
v.value
for v in polishing_model.scenarios[0, 0].util.second_stage_variables)
polish_soln.first_stage_objective = value(nom_block.first_stage_objective)
polish_soln.second_stage_objective = value(
nom_block.second_stage_objective)
# === Process solution by termination condition
acceptable = [tc.optimal, tc.locallyOptimal, tc.feasible]
if polish_soln.termination_condition not in acceptable:
return results
for i, d in enumerate(
model_data.master_model.scenarios[0, 0].util.decision_rule_vars):
for index in d:
d[index].set_value(polishing_model.scenarios[
0, 0].util.decision_rule_vars[i][index].value,
skip_validation=True)
return results
def solve(self, model, **kwds):
"""Solve the model.
Warning: this solver is still in beta. Keyword arguments subject to
change. Undocumented keyword arguments definitely subject to change.
This function performs all of the GDPopt solver setup and problem
validation. It then calls upon helper functions to construct the
initial master approximation and iteration loop.
Args:
model (Block): a Pyomo model or block to be solved
"""
config = self.CONFIG(kwds.pop('options', {}))
config.set_value(kwds)
solve_data = GDPoptSolveData()
created_GDPopt_block = False
old_logger_level = config.logger.getEffectiveLevel()
try:
if config.tee and old_logger_level > logging.INFO:
# If the logger does not already include INFO, include it.
config.logger.setLevel(logging.INFO)
config.logger.info("---Starting GDPopt---")
# Create a model block on which to store GDPopt-specific utility
# modeling objects.
if hasattr(model, 'GDPopt_utils'):
raise RuntimeError(
"GDPopt needs to create a Block named GDPopt_utils "
"on the model object, but an attribute with that name "
"already exists.")
else:
created_GDPopt_block = True
model.GDPopt_utils = Block(
doc="Container for GDPopt solver utility modeling objects")
solve_data.original_model = model
solve_data.working_model = clone_orig_model_with_lists(model)
GDPopt = solve_data.working_model.GDPopt_utils
record_original_model_statistics(solve_data, config)
solve_data.current_strategy = config.strategy
# Reformulate integer variables to binary
reformulate_integer_variables(solve_data.working_model, config)
# Save ordered lists of main modeling components, so that data can
# be easily transferred between future model clones.
build_ordered_component_lists(solve_data.working_model)
record_working_model_statistics(solve_data, config)
solve_data.results.solver.name = 'GDPopt ' + str(self.version())
# Save model initial values. These are used later to initialize NLP
# subproblems.
solve_data.initial_var_values = list(
v.value for v in GDPopt.working_var_list)
# Store the initial model state as the best solution found. If we
# find no better solution, then we will restore from this copy.
solve_data.best_solution_found = solve_data.initial_var_values
# Validate the model to ensure that GDPopt is able to solve it.
if not model_is_valid(solve_data, config):
return
# Maps in order to keep track of certain generated constraints
GDPopt.oa_cut_map = ComponentMap()
# Integer cuts exclude particular discrete decisions
GDPopt.integer_cuts = ConstraintList(doc='integer cuts')
# Feasible integer cuts exclude discrete realizations that have
# been explored via an NLP subproblem. Depending on model
# characteristics, the user may wish to revisit NLP subproblems
# (with a different initialization, for example). Therefore, these
# cuts are not enabled by default, unless the initial model has no
# discrete decisions.
# Note: these cuts will only exclude integer realizations that are
# not already in the primary GDPopt_integer_cuts ConstraintList.
GDPopt.no_backtracking = ConstraintList(
doc='explored integer cuts')
# Set up iteration counters
solve_data.master_iteration = 0
solve_data.mip_iteration = 0
solve_data.nlp_iteration = 0
# set up bounds
solve_data.LB = float('-inf')
solve_data.UB = float('inf')
solve_data.iteration_log = {}
# Flag indicating whether the solution improved in the past
# iteration or not
solve_data.feasible_solution_improved = False
# Initialize the master problem
GDPopt_initialize_master(solve_data, config)
# Algorithm main loop
GDPopt_iteration_loop(solve_data, config)
# Update values in working model
copy_var_list_values(
from_list=solve_data.best_solution_found,
to_list=GDPopt.working_var_list,
config=config)
GDPopt.objective_value.set_value(
value(solve_data.working_objective_expr, exception=False))
# Update values in original model
copy_var_list_values(
GDPopt.orig_var_list,
solve_data.original_model.GDPopt_utils.orig_var_list,
config)
solve_data.results.problem.lower_bound = solve_data.LB
solve_data.results.problem.upper_bound = solve_data.UB
finally:
config.logger.setLevel(old_logger_level)
if created_GDPopt_block:
model.del_component('GDPopt_utils')
def _discretize_bilinear(self, b, v, v_idx, u, u_idx):
_z = b.z
_dv = b.dv[v_idx]
_u = Var(b.DISCRETIZATION, within=u.domain, bounds=u.bounds)
logger.info("Discretizing (v=%s)*(u=%s) as u%s_v%s" % (
v.cname(True), u.cname(True), u_idx, v_idx ))
b.add_component( "u%s_v%s" % (u_idx, v_idx), _u)
_lb, _ub = u.bounds
if _lb is None or _ub is None:
raise RuntimeError("Couldn't relax variable %s: missing "
"finite lower/upper bounds." % (u.cname(True)))
_c = ConstraintList()
b.add_component( "c_disaggregate_u%s_v%s" % (u_idx, v_idx), _c )
for k in b.DISCRETIZATION:
# _lb * z[v_idx,k] <= _u[k] <= _ub * z[v_idx,k]
_c.add(expr= _lb*_z[v_idx,k] <= _u[k] )
_c.add(expr= _u[k] <= _ub*_z[v_idx,k] )
# _lb * (1-z[v_idx,k]) <= u - _u[k] <= _ub * (1-z[v_idx,k])
_c.add(expr= _lb * (1-_z[v_idx,k]) <= u - _u[k] )
_c.add(expr= u - _u[k] <= _ub * (1-_z[v_idx,k]))
_v_lb, _v_ub = v.bounds
_bnd_rng = (_v_lb*_lb, _v_lb*_ub, _v_ub*_lb, _v_ub*_ub)
_w = Var(bounds=(min(_bnd_rng), max(_bnd_rng)))
b.add_component( "w%s_v%s" % (u_idx, v_idx), _w)
K = max(b.DISCRETIZATION)
_dw = Var(bounds=( min(0, _lb*2**-K, _ub*2**-K),
max(0, _lb*2**-K, _ub*2**-K) ))
b.add_component( "dw%s_v%s" % (u_idx, v_idx), _dw)
_c = Constraint(expr= _w == _v_lb*u + (_v_ub-_v_lb) * (
sum(2**-k * _u[k] for k in b.DISCRETIZATION) + _dw ) )
b.add_component( "c_bilinear_u%s_v%s" % (u_idx, v_idx), _c )
_c = ConstraintList()
b.add_component( "c_mccormick_u%s_v%s" % (u_idx, v_idx), _c )
# u_lb * dv <= dw <= u_ub * dv
_c.add(expr= _lb*_dv <= _dw )
_c.add(expr= _dw <= _ub*_dv )
# (u-u_ub)*2^-K + u_ub*dv <= dw <= (u-u_lb)*2^-K + u_lb*dv
_c.add(expr= (u - _ub)*2**-K + _ub*_dv <= _dw )
_c.add(expr= _dw <= (u - _lb)*2**-K + _lb*_dv )
return _w
def _apply_to(self, instance, **kwds):
if __debug__ and logger.isEnabledFor(logging.DEBUG): #pragma:nocover
logger.debug("Calling ConnectorExpander")
connectorsFound = False
for c in instance.component_data_objects(Connector):
connectorsFound = True
break
if not connectorsFound:
return
if __debug__ and logger.isEnabledFor(logging.DEBUG): #pragma:nocover
logger.debug(" Connectors found!")
self._name_buffer = {}
#
# At this point, there are connectors in the model, so we must
# look for constraints that involve connectors and expand them.
#
# List of the connectors in the order in which we found them
# (this should be deterministic, provided that the user's model
# is deterministic)
connector_list = []
# list of constraints with connectors: tuple(constraint, connector_set)
# (this should be deterministic, provided that the user's model
# is deterministic)
constraint_list = []
# ID of the next connector group (set of matched connectors)
groupID = 0
# connector_groups stars out as a dict of {id(set): (groupID, set)}
# If you sort by the groupID, then this will be deterministic.
connector_groups = dict()
# map of connector to the set of connectors that must match it
matched_connectors = ComponentMap()
# The set of connectors found in the current constraint
found = ComponentSet()
connector_types = set([SimpleConnector, _ConnectorData])
for constraint in instance.component_data_objects(
Constraint, sort=SortComponents.deterministic):
ref = None
for c in EXPR.identify_components(constraint.body,
connector_types):
found.add(c)
if c in matched_connectors:
if ref is None:
# The first connector in this constraint has
# already been seen. We will use that Set as
# the reference
ref = matched_connectors[c]
elif ref is not matched_connectors[c]:
# We already have a reference group; merge this
# new group into it.
#
# Optimization: this merge is linear in the size
# of the src set. If the reference set is
# smaller, save time by switching to a new
# reference set.
src = matched_connectors[c]
if len(ref) < len(src):
ref, src = src, ref
ref.update(src)
for _ in src:
matched_connectors[_] = ref
del connector_groups[id(src)]
# else: pass
# The new group *is* the reference group;
# there is nothing to do.
else:
# The connector has not been seen before.
connector_list.append(c)
if ref is None:
# This is the first connector in the constraint:
# start a new reference set.
ref = ComponentSet()
connector_groups[id(ref)] = (groupID, ref)
groupID += 1
# This connector hasn't been seen. Record it.
ref.add(c)
matched_connectors[c] = ref
if ref is not None:
constraint_list.append((constraint, found))
found = ComponentSet()
# Validate all connector sets and expand the empty ones
known_conn_sets = {}
for groupID, conn_set in sorted(itervalues(connector_groups)):
known_conn_sets[id(conn_set)] \
= self._validate_and_expand_connector_set(conn_set)
# Expand each constraint
for constraint, conn_set in constraint_list:
cList = ConstraintList()
constraint.parent_block().add_component(
'%s.expanded' % (constraint.getname(
fully_qualified=False, name_buffer=self._name_buffer), ),
cList)
connId = next(iter(conn_set))
ref = known_conn_sets[id(matched_connectors[connId])]
for k, v in sorted(iteritems(ref)):
if v[1] >= 0:
_iter = v[0]
else:
_iter = (v[0], )
for idx in _iter:
substitution = {}
for c in conn_set:
if v[1] >= 0:
new_v = c.vars[k][idx]
elif k in c.aggregators:
new_v = c.vars[k].add()
else:
new_v = c.vars[k]
substitution[id(c)] = new_v
cList.add((constraint.lower,
EXPR.clone_expression(constraint.body,
substitution),
constraint.upper))
constraint.deactivate()
# Now, go back and implement VarList aggregators
for conn in connector_list:
block = conn.parent_block()
for var, aggregator in iteritems(conn.aggregators):
c = Constraint(expr=aggregator(block, conn.vars[var]))
block.add_component(
'%s.%s.aggregate' %
(conn.getname(fully_qualified=True,
name_buffer=self._name_buffer), var), c)
def solve(self, model, **kwds):
"""Solve the model.
Warning: this solver is still in beta. Keyword arguments subject to
change. Undocumented keyword arguments definitely subject to change.
This function performs all of the GDPopt solver setup and problem
validation. It then calls upon helper functions to construct the
initial master approximation and iteration loop.
Args:
model (Block): a Pyomo model or block to be solved
"""
config = self.CONFIG(kwds.pop('options', {}))
config.set_value(kwds)
solve_data = GDPoptSolveData()
solve_data.results = SolverResults()
solve_data.timing = Container()
old_logger_level = config.logger.getEffectiveLevel()
with time_code(solve_data.timing, 'total'), \
restore_logger_level(config.logger), \
create_utility_block(model, 'GDPopt_utils', solve_data):
if config.tee and old_logger_level > logging.INFO:
# If the logger does not already include INFO, include it.
config.logger.setLevel(logging.INFO)
config.logger.info(
"Starting GDPopt version %s using %s algorithm"
% (".".join(map(str, self.version())), config.strategy)
)
config.logger.info(
"""
If you use this software, you may cite the following:
- Implementation:
Chen, Q; Johnson, ES; Siirola, JD; Grossmann, IE.
Pyomo.GDP: Disjunctive Models in Python.
Proc. of the 13th Intl. Symposium on Process Systems Eng.
San Diego, 2018.
- LOA algorithm:
Türkay, M; Grossmann, IE.
Logic-based MINLP algorithms for the optimal synthesis of process networks.
Comp. and Chem. Eng. 1996, 20(8), 959–978.
DOI: 10.1016/0098-1354(95)00219-7.
- GLOA algorithm:
Lee, S; Grossmann, IE.
A Global Optimization Algorithm for Nonconvex Generalized Disjunctive Programming and Applications to Process Systems
Comp. and Chem. Eng. 2001, 25, 1675-1697.
DOI: 10.1016/S0098-1354(01)00732-3
""".strip()
)
solve_data.results.solver.name = 'GDPopt %s - %s' % (
str(self.version()), config.strategy)
solve_data.original_model = model
solve_data.working_model = model.clone()
GDPopt = solve_data.working_model.GDPopt_utils
setup_results_object(solve_data, config)
solve_data.current_strategy = config.strategy
# Verify that objective has correct form
process_objective(solve_data, config)
# Save model initial values. These are used later to initialize NLP
# subproblems.
solve_data.initial_var_values = list(
v.value for v in GDPopt.variable_list)
solve_data.best_solution_found = None
# Validate the model to ensure that GDPopt is able to solve it.
if not model_is_valid(solve_data, config):
return
# Integer cuts exclude particular discrete decisions
GDPopt.integer_cuts = ConstraintList(doc='integer cuts')
# Feasible integer cuts exclude discrete realizations that have
# been explored via an NLP subproblem. Depending on model
# characteristics, the user may wish to revisit NLP subproblems
# (with a different initialization, for example). Therefore, these
# cuts are not enabled by default, unless the initial model has no
# discrete decisions.
# Note: these cuts will only exclude integer realizations that are
# not already in the primary GDPopt_integer_cuts ConstraintList.
GDPopt.no_backtracking = ConstraintList(
doc='explored integer cuts')
# Set up iteration counters
solve_data.master_iteration = 0
solve_data.mip_iteration = 0
solve_data.nlp_iteration = 0
# set up bounds
solve_data.LB = float('-inf')
solve_data.UB = float('inf')
solve_data.iteration_log = {}
# Flag indicating whether the solution improved in the past
# iteration or not
solve_data.feasible_solution_improved = False
# Initialize the master problem
with time_code(solve_data.timing, 'initialization'):
GDPopt_initialize_master(solve_data, config)
# Algorithm main loop
with time_code(solve_data.timing, 'main loop'):
GDPopt_iteration_loop(solve_data, config)
if solve_data.best_solution_found is not None:
# Update values in working model
copy_var_list_values(
from_list=solve_data.best_solution_found.GDPopt_utils.variable_list,
to_list=GDPopt.variable_list,
config=config)
# Update values in original model
copy_var_list_values(
GDPopt.variable_list,
solve_data.original_model.GDPopt_utils.variable_list,
config)
solve_data.results.problem.lower_bound = solve_data.LB
solve_data.results.problem.upper_bound = solve_data.UB
solve_data.results.solver.timing = solve_data.timing
solve_data.results.solver.user_time = solve_data.timing.total
solve_data.results.solver.wallclock_time = solve_data.timing.total
solve_data.results.solver.iterations = solve_data.master_iteration
return solve_data.results
def _discretize_bilinear(self, b, v, v_idx, u, u_idx):
_z = b.z
_dv = b.dv[v_idx]
_u = Var(b.DISCRETIZATION, within=u.domain, bounds=u.bounds)
logger.info("Discretizing (v=%s)*(u=%s) as u%s_v%s" %
(v.name, u.name, u_idx, v_idx))
b.add_component("u%s_v%s" % (u_idx, v_idx), _u)
_lb, _ub = u.bounds
if _lb is None or _ub is None:
raise RuntimeError("Couldn't relax variable %s: missing "
"finite lower/upper bounds." % (u.name))
_c = ConstraintList()
b.add_component("c_disaggregate_u%s_v%s" % (u_idx, v_idx), _c)
for k in b.DISCRETIZATION:
# _lb * z[v_idx,k] <= _u[k] <= _ub * z[v_idx,k]
_c.add(expr=_lb * _z[v_idx, k] <= _u[k])
_c.add(expr=_u[k] <= _ub * _z[v_idx, k])
# _lb * (1-z[v_idx,k]) <= u - _u[k] <= _ub * (1-z[v_idx,k])
_c.add(expr=_lb * (1 - _z[v_idx, k]) <= u - _u[k])
_c.add(expr=u - _u[k] <= _ub * (1 - _z[v_idx, k]))
_v_lb, _v_ub = v.bounds
_bnd_rng = (_v_lb * _lb, _v_lb * _ub, _v_ub * _lb, _v_ub * _ub)
_w = Var(bounds=(min(_bnd_rng), max(_bnd_rng)))
b.add_component("w%s_v%s" % (u_idx, v_idx), _w)
K = max(b.DISCRETIZATION)
_dw = Var(bounds=(min(0, _lb * 2**-K, _ub * 2**-K),
max(0, _lb * 2**-K, _ub * 2**-K)))
b.add_component("dw%s_v%s" % (u_idx, v_idx), _dw)
_c = Constraint(expr=_w == _v_lb * u + (_v_ub - _v_lb) *
(sum(2**-k * _u[k] for k in b.DISCRETIZATION) + _dw))
b.add_component("c_bilinear_u%s_v%s" % (u_idx, v_idx), _c)
_c = ConstraintList()
b.add_component("c_mccormick_u%s_v%s" % (u_idx, v_idx), _c)
# u_lb * dv <= dw <= u_ub * dv
_c.add(expr=_lb * _dv <= _dw)
_c.add(expr=_dw <= _ub * _dv)
# (u-u_ub)*2^-K + u_ub*dv <= dw <= (u-u_lb)*2^-K + u_lb*dv
_c.add(expr=(u - _ub) * 2**-K + _ub * _dv <= _dw)
_c.add(expr=_dw <= (u - _lb) * 2**-K + _lb * _dv)
return _w
def coefficient_matching(model, constraint, uncertain_params, config):
'''
:param model: master problem model
:param constraint: the constraint from the master problem model
:param uncertain_params: the list of uncertain parameters
:param first_stage_variables: the list of effective first-stage variables (includes ssv if decision_rule_order = 0)
:return: True if the coefficient matching was successful, False if its proven robust_infeasible due to
constraints of the form 1 == 0
'''
# === Returned flags
successful_matching = True
robust_infeasible = False
# === Efficiency for q_LB = q_UB
actual_uncertain_params = []
for i in range(len(uncertain_params)):
if not is_certain_parameter(uncertain_param_index=i, config=config):
actual_uncertain_params.append(uncertain_params[i])
# === Add coefficient matching constraint list
if not hasattr(model, "coefficient_matching_constraints"):
model.coefficient_matching_constraints = ConstraintList()
if not hasattr(model, "swapped_constraints"):
model.swapped_constraints = ConstraintList()
variables_in_constraint = ComponentSet(identify_variables(constraint.expr))
params_in_constraint = ComponentSet(identify_mutable_parameters(constraint.expr))
first_stage_variables = model.util.first_stage_variables
second_stage_variables = model.util.second_stage_variables
# === Determine if we need to do DR expression/ssv substitution to
# make h(x,z,q) == 0 into h(x,d,q) == 0 (which is just h(x,q) == 0)
if all(v in ComponentSet(first_stage_variables) for v in variables_in_constraint) and \
any(q in ComponentSet(actual_uncertain_params) for q in params_in_constraint):
# h(x, q) == 0
pass
elif all(v in ComponentSet(first_stage_variables + second_stage_variables) for v in variables_in_constraint) and \
any(q in ComponentSet(actual_uncertain_params) for q in params_in_constraint):
constraint = substitute_ssv_in_dr_constraints(model=model, constraint=constraint)
variables_in_constraint = ComponentSet(identify_variables(constraint.expr))
params_in_constraint = ComponentSet(identify_mutable_parameters(constraint.expr))
else:
pass
if all(v in ComponentSet(first_stage_variables) for v in variables_in_constraint) and \
any(q in ComponentSet(actual_uncertain_params) for q in params_in_constraint):
# Swap param objects for variable objects in this constraint
model.param_set = []
for i in range(len(list(variables_in_constraint))):
# Initialize Params to non-zero value due to standard_repn bug
model.add_component("p_%s" % i, Param(initialize=1, mutable=True))
model.param_set.append(getattr(model, "p_%s" % i))
model.variable_set = []
for i in range(len(list(actual_uncertain_params))):
model.add_component("x_%s" % i, Var(initialize=1))
model.variable_set.append(getattr(model, "x_%s" % i))
original_var_to_param_map = list(zip(list(variables_in_constraint), model.param_set))
original_param_to_vap_map = list(zip(list(actual_uncertain_params), model.variable_set))
var_to_param_substitution_map_forward = {}
# Separation problem initialized to nominal uncertain parameter values
for var, param in original_var_to_param_map:
var_to_param_substitution_map_forward[id(var)] = param
param_to_var_substitution_map_forward = {}
# Separation problem initialized to nominal uncertain parameter values
for param, var in original_param_to_vap_map:
param_to_var_substitution_map_forward[id(param)] = var
var_to_param_substitution_map_reverse = {}
# Separation problem initialized to nominal uncertain parameter values
for var, param in original_var_to_param_map:
var_to_param_substitution_map_reverse[id(param)] = var
param_to_var_substitution_map_reverse = {}
# Separation problem initialized to nominal uncertain parameter values
for param, var in original_param_to_vap_map:
param_to_var_substitution_map_reverse[id(var)] = param
model.swapped_constraints.add(
replace_expressions(
expr=replace_expressions(expr=constraint.lower,
substitution_map=param_to_var_substitution_map_forward),
substitution_map=var_to_param_substitution_map_forward) ==
replace_expressions(
expr=replace_expressions(expr=constraint.body,
substitution_map=param_to_var_substitution_map_forward),
substitution_map=var_to_param_substitution_map_forward))
swapped = model.swapped_constraints[max(model.swapped_constraints.keys())]
val = generate_standard_repn(swapped.body, compute_values=False)
if val.constant is not None:
if type(val.constant) not in native_types:
temp_expr = replace_expressions(val.constant, substitution_map=var_to_param_substitution_map_reverse)
if temp_expr.is_potentially_variable():
model.coefficient_matching_constraints.add(expr=temp_expr == 0)
elif math.isclose(value(temp_expr), 0, rel_tol=COEFF_MATCH_REL_TOL, abs_tol=COEFF_MATCH_ABS_TOL):
pass
else:
successful_matching = False
robust_infeasible = True
elif math.isclose(value(val.constant), 0, rel_tol=COEFF_MATCH_REL_TOL, abs_tol=COEFF_MATCH_ABS_TOL):
pass
else:
successful_matching = False
robust_infeasible = True
if val.linear_coefs is not None:
for coeff in val.linear_coefs:
if type(coeff) not in native_types:
temp_expr = replace_expressions(coeff, substitution_map=var_to_param_substitution_map_reverse)
if temp_expr.is_potentially_variable():
model.coefficient_matching_constraints.add(expr=temp_expr == 0)
elif math.isclose(value(temp_expr), 0, rel_tol=COEFF_MATCH_REL_TOL, abs_tol=COEFF_MATCH_ABS_TOL):
pass
else:
successful_matching = False
robust_infeasible = True
elif math.isclose(value(coeff), 0, rel_tol=COEFF_MATCH_REL_TOL, abs_tol=COEFF_MATCH_ABS_TOL):
pass
else:
successful_matching = False
robust_infeasible = True
if val.quadratic_coefs:
for coeff in val.quadratic_coefs:
if type(coeff) not in native_types:
temp_expr = replace_expressions(coeff, substitution_map=var_to_param_substitution_map_reverse)
if temp_expr.is_potentially_variable():
model.coefficient_matching_constraints.add(expr=temp_expr == 0)
elif math.isclose(value(temp_expr), 0, rel_tol=COEFF_MATCH_REL_TOL, abs_tol=COEFF_MATCH_ABS_TOL):
pass
else:
successful_matching = False
robust_infeasible = True
elif math.isclose(value(coeff), 0, rel_tol=COEFF_MATCH_REL_TOL, abs_tol=COEFF_MATCH_ABS_TOL):
pass
else:
successful_matching = False
robust_infeasible = True
if val.nonlinear_expr is not None:
successful_matching = False
robust_infeasible = False
if successful_matching:
model.util.h_x_q_constraints.add(constraint)
for i in range(len(list(variables_in_constraint))):
model.del_component("p_%s" % i)
for i in range(len(list(params_in_constraint))):
model.del_component("x_%s" % i)
model.del_component("swapped_constraints")
model.del_component("swapped_constraints_index")
return successful_matching, robust_infeasible
def create_model(self):
"""
Create and return the mathematical model.
"""
if options.DEBUG:
logging.info("Creating model for day %d" % self.day_id)
# Obtain the orders book
book = self.orders
complexOrders = self.complexOrders
# Create the optimization model
model = ConcreteModel()
model.periods = Set(initialize=book.periods)
maxPeriod = max(book.periods)
model.bids = Set(initialize=range(len(book.bids)))
model.L = Set(initialize=book.locations)
model.sBids = Set(initialize=[
i for i in range(len(book.bids)) if book.bids[i].type == 'SB'
])
model.bBids = Set(initialize=[
i for i in range(len(book.bids)) if book.bids[i].type == 'BB'
])
model.cBids = RangeSet(len(complexOrders)) # Complex orders
model.C = RangeSet(len(self.connections))
model.directions = RangeSet(2) # 1 == up, 2 = down TODO: clean
# Variables
model.xs = Var(model.sBids, domain=Reals,
bounds=(0.0, 1.0)) # Single period bids acceptance
model.xb = Var(model.bBids, domain=Binary) # Block bids acceptance
model.xc = Var(model.cBids, domain=Binary) # Complex orders acceptance
model.pi = Var(model.L * model.periods,
domain=Reals,
bounds=self.priceCap) # Market prices
model.s = Var(model.bids, domain=NonNegativeReals) # Bids
model.sc = Var(model.cBids, domain=NonNegativeReals) # complex orders
model.complexVolume = Var(model.cBids, model.periods,
domain=Reals) # Bids
model.pi_lg_up = Var(model.cBids * model.periods,
domain=NonNegativeReals) # Market prices
model.pi_lg_down = Var(model.cBids * model.periods,
domain=NonNegativeReals) # Market prices
model.pi_lg = Var(model.cBids * model.periods,
domain=Reals) # Market prices
def flowBounds(m, c, d, t):
capacity = self.connections[c - 1].capacity_up[t] if d == 1 else \
self.connections[c - 1].capacity_down[t]
return (0, capacity)
model.f = Var(model.C * model.directions * model.periods,
domain=NonNegativeReals,
bounds=flowBounds)
model.u = Var(model.C * model.directions * model.periods,
domain=NonNegativeReals)
# Objective
def primalObj(m):
# Single period bids cost
expr = summation(
{i: book.bids[i].price * book.bids[i].volume
for i in m.sBids}, m.xs)
# Block bids cost
expr += summation(
{
i: book.bids[i].price * sum(book.bids[i].volumes.values())
for i in m.bBids
}, m.xb)
return -expr
if options.PRIMAL and not options.DUAL:
model.obj = Objective(rule=primalObj, sense=maximize)
def primalDualObj(m):
return primalObj(m) + sum(1e-5 * m.xc[i] for i in model.cBids)
if options.PRIMAL and options.DUAL:
model.obj = Objective(rule=primalDualObj, sense=maximize)
# Complex order constraint
if options.PRIMAL and options.DUAL:
model.deactivate_suborders = ConstraintList()
for o in model.cBids:
sub_ids = complexOrders[o - 1].ids
curves = complexOrders[o - 1].curves
for id in sub_ids:
bid = book.bids[id]
if bid.period <= complexOrders[o - 1].SSperiods and bid.price == \
curves[bid.period].bids[0].price:
pass # This bid, first step of the cruve in the scheduled stop periods, is not automatically deactivated when MIC constraint is not satisfied
else:
model.deactivate_suborders.add(
model.xs[id] <= model.xc[o])
# Ramping constraints for complex orders
def complex_volume_def_rule(m, o, p):
sub_ids = complexOrders[o - 1].ids
return m.complexVolume[o, p] == sum(m.xs[i] * book.bids[i].volume
for i in sub_ids
if book.bids[i].period == p)
if options.PRIMAL:
model.complex_volume_def = Constraint(model.cBids,
model.periods,
rule=complex_volume_def_rule)
def complex_lg_down_rule(m, o, p):
if p + 1 > maxPeriod or complexOrders[o - 1].ramp_down == None:
return Constraint.Skip
else:
return m.complexVolume[o, p] - m.complexVolume[o, p + 1] <= complexOrders[
o - 1].ramp_down * \
m.xc[o]
if options.PRIMAL and options.APPLY_LOAD_GRADIENT:
model.complex_lg_down = Constraint(model.cBids,
model.periods,
rule=complex_lg_down_rule)
def complex_lg_up_rule(m, o, p):
if p + 1 > maxPeriod or complexOrders[o - 1].ramp_up == None:
return Constraint.Skip
else:
return m.complexVolume[o, p + 1] - m.complexVolume[
o, p] <= complexOrders[o - 1].ramp_up
if options.PRIMAL and options.APPLY_LOAD_GRADIENT:
model.complex_lg_up = Constraint(
model.cBids, model.periods,
rule=complex_lg_up_rule) # Balance constraint
# Energy balance constraints
balanceExpr = {l: {t: 0.0 for t in model.periods} for l in model.L}
for i in model.sBids: # Simple bids
bid = book.bids[i]
balanceExpr[bid.location][bid.period] += bid.volume * model.xs[i]
for i in model.bBids: # Block bids
bid = book.bids[i]
for t, v in bid.volumes.items():
balanceExpr[bid.location][t] += v * model.xb[i]
def balanceCstr(m, l, t):
export = 0.0
for c in model.C:
if self.connections[c - 1].from_id == l:
export += m.f[c, 1, t] - m.f[c, 2, t]
elif self.connections[c - 1].to_id == l:
export += m.f[c, 2, t] - m.f[c, 1, t]
return balanceExpr[l][t] == export
if options.PRIMAL:
model.balance = Constraint(model.L * book.periods,
rule=balanceCstr)
# Surplus of single period bids
def sBidSurplus(m, i): # For the "usual" step orders
bid = book.bids[i]
if i in self.plain_single_orders:
return m.s[i] >= (m.pi[bid.location, bid.period] -
bid.price) * bid.volume
else:
return Constraint.Skip
if options.DUAL:
model.sBidSurplus = Constraint(model.sBids, rule=sBidSurplus)
# Surplus definition for complex suborders accounting for impact of load gradient condition
if options.DUAL:
model.complex_sBidSurplus = ConstraintList()
for o in model.cBids:
sub_ids = complexOrders[o - 1].ids
l = complexOrders[o - 1].location
for i in sub_ids:
bid = book.bids[i]
model.complex_sBidSurplus.add(
model.s[i] >=
(model.pi[l, bid.period] + model.pi_lg[o, bid.period] -
bid.price) * bid.volume)
def LG_price_def_rule(m, o, p):
l = complexOrders[o - 1].location
exp = 0
if options.APPLY_LOAD_GRADIENT:
D = complexOrders[o - 1].ramp_down
U = complexOrders[o - 1].ramp_up
if D is not None:
exp += (m.pi_lg_down[o, p - 1] if p > 1 else
0) - (m.pi_lg_down[o, p] if p < maxPeriod else 0)
if U is not None:
exp -= (m.pi_lg_up[o, p - 1] if p > 1 else
0) - (m.pi_lg_up[o, p] if p < maxPeriod else 0)
return m.pi_lg[o, p] == exp
if options.DUAL:
model.LG_price_def = Constraint(model.cBids,
model.periods,
rule=LG_price_def_rule)
# Surplus of block bids
def bBidSurplus(m, i):
bid = book.bids[i]
bidVolume = -sum(bid.volumes.values())
bigM = (self.priceCap[1] -
self.priceCap[0]) * bidVolume # FIXME tighten BIGM
return m.s[i] + sum([
m.pi[bid.location, t] * -v for t, v in bid.volumes.items()
]) >= bid.cost * bidVolume + bigM * (1 - m.xb[i])
if options.DUAL:
model.bBidSurplus = Constraint(model.bBids, rule=bBidSurplus)
# Surplus of complex orders
def cBidSurplus(m, o):
complexOrder = complexOrders[o - 1]
sub_ids = complexOrder.ids
if book.bids[sub_ids[0]].volume > 0: # supply
bigM = sum((self.priceCap[1] - book.bids[i].price) *
book.bids[i].volume for i in sub_ids)
else:
bigM = sum((book.bids[i].price - self.priceCap[0]) *
book.bids[i].volume for i in sub_ids)
return m.sc[o] + bigM * (1 - m.xc[o]) >= sum(m.s[i]
for i in sub_ids)
if options.DUAL:
model.cBidSurplus = Constraint(model.cBids, rule=cBidSurplus)
# Surplus of complex orders
def cBidSurplus_2(m, o):
complexOrder = complexOrders[o - 1]
expr = 0
for i in complexOrder.ids:
bid = book.bids[i]
if (bid.period <= complexOrder.SSperiods) and (
bid.price
== complexOrder.curves[bid.period].bids[0].price):
expr += m.s[i]
return m.sc[o] >= expr
if options.DUAL:
model.cBidSurplus_2 = Constraint(
model.cBids, rule=cBidSurplus_2) # MIC constraint
def cMIC(m, o):
complexOrder = complexOrders[o - 1]
if complexOrder.FT == 0 and complexOrder.VT == 0:
return Constraint.Skip
expr = 0
bigM = complexOrder.FT
for i in complexOrder.ids:
bid = book.bids[i]
if (bid.period <= complexOrder.SSperiods) and (
bid.price
== complexOrder.curves[bid.period].bids[0].price):
bigM += (bid.volume * (self.priceCap[1] - bid.price)
) # FIXME assumes order is supply
expr += bid.volume * m.xs[i] * (bid.price - complexOrder.VT)
return m.sc[o] + expr + bigM * (1 - m.xc[o]) >= complexOrder.FT
if options.DUAL and options.PRIMAL:
model.cMIC = Constraint(model.cBids, rule=cMIC)
# Dual connections capacity
def dualCapacity(m, c, t):
exportPrices = 0.0
for l in m.L:
if l == self.connections[c - 1].from_id:
exportPrices += m.pi[l, t]
elif l == self.connections[c - 1].to_id:
exportPrices -= m.pi[l, t]
return m.u[c, 1, t] - m.u[c, 2, t] + exportPrices == 0.0
if options.DUAL:
model.dualCapacity = Constraint(model.C * model.periods,
rule=dualCapacity)
# Dual optimality
def dualObj(m):
dualObj = summation(m.s) + summation(m.sc)
for o in m.cBids:
sub_ids = complexOrders[o - 1].ids
for id in sub_ids:
dualObj -= m.s[
id] # Remove contribution of complex suborders which were accounted for in prevous summation over single bids
if options.APPLY_LOAD_GRADIENT:
ramp_down = complexOrders[o - 1].ramp_down
ramp_up = complexOrders[o - 1].ramp_up
for p in m.periods:
if p == maxPeriod:
continue
if ramp_down is not None:
dualObj += ramp_down * m.pi_lg_down[
o, p] # Add contribution of load gradient
if ramp_up is not None:
dualObj += ramp_up * m.pi_lg_up[
o, p] # Add contribution of load gradient
for c in model.C:
for t in m.periods:
dualObj += self.connections[c - 1].capacity_up[t] * m.u[c,
1,
t]
dualObj += self.connections[c -
1].capacity_down[t] * m.u[c, 2,
t]
return dualObj
if not options.PRIMAL:
model.obj = Objective(rule=dualObj, sense=minimize)
def primalEqualsDual(m):
return primalObj(m) >= dualObj(m)
if options.DUAL and options.PRIMAL:
model.primalEqualsDual = Constraint(rule=primalEqualsDual)
self.model = model
