def test_var(self):
m = ConcreteModel()
m.x = Var(bounds=(-1, 1), initialize=3)
mc_var = mc(m.x)
self.assertEqual(mc_var.lower(), -1)
self.assertEqual(mc_var.upper(), 1)
m.no_ub = Var(bounds=(0, None), initialize=3)
output = StringIO()
with LoggingIntercept(output, 'pyomo.contrib.mcpp', logging.WARNING):
mc_var = mc(m.no_ub)
self.assertIn("Var no_ub missing upper bound.",
output.getvalue().strip())
self.assertEqual(mc_var.lower(), 0)
self.assertEqual(mc_var.upper(), 500000)
m.no_lb = Var(bounds=(None, -3), initialize=-1)
output = StringIO()
with LoggingIntercept(output, 'pyomo.contrib.mcpp', logging.WARNING):
mc_var = mc(m.no_lb)
self.assertIn("Var no_lb missing lower bound.",
output.getvalue().strip())
self.assertEqual(mc_var.lower(), -500000)
self.assertEqual(mc_var.upper(), -3)
m.no_val = Var(bounds=(0, 1))
output = StringIO()
with LoggingIntercept(output, 'pyomo.contrib.mcpp', logging.WARNING):
mc_var = mc(m.no_val)
mc_var.subcv()
self.assertIn("Var no_val missing value.",
output.getvalue().strip())
self.assertEqual(mc_var.lower(), 0)
self.assertEqual(mc_var.upper(), 1)
def test_var(self):
m = ConcreteModel()
m.x = Var(bounds=(-1, 1), initialize=3)
mc_var = mc(m.x)
self.assertEqual(mc_var.lower(), -1)
self.assertEqual(mc_var.upper(), 1)
m.no_ub = Var(bounds=(0, None), initialize=3)
output = StringIO()
with LoggingIntercept(output, 'pyomo.contrib.mcpp', logging.WARNING):
mc_var = mc(m.no_ub)
self.assertIn("Var no_ub missing upper bound.",
output.getvalue().strip())
self.assertEqual(mc_var.lower(), 0)
self.assertEqual(mc_var.upper(), 500000)
m.no_lb = Var(bounds=(None, -3), initialize=-1)
output = StringIO()
with LoggingIntercept(output, 'pyomo.contrib.mcpp', logging.WARNING):
mc_var = mc(m.no_lb)
self.assertIn("Var no_lb missing lower bound.",
output.getvalue().strip())
self.assertEqual(mc_var.lower(), -500000)
self.assertEqual(mc_var.upper(), -3)
m.no_val = Var(bounds=(0, 1))
output = StringIO()
with LoggingIntercept(output, 'pyomo.contrib.mcpp', logging.WARNING):
mc_var = mc(m.no_val)
mc_var.subcv()
self.assertIn("Var no_val missing value.",
output.getvalue().strip())
self.assertEqual(mc_var.lower(), 0)
self.assertEqual(mc_var.upper(), 1)
def test_trig(self):
m = ConcreteModel()
m.x = Var(bounds=(pi / 4, pi / 2), initialize=pi / 4)
mc_expr = mc(tan(atan((m.x))))
self.assertAlmostEqual(mc_expr.lower(), pi / 4)
self.assertAlmostEqual(mc_expr.upper(), pi / 2)
m.y = Var(bounds=(0, sin(pi / 4)), initialize=0)
mc_expr = mc(asin((m.y)))
self.assertEqual(mc_expr.lower(), 0)
self.assertAlmostEqual(mc_expr.upper(), pi / 4)
m.z = Var(bounds=(0, cos(pi / 4)), initialize=0)
mc_expr = mc(acos((m.z)))
self.assertAlmostEqual(mc_expr.lower(), pi / 4)
self.assertAlmostEqual(mc_expr.upper(), pi / 2)
def test_trig(self):
m = ConcreteModel()
m.x = Var(bounds=(pi / 4, pi / 2), initialize=pi / 4)
mc_expr = mc(tan(atan((m.x))))
self.assertAlmostEqual(mc_expr.lower(), pi / 4)
self.assertAlmostEqual(mc_expr.upper(), pi / 2)
m.y = Var(bounds=(0, sin(pi / 4)), initialize=0)
mc_expr = mc(asin((m.y)))
self.assertEqual(mc_expr.lower(), 0)
self.assertAlmostEqual(mc_expr.upper(), pi / 4)
m.z = Var(bounds=(0, cos(pi / 4)), initialize=0)
mc_expr = mc(acos((m.z)))
self.assertAlmostEqual(mc_expr.lower(), pi / 4)
self.assertAlmostEqual(mc_expr.upper(), pi / 2)
def make2dPlot(expr, numticks=10, show_plot=False):
mc_ccVals = [None] * (numticks + 1)
mc_cvVals = [None] * (numticks + 1)
aff_cc = [None] * (numticks + 1)
aff_cv = [None] * (numticks + 1)
fvals = [None] * (numticks + 1)
mc_expr = mc(expr)
x = next(identify_variables(expr)) # get the first variable
tick_length = (x.ub - x.lb) / numticks
xaxis = [x.lb + tick_length * n for n in range(numticks + 1)]
x_val = value(x) # initial value of x
cc = mc_expr.subcc() # Concave overestimator subgradient at x_val
cv = mc_expr.subcv() # Convex underestimator subgradient at x_val
f_cc = mc_expr.concave() # Concave overestimator value at x_val
f_cv = mc_expr.convex() # Convex underestimator value at x_val
for i, x_tick in enumerate(xaxis):
aff_cc[i] = cc[x] * (x_tick - x_val) + f_cc
aff_cv[i] = cv[x] * (x_tick - x_val) + f_cv
mc_expr.changePoint(x, x_tick)
mc_ccVals[i] = mc_expr.concave()
mc_cvVals[i] = mc_expr.convex()
fvals[i] = value(expr)
if show_plot:
import matplotlib.pyplot as plt
plt.plot(xaxis, fvals, 'r', xaxis, mc_ccVals, 'b--', xaxis,
mc_cvVals, 'b--', xaxis, aff_cc, 'k|', xaxis, aff_cv, 'k|')
plt.show()
return mc_ccVals, mc_cvVals, aff_cc, aff_cv
def test_reciprocal(self):
m = ConcreteModel()
m.x = Var(bounds=(1, 2), initialize=1)
m.y = Var(bounds=(2, 3), initialize=2)
mc_expr = mc(m.x / m.y)
self.assertEqual(mc_expr.lower(), 1 / 3)
self.assertEqual(mc_expr.upper(), 1)
def test_linear_expression(self):
m = ConcreteModel()
m.x = Var(bounds=(1, 2), initialize=1)
with self.assertRaises(NotImplementedError):
mc_expr = mc(quicksum([m.x, m.x], linear=True))
self.assertEqual(mc_expr.lower(), 2)
self.assertEqual(mc_expr.upper(), 4)
def test_powers(self):
m = ConcreteModel()
m.x = Var(bounds=(0, 2), initialize=1)
m.y = Var(bounds=(1e-4, 2), initialize=1)
with self.assertRaisesRegexp(MCPP_Error, "Log with negative values in range"):
mc(m.x ** 1.5)
mc_expr = mc(m.y ** 1.5)
self.assertAlmostEqual(mc_expr.lower(), 1e-4**1.5)
self.assertAlmostEqual(mc_expr.upper(), 2**1.5)
mc_expr = mc(m.y ** m.x)
self.assertAlmostEqual(mc_expr.lower(), 1e-4**2)
self.assertAlmostEqual(mc_expr.upper(), 4)
m.z = Var(bounds=(-1, 1), initialize=0)
mc_expr = mc(m.z ** 2)
self.assertAlmostEqual(mc_expr.lower(), 0)
self.assertAlmostEqual(mc_expr.upper(), 1)
def test_linear_expression(self):
m = ConcreteModel()
m.x = Var(bounds=(1, 2), initialize=1)
with self.assertRaises(NotImplementedError):
mc_expr = mc(quicksum([m.x, m.x], linear=True))
self.assertEqual(mc_expr.lower(), 2)
self.assertEqual(mc_expr.upper(), 4)
def make2dPlot(expr, numticks=10, show_plot=False):
mc_ccVals = [None] * (numticks + 1)
mc_cvVals = [None] * (numticks + 1)
aff_cc = [None] * (numticks + 1)
aff_cv = [None] * (numticks + 1)
fvals = [None] * (numticks + 1)
mc_expr = mc(expr)
x = next(identify_variables(expr)) # get the first variable
tick_length = (x.ub - x.lb) / numticks
xaxis = [x.lb + tick_length * n for n in range(numticks + 1)]
x_val = value(x) # initial value of x
cc = mc_expr.subcc() # Concave overestimator subgradient at x_val
cv = mc_expr.subcv() # Convex underestimator subgradient at x_val
f_cc = mc_expr.concave() # Concave overestimator value at x_val
f_cv = mc_expr.convex() # Convex underestimator value at x_val
for i, x_tick in enumerate(xaxis):
aff_cc[i] = cc[x] * (x_tick - x_val) + f_cc
aff_cv[i] = cv[x] * (x_tick - x_val) + f_cv
mc_expr.changePoint(x, x_tick)
mc_ccVals[i] = mc_expr.concave()
mc_cvVals[i] = mc_expr.convex()
fvals[i] = value(expr)
if show_plot:
plt.plot(xaxis, fvals, 'r', xaxis, mc_ccVals, 'b--', xaxis,
mc_cvVals, 'b--', xaxis, aff_cc, 'k|', xaxis, aff_cv, 'k|')
plt.show()
return mc_ccVals, mc_cvVals, aff_cc, aff_cv
def add_affine_cuts(nlp_result, solve_data, config):
with time_code(solve_data.timing, "affine cut generation"):
m = solve_data.linear_GDP
if config.calc_disjunctive_bounds:
with time_code(solve_data.timing, "disjunctive variable bounding"):
TransformationFactory(
'contrib.compute_disj_var_bounds').apply_to(
m,
solver=config.mip_solver
if config.obbt_disjunctive_bounds else None)
config.logger.info("Adding affine cuts.")
GDPopt = m.GDPopt_utils
counter = 0
for var, val in zip(GDPopt.variable_list, nlp_result.var_values):
if val is not None and not var.fixed:
var.value = val
for constr in constraints_in_True_disjuncts(m, config):
# Note: this includes constraints that are deactivated in the current model (linear_GDP)
disjunctive_var_bounds = disjunctive_bounds(constr.parent_block())
if constr.body.polynomial_degree() in (1, 0):
continue
vars_in_constr = list(identify_variables(constr.body))
if any(var.value is None for var in vars_in_constr):
continue # a variable has no values
# mcpp stuff
mc_eqn = mc(constr.body, disjunctive_var_bounds)
# mc_eqn = mc(constr.body)
ccSlope = mc_eqn.subcc()
cvSlope = mc_eqn.subcv()
ccStart = mc_eqn.concave()
cvStart = mc_eqn.convex()
ub_int = min(
constr.upper,
mc_eqn.upper()) if constr.has_ub() else mc_eqn.upper()
lb_int = max(
constr.lower,
mc_eqn.lower()) if constr.has_lb() else mc_eqn.lower()
parent_block = constr.parent_block()
# Create a block on which to put outer approximation cuts.
aff_utils = parent_block.component('GDPopt_aff')
if aff_utils is None:
aff_utils = parent_block.GDPopt_aff = Block(
doc="Block holding affine constraints")
aff_utils.GDPopt_aff_cons = ConstraintList()
aff_cuts = aff_utils.GDPopt_aff_cons
concave_cut = sum(ccSlope[var] * (var - var.value)
for var in vars_in_constr) + ccStart >= lb_int
convex_cut = sum(cvSlope[var] * (var - var.value)
for var in vars_in_constr) + cvStart <= ub_int
aff_cuts.add(expr=concave_cut)
aff_cuts.add(expr=convex_cut)
counter += 2
config.logger.info("Added %s affine cuts" % counter)
def test_powers(self):
m = ConcreteModel()
m.x = Var(bounds=(0, 2), initialize=1)
m.y = Var(bounds=(1e-4, 2), initialize=1)
with self.assertRaisesRegex(MCPP_Error, "Log with negative values in range"):
mc(m.x ** 1.5)
mc_expr = mc(m.y ** 1.5)
self.assertAlmostEqual(mc_expr.lower(), 1e-4**1.5)
self.assertAlmostEqual(mc_expr.upper(), 2**1.5)
mc_expr = mc(m.y ** m.x)
self.assertAlmostEqual(mc_expr.lower(), 1e-4**2)
self.assertAlmostEqual(mc_expr.upper(), 4)
m.z = Var(bounds=(-1, 1), initialize=0)
mc_expr = mc(m.z ** 2)
self.assertAlmostEqual(mc_expr.lower(), 0)
self.assertAlmostEqual(mc_expr.upper(), 1)
def test_reciprocal(self):
m = ConcreteModel()
m.x = Var(bounds=(1, 2), initialize=1)
m.y = Var(bounds=(2, 3), initialize=2)
mc_expr = mc(m.x / m.y)
self.assertEqual(mc_expr.lower(), 1 / 3)
self.assertEqual(mc_expr.upper(), 1)
def test_fixed_var(self):
m = ConcreteModel()
m.x = Var(bounds=(-50, 80), initialize=3)
m.y = Var(bounds=(0, 6), initialize=2)
m.y.fix()
mc_expr = mc(m.x * m.y)
self.assertEqual(mc_expr.lower(), -100)
self.assertEqual(mc_expr.upper(), 160)
def test_fixed_var(self):
m = ConcreteModel()
m.x = Var(bounds=(-50, 80), initialize=3)
m.y = Var(bounds=(0, 6), initialize=2)
m.y.fix()
mc_expr = mc(m.x * m.y)
self.assertEqual(mc_expr.lower(), -100)
self.assertEqual(mc_expr.upper(), 160)
def test_lmtd(self):
m = ConcreteModel()
m.x = Var(bounds=(0.1, 500), initialize=33.327)
m.y = Var(bounds=(0.1, 500), initialize=14.436)
m.z = Var(bounds=(0, 90), initialize=22.5653)
mc_expr = mc(m.z - (m.x * m.y * (m.x + m.y) / 2) ** (1/3))
self.assertAlmostEqual(mc_expr.convex(), -407.95444629965016)
self.assertAlmostEqual(mc_expr.lower(), -499.99999999999983)
def test_improved_bounds(self):
m = ConcreteModel()
m.x = Var(bounds=(0, 100), initialize=5)
improved_bounds = ComponentMap()
improved_bounds[m.x] = (10, 20)
mc_expr = mc(m.x, improved_var_bounds=improved_bounds)
self.assertEqual(mc_expr.lower(), 10)
self.assertEqual(mc_expr.upper(), 20)
def test_improved_bounds(self):
m = ConcreteModel()
m.x = Var(bounds=(0, 100), initialize=5)
improved_bounds = ComponentMap()
improved_bounds[m.x] = (10, 20)
mc_expr = mc(m.x, improved_var_bounds=improved_bounds)
self.assertEqual(mc_expr.lower(), 10)
self.assertEqual(mc_expr.upper(), 20)
def test_lmtd(self):
m = ConcreteModel()
m.x = Var(bounds=(0.1, 500), initialize=33.327)
m.y = Var(bounds=(0.1, 500), initialize=14.436)
m.z = Var(bounds=(0, 90), initialize=22.5653)
mc_expr = mc(m.z - (m.x * m.y * (m.x + m.y) / 2) ** (1/3))
self.assertAlmostEqual(mc_expr.convex(), -407.95444629965016)
self.assertAlmostEqual(mc_expr.lower(), -499.99999999999983)
def add_affine_cuts(nlp_result, solve_data, config):
with time_code(solve_data.timing, "affine cut generation"):
m = solve_data.linear_GDP
if config.calc_disjunctive_bounds:
with time_code(solve_data.timing, "disjunctive variable bounding"):
TransformationFactory('contrib.compute_disj_var_bounds').apply_to(
m,
solver=config.mip_solver if config.obbt_disjunctive_bounds else None
)
config.logger.info("Adding affine cuts.")
GDPopt = m.GDPopt_utils
counter = 0
for var, val in zip(GDPopt.variable_list, nlp_result.var_values):
if val is not None and not var.fixed:
var.value = val
for constr in constraints_in_True_disjuncts(m, config):
# Note: this includes constraints that are deactivated in the current model (linear_GDP)
disjunctive_var_bounds = disjunctive_bounds(constr.parent_block())
if constr.body.polynomial_degree() in (1, 0):
continue
vars_in_constr = list(
identify_variables(constr.body))
if any(var.value is None for var in vars_in_constr):
continue # a variable has no values
# mcpp stuff
mc_eqn = mc(constr.body, disjunctive_var_bounds)
# mc_eqn = mc(constr.body)
ccSlope = mc_eqn.subcc()
cvSlope = mc_eqn.subcv()
ccStart = mc_eqn.concave()
cvStart = mc_eqn.convex()
ub_int = min(constr.upper, mc_eqn.upper()) if constr.has_ub() else mc_eqn.upper()
lb_int = max(constr.lower, mc_eqn.lower()) if constr.has_lb() else mc_eqn.lower()
parent_block = constr.parent_block()
# Create a block on which to put outer approximation cuts.
aff_utils = parent_block.component('GDPopt_aff')
if aff_utils is None:
aff_utils = parent_block.GDPopt_aff = Block(
doc="Block holding affine constraints")
aff_utils.GDPopt_aff_cons = ConstraintList()
aff_cuts = aff_utils.GDPopt_aff_cons
concave_cut = sum(ccSlope[var] * (var - var.value)
for var in vars_in_constr
) + ccStart >= lb_int
convex_cut = sum(cvSlope[var] * (var - var.value)
for var in vars_in_constr
) + cvStart <= ub_int
aff_cuts.add(expr=concave_cut)
aff_cuts.add(expr=convex_cut)
counter += 2
config.logger.info("Added %s affine cuts" % counter)
def test_fixed_var(self):
m = ConcreteModel()
m.x = Var(bounds=(-50, 80), initialize=3)
m.y = Var(bounds=(0, 6), initialize=2)
m.y.fix()
mc_expr = mc(m.x * m.y)
self.assertEqual(mc_expr.lower(), -100)
self.assertEqual(mc_expr.upper(), 160)
self.assertEqual(
str(mc_expr),
"[ -1.00000e+02 : 1.60000e+02 ] [ 6.00000e+00 : 6.00000e+00 ] [ ( 2.00000e+00) : ( 2.00000e+00) ]")
def test_fixed_var(self):
m = ConcreteModel()
m.x = Var(bounds=(-50, 80), initialize=3)
m.y = Var(bounds=(0, 6), initialize=2)
m.y.fix()
mc_expr = mc(m.x * m.y)
self.assertEqual(mc_expr.lower(), -100)
self.assertEqual(mc_expr.upper(), 160)
self.assertEqual(
str(mc_expr),
"[ -1.00000e+02 : 1.60000e+02 ] [ 6.00000e+00 : 6.00000e+00 ] [ ( 2.00000e+00) : ( 2.00000e+00) ]")
def test_powers(self):
m = ConcreteModel()
m.x = Var(bounds=(0, 2), initialize=1)
m.y = Var(bounds=(1e-4, 2), initialize=1)
m.z = Var(bounds=(-1, 1), initialize=0)
# Note: the exception raised prior to 2.1 was
# "Log with negative values in range"
# This was corrected in 2.1 to
# "Square-root with nonpositive values in range"
with self.assertRaisesRegex(
MCPP_Error,
r"(Square-root with nonpositive values in range)"
r"|(Log with negative values in range)"):
mc(m.z ** 1.5)
mc_expr = mc(m.y ** 1.5)
self.assertAlmostEqual(mc_expr.lower(), 1e-4**1.5)
self.assertAlmostEqual(mc_expr.upper(), 2**1.5)
mc_expr = mc(m.y ** m.x)
self.assertAlmostEqual(mc_expr.lower(), 1e-4**2)
self.assertAlmostEqual(mc_expr.upper(), 4)
mc_expr = mc(m.z ** 2)
self.assertAlmostEqual(mc_expr.lower(), 0)
self.assertAlmostEqual(mc_expr.upper(), 1)
def add_affine_cuts(nlp_result, solve_data, config):
m = solve_data.linear_GDP
config.logger.info("Adding affine cuts.")
GDPopt = m.GDPopt_utils
for var, val in zip(GDPopt.working_var_list, nlp_result.var_values):
if val is not None and not var.fixed:
var.value = val
for constr in constraints_in_True_disjuncts(m, config):
# for constr in GDPopt.working_nonlinear_constraints:
if constr not in GDPopt.working_nonlinear_constraints:
continue
# if constr.body.polynomial_degree() in (1, 0):
# continue
# TODO check that constraint is on active Disjunct
vars_in_constr = list(EXPR.identify_variables(constr.body))
if any(var.value is None for var in vars_in_constr):
continue # a variable has no values
# mcpp stuff
mc_eqn = mc(constr.body)
ccSlope = mc_eqn.subcc()
cvSlope = mc_eqn.subcv()
ccStart = mc_eqn.concave()
cvStart = mc_eqn.convex()
ub_int = min(constr.upper,
mc_eqn.upper()) if constr.has_ub() else mc_eqn.upper()
lb_int = max(constr.lower,
mc_eqn.lower()) if constr.has_lb() else mc_eqn.lower()
parent_block = constr.parent_block()
# Create a block on which to put outer approximation cuts.
aff_utils = parent_block.component('GDPopt_aff')
if aff_utils is None:
aff_utils = parent_block.GDPopt_aff = Block(
doc="Block holding affine constraints")
aff_utils.GDPopt_aff_cons = ConstraintList()
aff_cuts = aff_utils.GDPopt_aff_cons
concave_cut = sum(ccSlope[var] * (var - var.value)
for var in vars_in_constr) + ccStart >= lb_int
convex_cut = sum(cvSlope[var] * (var - var.value)
for var in vars_in_constr) + cvStart <= ub_int
aff_cuts.add(expr=concave_cut)
aff_cuts.add(expr=convex_cut)
def test_lmtd(self):
m = ConcreteModel()
m.x = Var(bounds=(0.1, 500), initialize=33.327)
m.y = Var(bounds=(0.1, 500), initialize=14.436)
m.z = Var(bounds=(0, 90), initialize=22.5653)
e = m.z - (m.x * m.y * (m.x + m.y) / 2) ** (1/3)
mc_expr = mc(e)
for _x in [m.x.lb, m.x.ub]:
m.x.value = _x
mc_expr.changePoint(m.x, _x)
for _y in [m.y.lb, m.y.ub]:
m.y.value = _y
mc_expr.changePoint(m.y, _y)
for _z in [m.z.lb, m.z.ub]:
m.z.value = _z
mc_expr.changePoint(m.z, _z)
self.assertGreaterEqual(mc_expr.concave() + 1e-8, value(e))
self.assertLessEqual(mc_expr.convex() - 1e-6, value(e))
m.x.value = m.x.lb
m.y.value = m.y.lb
m.z.value = m.z.lb
mc_expr.changePoint(m.x, m.x.value)
mc_expr.changePoint(m.y, m.y.value)
mc_expr.changePoint(m.z, m.z.value)
self.assertAlmostEqual(mc_expr.convex(), value(e))
self.assertAlmostEqual(mc_expr.concave(), value(e))
m.x.value = m.x.ub
m.y.value = m.y.ub
m.z.value = m.z.ub
mc_expr.changePoint(m.x, m.x.value)
mc_expr.changePoint(m.y, m.y.value)
mc_expr.changePoint(m.z, m.z.value)
self.assertAlmostEqual(mc_expr.convex(), value(e))
self.assertAlmostEqual(mc_expr.concave(), value(e))
self.assertAlmostEqual(mc_expr.lower(), -500)
self.assertAlmostEqual(mc_expr.upper(), 89.9)
def add_lazy_affine_cuts(self, solve_data, config, opt):
"""
Adds affine cuts using MCPP; add affine cuts through Cplex inherent function self.add()
Parameters
----------
solve_data: MindtPy Data Container
data container that holds solve-instance data
config: ConfigBlock
contains the specific configurations for the algorithm
opt: SolverFactory
the mip solver
"""
m = solve_data.mip
config.logger.info("Adding affine cuts")
counter = 0
for constr in m.MindtPy_utils.constraint_list:
if constr.body.polynomial_degree() in (1, 0):
continue
vars_in_constr = list(identify_variables(constr.body))
if any(var.value is None for var in vars_in_constr):
continue # a variable has no values
# mcpp stuff
try:
mc_eqn = mc(constr.body)
except MCPP_Error as e:
config.logger.debug(
"Skipping constraint %s due to MCPP error %s" %
(constr.name, str(e)))
continue # skip to the next constraint
# TODO: check if the value of ccSlope and cvSlope is not Nan or inf. If so, we skip this.
ccSlope = mc_eqn.subcc()
cvSlope = mc_eqn.subcv()
ccStart = mc_eqn.concave()
cvStart = mc_eqn.convex()
concave_cut_valid = True
convex_cut_valid = True
for var in vars_in_constr:
if not var.fixed:
if ccSlope[var] == float('nan') or ccSlope[var] == float(
'inf'):
concave_cut_valid = False
if cvSlope[var] == float('nan') or cvSlope[var] == float(
'inf'):
convex_cut_valid = False
if ccStart == float('nan') or ccStart == float('inf'):
concave_cut_valid = False
if cvStart == float('nan') or cvStart == float('inf'):
convex_cut_valid = False
# check if the value of ccSlope and cvSlope all equals zero. if so, we skip this.
if not any(list(ccSlope.values())):
concave_cut_valid = False
if not any(list(cvSlope.values())):
convex_cut_valid = False
if (concave_cut_valid or convex_cut_valid) is False:
continue
ub_int = min(
constr.upper,
mc_eqn.upper()) if constr.has_ub() else mc_eqn.upper()
lb_int = max(
constr.lower,
mc_eqn.lower()) if constr.has_lb() else mc_eqn.lower()
parent_block = constr.parent_block()
# Create a block on which to put outer approximation cuts.
# TODO: create it at the beginning.
aff_utils = parent_block.component('MindtPy_aff')
if aff_utils is None:
aff_utils = parent_block.MindtPy_aff = Block(
doc="Block holding affine constraints")
aff_utils.MindtPy_aff_cons = ConstraintList()
aff_cuts = aff_utils.MindtPy_aff_cons
if concave_cut_valid:
pyomo_concave_cut = sum(ccSlope[var] * (var - var.value)
for var in vars_in_constr
if not var.fixed) + ccStart
cplex_concave_rhs = generate_standard_repn(
pyomo_concave_cut).constant
cplex_concave_cut, _ = opt._get_expr_from_pyomo_expr(
pyomo_concave_cut)
self.add(constraint=cplex.SparsePair(
ind=cplex_concave_cut.variables,
val=cplex_concave_cut.coefficients),
sense="G",
rhs=lb_int - cplex_concave_rhs)
counter += 1
if convex_cut_valid:
pyomo_convex_cut = sum(cvSlope[var] * (var - var.value)
for var in vars_in_constr
if not var.fixed) + cvStart
cplex_convex_rhs = generate_standard_repn(
pyomo_convex_cut).constant
cplex_convex_cut, _ = opt._get_expr_from_pyomo_expr(
pyomo_convex_cut)
self.add(constraint=cplex.SparsePair(
ind=cplex_convex_cut.variables,
val=cplex_convex_cut.coefficients),
sense="L",
rhs=ub_int - cplex_convex_rhs)
# aff_cuts.add(expr=convex_cut)
counter += 1
config.logger.info("Added %s affine cuts" % counter)
def add_affine_cuts(solve_data, config):
"""Adds affine cuts using MCPP.
Parameters
----------
solve_data : MindtPySolveData
Data container that holds solve-instance data.
config : ConfigBlock
The specific configurations for MindtPy.
"""
with time_code(solve_data.timing, 'Affine cut generation'):
m = solve_data.mip
config.logger.debug('Adding affine cuts')
counter = 0
for constr in m.MindtPy_utils.nonlinear_constraint_list:
vars_in_constr = list(
identify_variables(constr.body))
if any(var.value is None for var in vars_in_constr):
continue # a variable has no values
# mcpp stuff
try:
mc_eqn = mc(constr.body)
except MCPP_Error as e:
config.logger.debug(
'Skipping constraint %s due to MCPP error %s' % (constr.name, str(e)))
continue # skip to the next constraint
ccSlope = mc_eqn.subcc()
cvSlope = mc_eqn.subcv()
ccStart = mc_eqn.concave()
cvStart = mc_eqn.convex()
# check if the value of ccSlope and cvSlope is not Nan or inf. If so, we skip this.
concave_cut_valid = True
convex_cut_valid = True
for var in vars_in_constr:
if not var.fixed:
if ccSlope[var] == float('nan') or ccSlope[var] == float('inf'):
concave_cut_valid = False
if cvSlope[var] == float('nan') or cvSlope[var] == float('inf'):
convex_cut_valid = False
# check if the value of ccSlope and cvSlope all equals zero. if so, we skip this.
if not any(list(ccSlope.values())):
concave_cut_valid = False
if not any(list(cvSlope.values())):
convex_cut_valid = False
if ccStart == float('nan') or ccStart == float('inf'):
concave_cut_valid = False
if cvStart == float('nan') or cvStart == float('inf'):
convex_cut_valid = False
if not (concave_cut_valid or convex_cut_valid):
continue
ub_int = min(value(constr.upper), mc_eqn.upper()
) if constr.has_ub() else mc_eqn.upper()
lb_int = max(value(constr.lower), mc_eqn.lower()
) if constr.has_lb() else mc_eqn.lower()
aff_cuts = m.MindtPy_utils.cuts.aff_cuts
if concave_cut_valid:
concave_cut = sum(ccSlope[var] * (var - var.value)
for var in vars_in_constr
if not var.fixed) + ccStart >= lb_int
aff_cuts.add(expr=concave_cut)
counter += 1
if convex_cut_valid:
convex_cut = sum(cvSlope[var] * (var - var.value)
for var in vars_in_constr
if not var.fixed) + cvStart <= ub_int
aff_cuts.add(expr=convex_cut)
counter += 1
config.logger.debug('Added %s affine cuts' % counter)
def add_affine_cuts(solve_data, config):
"""
Adds affine cuts using MCPP; modifies the model to include affine cuts
Parameters
----------
solve_data: MindtPy Data Container
data container that holds solve-instance data
config: ConfigBlock
contains the specific configurations for the algorithm
"""
m = solve_data.mip
config.logger.info("Adding affine cuts")
counter = 0
for constr in m.MindtPy_utils.constraint_list:
if constr.body.polynomial_degree() in (1, 0):
continue
vars_in_constr = list(identify_variables(constr.body))
if any(var.value is None for var in vars_in_constr):
continue # a variable has no values
# mcpp stuff
try:
mc_eqn = mc(constr.body)
except MCPP_Error as e:
config.logger.debug("Skipping constraint %s due to MCPP error %s" %
(constr.name, str(e)))
continue # skip to the next constraint
ccSlope = mc_eqn.subcc()
cvSlope = mc_eqn.subcv()
ccStart = mc_eqn.concave()
cvStart = mc_eqn.convex()
# check if the value of ccSlope and cvSlope is not Nan or inf. If so, we skip this.
concave_cut_valid = True
convex_cut_valid = True
for var in vars_in_constr:
if not var.fixed:
if ccSlope[var] == float('nan') or ccSlope[var] == float(
'inf'):
concave_cut_valid = False
if cvSlope[var] == float('nan') or cvSlope[var] == float(
'inf'):
convex_cut_valid = False
# check if the value of ccSlope and cvSlope all equals zero. if so, we skip this.
if not any(list(ccSlope.values())):
concave_cut_valid = False
if not any(list(cvSlope.values())):
convex_cut_valid = False
if ccStart == float('nan') or ccStart == float('inf'):
concave_cut_valid = False
if cvStart == float('nan') or cvStart == float('inf'):
convex_cut_valid = False
if (concave_cut_valid or convex_cut_valid) is False:
continue
ub_int = min(constr.upper,
mc_eqn.upper()) if constr.has_ub() else mc_eqn.upper()
lb_int = max(constr.lower,
mc_eqn.lower()) if constr.has_lb() else mc_eqn.lower()
parent_block = constr.parent_block()
# Create a block on which to put outer approximation cuts.
# TODO: create it at the beginning.
aff_utils = parent_block.component('MindtPy_aff')
if aff_utils is None:
aff_utils = parent_block.MindtPy_aff = Block(
doc="Block holding affine constraints")
aff_utils.MindtPy_aff_cons = ConstraintList()
aff_cuts = aff_utils.MindtPy_aff_cons
if concave_cut_valid:
concave_cut = sum(ccSlope[var] * (var - var.value)
for var in vars_in_constr
if not var.fixed) + ccStart >= lb_int
aff_cuts.add(expr=concave_cut)
counter += 1
if convex_cut_valid:
convex_cut = sum(cvSlope[var] * (var - var.value)
for var in vars_in_constr
if not var.fixed) + cvStart <= ub_int
aff_cuts.add(expr=convex_cut)
counter += 1
config.logger.info("Added %s affine cuts" % counter)
def test_outofbounds(self):
m = ConcreteModel()
m.x = Var(bounds=(-1, 5), initialize=2)
with self.assertRaisesRegexp(MCPP_Error, '.*Log with negative values in range'):
mc(log(m.x))
def make3dPlot(expr, numticks=30, show_plot=False):
ccSurf = [None] * ((numticks + 1)**2)
cvSurf = [None] * ((numticks + 1)**2)
fvals = [None] * ((numticks + 1)**2)
xaxis2d = [None] * ((numticks + 1)**2)
yaxis2d = [None] * ((numticks + 1)**2)
ccAffine = [None] * ((numticks + 1)**2)
cvAffine = [None] * ((numticks + 1)**2)
eqn = mc(expr)
vars = identify_variables(expr)
x = next(vars)
y = next(vars)
x_tick_length = (x.ub - x.lb) / numticks
y_tick_length = (y.ub - y.lb) / numticks
xaxis = [x.lb + x_tick_length * n for n in range(numticks + 1)]
yaxis = [y.lb + y_tick_length * n for n in range(numticks + 1)]
# Making the affine tangent planes
ccSlope = eqn.subcc()
cvSlope = eqn.subcv()
x_val = value(x)
y_val = value(y)
f_cc = eqn.concave()
f_cv = eqn.convex()
# To Visualize Concave Affine Plane for different points
for i, x_tick in enumerate(xaxis):
eqn.changePoint(x, x_tick)
for j, y_tick in enumerate(yaxis):
ccAffine[i + (numticks + 1) * j] = (
ccSlope[x] * (x_tick - x_val) +
ccSlope[y] * (y_tick - y_val) + f_cc)
cvAffine[i + (numticks + 1) * j] = (
cvSlope[x] * (x_tick - x_val) +
cvSlope[y] * (y_tick - y_val) + f_cv)
xaxis2d[i + (numticks + 1) * j] = x_tick
yaxis2d[i + (numticks + 1) * j] = y_tick
eqn.changePoint(y, y_tick)
ccSurf[i + (numticks + 1) * j] = eqn.concave()
cvSurf[i + (numticks + 1) * j] = eqn.convex()
fvals[i + (numticks + 1) * j] = value(expr)
if show_plot:
import matplotlib.pyplot as plt
from mpl_toolkits.mplot3d import Axes3D
assert Axes3D # silence pyflakes
# Plotting Solutions in 3D
fig = plt.figure()
ax = fig.add_subplot(1, 1, 1, projection='3d')
ax.scatter(xaxis2d, yaxis2d, cvSurf, color='b')
ax.scatter(xaxis2d, yaxis2d, fvals, color='r')
ax.scatter(xaxis2d, yaxis2d, ccSurf, color='b')
# To Visualize Concave Affine Plane for different points
ax.scatter(xaxis2d, yaxis2d, cvAffine, color='k')
# Create a better view
ax.view_init(10, 270)
plt.show()
return ccSurf, cvSurf, ccAffine, cvAffine
def test_nonpyomo_numeric(self):
mc_expr = mc(-2)
self.assertEqual(mc_expr.lower(), -2)
self.assertEqual(mc_expr.upper(), -2)
def test_abs(self):
m = ConcreteModel()
m.x = Var(bounds=(-1, 1), initialize=0)
mc_expr = mc(abs((m.x)))
self.assertEqual(mc_expr.lower(), 0)
self.assertEqual(mc_expr.upper(), 1)
def make3dPlot(expr, numticks=30, show_plot=False):
ccSurf = [None] * ((numticks + 1)**2)
cvSurf = [None] * ((numticks + 1)**2)
fvals = [None] * ((numticks + 1)**2)
xaxis2d = [None] * ((numticks + 1)**2)
yaxis2d = [None] * ((numticks + 1)**2)
ccAffine = [None] * ((numticks + 1)**2)
cvAffine = [None] * ((numticks + 1)**2)
eqn = mc(expr)
vars = identify_variables(expr)
x = next(vars)
y = next(vars)
x_tick_length = (x.ub - x.lb) / numticks
y_tick_length = (y.ub - y.lb) / numticks
xaxis = [x.lb + x_tick_length * n for n in range(numticks + 1)]
yaxis = [y.lb + y_tick_length * n for n in range(numticks + 1)]
# Making the affine tangent planes
ccSlope = eqn.subcc()
cvSlope = eqn.subcv()
x_val = value(x)
y_val = value(y)
f_cc = eqn.concave()
f_cv = eqn.convex()
# To Visualize Concave Affine Plane for different points
for i, x_tick in enumerate(xaxis):
eqn.changePoint(x, x_tick)
for j, y_tick in enumerate(yaxis):
ccAffine[i + (numticks + 1) * j] = (
ccSlope[x] * (x_tick - x_val) +
ccSlope[y] * (y_tick - y_val) + f_cc)
cvAffine[i + (numticks + 1) * j] = (
cvSlope[x] * (x_tick - x_val) +
cvSlope[y] * (y_tick - y_val) + f_cv)
xaxis2d[i + (numticks + 1) * j] = x_tick
yaxis2d[i + (numticks + 1) * j] = y_tick
eqn.changePoint(y, y_tick)
ccSurf[i + (numticks + 1) * j] = eqn.concave()
cvSurf[i + (numticks + 1) * j] = eqn.convex()
fvals[i + (numticks + 1) * j] = value(expr)
if show_plot:
from mpl_toolkits.mplot3d import Axes3D
assert Axes3D # silence pyflakes
# Plotting Solutions in 3D
fig = plt.figure()
ax = fig.add_subplot(1, 1, 1, projection='3d')
ax.scatter(xaxis2d, yaxis2d, cvSurf, color='b')
ax.scatter(xaxis2d, yaxis2d, fvals, color='r')
ax.scatter(xaxis2d, yaxis2d, ccSurf, color='b')
# To Visualize Concave Affine Plane for different points
ax.scatter(xaxis2d, yaxis2d, cvAffine, color='k')
# Create a better view
ax.view_init(10, 270)
plt.show()
return ccSurf, cvSurf, ccAffine, cvAffine
def test_outofbounds(self):
m = ConcreteModel()
m.x = Var(bounds=(-1, 5), initialize=2)
with self.assertRaisesRegex(MCPP_Error, '.*Log with negative values in range'):
mc(log(m.x))
def test_abs(self):
m = ConcreteModel()
m.x = Var(bounds=(-1, 1), initialize=0)
mc_expr = mc(abs((m.x)))
self.assertEqual(mc_expr.lower(), 0)
self.assertEqual(mc_expr.upper(), 1)
def add_lazy_affine_cuts(self, solve_data, config, opt):
"""Adds affine cuts using MCPP.
Add affine cuts through Cplex inherent function self.add().
Parameters
----------
solve_data : MindtPySolveData
Data container that holds solve-instance data.
config : ConfigBlock
The specific configurations for MindtPy.
opt : SolverFactory
The cplex_persistent solver.
"""
with time_code(solve_data.timing, 'Affine cut generation'):
m = solve_data.mip
config.logger.debug('Adding affine cuts')
counter = 0
for constr in m.MindtPy_utils.nonlinear_constraint_list:
vars_in_constr = list(identify_variables(constr.body))
if any(var.value is None for var in vars_in_constr):
continue # a variable has no values
# mcpp stuff
try:
mc_eqn = mc(constr.body)
except MCPP_Error as e:
config.logger.debug(
'Skipping constraint %s due to MCPP error %s' %
(constr.name, str(e)))
continue # skip to the next constraint
# TODO: check if the value of ccSlope and cvSlope is not Nan or inf. If so, we skip this.
ccSlope = mc_eqn.subcc()
cvSlope = mc_eqn.subcv()
ccStart = mc_eqn.concave()
cvStart = mc_eqn.convex()
concave_cut_valid = True
convex_cut_valid = True
for var in vars_in_constr:
if not var.fixed:
if ccSlope[var] == float(
'nan') or ccSlope[var] == float('inf'):
concave_cut_valid = False
if cvSlope[var] == float(
'nan') or cvSlope[var] == float('inf'):
convex_cut_valid = False
if ccStart == float('nan') or ccStart == float('inf'):
concave_cut_valid = False
if cvStart == float('nan') or cvStart == float('inf'):
convex_cut_valid = False
# check if the value of ccSlope and cvSlope all equals zero. if so, we skip this.
if not any(ccSlope.values()):
concave_cut_valid = False
if not any(cvSlope.values()):
convex_cut_valid = False
if not (concave_cut_valid or convex_cut_valid):
continue
ub_int = min(
value(constr.upper),
mc_eqn.upper()) if constr.has_ub() else mc_eqn.upper()
lb_int = max(
value(constr.lower),
mc_eqn.lower()) if constr.has_lb() else mc_eqn.lower()
if concave_cut_valid:
pyomo_concave_cut = sum(ccSlope[var] * (var - var.value)
for var in vars_in_constr
if not var.fixed) + ccStart
cplex_concave_rhs = generate_standard_repn(
pyomo_concave_cut).constant
cplex_concave_cut, _ = opt._get_expr_from_pyomo_expr(
pyomo_concave_cut)
self.add(constraint=cplex.SparsePair(
ind=cplex_concave_cut.variables,
val=cplex_concave_cut.coefficients),
sense='G',
rhs=lb_int - cplex_concave_rhs)
counter += 1
if convex_cut_valid:
pyomo_convex_cut = sum(cvSlope[var] * (var - var.value)
for var in vars_in_constr
if not var.fixed) + cvStart
cplex_convex_rhs = generate_standard_repn(
pyomo_convex_cut).constant
cplex_convex_cut, _ = opt._get_expr_from_pyomo_expr(
pyomo_convex_cut)
self.add(constraint=cplex.SparsePair(
ind=cplex_convex_cut.variables,
val=cplex_convex_cut.coefficients),
sense='L',
rhs=ub_int - cplex_convex_rhs)
counter += 1
config.logger.info('Added %s affine cuts' % counter)
def test_nonpyomo_numeric(self):
mc_expr = mc(-2)
self.assertEqual(mc_expr.lower(), -2)
self.assertEqual(mc_expr.upper(), -2)