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 solver_call_separation(model_data, config, solver, solve_data, is_global):
"""
Solve the separation problem.
"""
save_dir = config.subproblem_file_directory
if is_global or config.bypass_local_separation:
backup_solvers = deepcopy(config.backup_global_solvers)
else:
backup_solvers = deepcopy(config.backup_local_solvers)
backup_solvers.insert(0, solver)
solver_status_dict = {}
while len(backup_solvers) > 0:
solver = backup_solvers.pop(0)
nlp_model = model_data.separation_model
# === Fix to Master solution
initialize_separation(model_data, config)
if not solver.available():
raise RuntimeError("Solver %s is not available." % solver)
try:
results = solver.solve(nlp_model, tee=config.tee)
except ValueError as err:
if 'Cannot load a SolverResults object with bad status: error' in str(
err):
solve_data.termination_condition = tc.error
return True
else:
raise
solver_status_dict[str(solver)] = results.solver.termination_condition
solve_data.termination_condition = results.solver.termination_condition
solve_data.results = results
# === Process result
is_violation(model_data, config, solve_data)
if solve_data.termination_condition in globally_acceptable or \
(not is_global and solve_data.termination_condition in locally_acceptable):
return False
# Else: continue with backup solvers unless we have hit time limit or not found any acceptable solutions
elapsed = get_main_elapsed_time(model_data.timing)
if config.time_limit:
if elapsed >= config.time_limit:
return True
# === Write this instance to file for user to debug because this separation instance did not return an optimal solution
if save_dir and config.keepfiles:
objective = str(
list(nlp_model.component_data_objects(Objective,
active=True))[0].name)
name = os.path.join(
save_dir, config.uncertainty_set.type + "_" + nlp_model.name +
"_separation_" + str(model_data.iteration) + "_obj_" + objective +
".bar")
nlp_model.write(name, io_options={'symbolic_solver_labels': True})
output_logger(config=config,
separation_error=True,
filename=name,
iteration=model_data.iteration,
objective=objective,
status_dict=solver_status_dict)
return True
def solve(self, model, first_stage_variables, second_stage_variables,
uncertain_params, uncertainty_set, local_solver, global_solver,
**kwds):
"""Solve the model.
Parameters
----------
model: ConcreteModel
A ``ConcreteModel`` object representing the deterministic
model, cast as a minimization problem.
first_stage_variables: List[Var]
The list of ``Var`` objects referenced in ``model``
representing the design variables.
second_stage_variables: List[Var]
The list of ``Var`` objects referenced in ``model``
representing the control variables.
uncertain_params: List[Param]
The list of ``Param`` objects referenced in ``model``
representing the uncertain parameters. MUST be ``mutable``.
Assumes entries are provided in consistent order with the
entries of 'nominal_uncertain_param_vals' input.
uncertainty_set: UncertaintySet
``UncertaintySet`` object representing the uncertainty space
that the final solutions will be robust against.
local_solver: Solver
``Solver`` object to utilize as the primary local NLP solver.
global_solver: Solver
``Solver`` object to utilize as the primary global NLP solver.
"""
# === Add the explicit arguments to the config
config = self.CONFIG(kwds.pop('options', {}))
config.first_stage_variables = first_stage_variables
config.second_stage_variables = second_stage_variables
config.uncertain_params = uncertain_params
config.uncertainty_set = uncertainty_set
config.local_solver = local_solver
config.global_solver = global_solver
dev_options = kwds.pop('dev_options', {})
config.set_value(kwds)
config.set_value(dev_options)
model = model
# === Validate kwarg inputs
validate_kwarg_inputs(model, config)
# === Validate ability of grcs RO solver to handle this model
if not model_is_valid(model):
raise AttributeError(
"This model structure is not currently handled by the ROSolver."
)
# === Define nominal point if not specified
if len(config.nominal_uncertain_param_vals) == 0:
config.nominal_uncertain_param_vals = list(
p.value for p in config.uncertain_params)
elif len(config.nominal_uncertain_param_vals) != len(
config.uncertain_params):
raise AttributeError(
"The nominal_uncertain_param_vals list must be the same length"
"as the uncertain_params list")
# === Create data containers
model_data = ROSolveResults()
model_data.timing = Bunch()
# === Set up logger for logging results
with time_code(model_data.timing, 'total', is_main_timer=True):
config.progress_logger.setLevel(logging.INFO)
# === PREAMBLE
output_logger(config=config,
preamble=True,
version=str(self.version()))
# === DISCLAIMER
output_logger(config=config, disclaimer=True)
# === A block to hold list-type data to make cloning easy
util = Block(concrete=True)
util.first_stage_variables = config.first_stage_variables
util.second_stage_variables = config.second_stage_variables
util.uncertain_params = config.uncertain_params
model_data.util_block = unique_component_name(model, 'util')
model.add_component(model_data.util_block, util)
# Note: model.component(model_data.util_block) is util
# === Validate uncertainty set happens here, requires util block for Cardinality and FactorModel sets
validate_uncertainty_set(config=config)
# === Deactivate objective on model
for o in model.component_data_objects(Objective):
o.deactivate()
# === Leads to a logger warning here for inactive obj when cloning
model_data.original_model = model
# === For keeping track of variables after cloning
cname = unique_component_name(model_data.original_model,
'tmp_var_list')
src_vars = list(
model_data.original_model.component_data_objects(Var))
setattr(model_data.original_model, cname, src_vars)
model_data.working_model = model_data.original_model.clone()
# === Add objective expressions
identify_objective_functions(model_data.working_model, config)
# === Put model in standard form
transform_to_standard_form(model_data.working_model)
# === Replace variable bounds depending on uncertain params with
# explicit inequality constraints
replace_uncertain_bounds_with_constraints(
model_data.working_model,
model_data.working_model.util.uncertain_params)
# === Add decision rule information
add_decision_rule_variables(model_data, config)
add_decision_rule_constraints(model_data, config)
# === Move bounds on control variables to explicit ineq constraints
wm_util = model_data.working_model
# === Assuming all other Var objects in the model are state variables
fsv = ComponentSet(
model_data.working_model.util.first_stage_variables)
ssv = ComponentSet(
model_data.working_model.util.second_stage_variables)
sv = ComponentSet()
model_data.working_model.util.state_vars = []
for v in model_data.working_model.component_data_objects(Var):
if v not in fsv and v not in ssv and v not in sv:
model_data.working_model.util.state_vars.append(v)
sv.add(v)
# Bounds on second stage variables and state variables are separation objectives,
# they are brought in this was as explicit constraints
for c in model_data.working_model.util.second_stage_variables:
turn_bounds_to_constraints(c, wm_util, config)
for c in model_data.working_model.util.state_vars:
turn_bounds_to_constraints(c, wm_util, config)
# === Make control_variable_bounds array
wm_util.ssv_bounds = []
for c in model_data.working_model.component_data_objects(
Constraint, descend_into=True):
if "bound_con" in c.name:
wm_util.ssv_bounds.append(c)
# === Solve and load solution into model
pyros_soln, final_iter_separation_solns = ROSolver_iterative_solve(
model_data, config)
return_soln = ROSolveResults()
if pyros_soln is not None and final_iter_separation_solns is not None:
if config.load_solution and \
(pyros_soln.pyros_termination_condition is pyrosTerminationCondition.robust_optimal or
pyros_soln.pyros_termination_condition is pyrosTerminationCondition.robust_feasible):
load_final_solution(model_data, pyros_soln.master_soln,
config)
# === Return time info
model_data.total_cpu_time = get_main_elapsed_time(
model_data.timing)
iterations = pyros_soln.total_iters + 1
# === Return config to user
return_soln.config = config
# Report the negative of the objective value if it was originally maximize, since we use the minimize form in the algorithm
if next(model.component_data_objects(
Objective)).sense == maximize:
negation = -1
else:
negation = 1
if config.objective_focus == ObjectiveType.nominal:
return_soln.final_objective_value = negation * value(
pyros_soln.master_soln.master_model.obj)
elif config.objective_focus == ObjectiveType.worst_case:
return_soln.final_objective_value = negation * value(
pyros_soln.master_soln.master_model.zeta)
return_soln.pyros_termination_condition = pyros_soln.pyros_termination_condition
return_soln.time = model_data.total_cpu_time
return_soln.iterations = iterations
# === Remove util block
model.del_component(model_data.util_block)
del pyros_soln.util_block
del pyros_soln.working_model
else:
return_soln.pyros_termination_condition = pyrosTerminationCondition.robust_infeasible
return_soln.final_objective_value = None
return_soln.time = get_main_elapsed_time(model_data.timing)
return_soln.iterations = 0
return return_soln