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Merge pull request #3071 from shermanjasonaf/new-subproblem-inits-pr
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Update PyROS Subproblem Initialization Routines
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@jsiirola
jsiirola authored Jan 16, 2024
2 parents 74beb7a + c104954 commit 6d392a8
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43 changes: 20 additions & 23 deletions doc/OnlineDocs/contributed_packages/pyros.rst
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Expand Up @@ -723,11 +723,11 @@ For this example, we obtain the following price of robustness results:
+==========================================+==============================+=============================+
| 0.00 | 35,837,659.18 | 0.00 % |
+------------------------------------------+------------------------------+-----------------------------+
| 0.10 | 36,135,191.59 | 0.82 % |
| 0.10 | 36,135,182.66 | 0.83 % |
+------------------------------------------+------------------------------+-----------------------------+
| 0.20 | 36,437,979.81 | 1.64 % |
| 0.20 | 36,437,979.81 | 1.68 % |
+------------------------------------------+------------------------------+-----------------------------+
| 0.30 | 43,478,190.92 | 17.57 % |
| 0.30 | 43,478,190.91 | 21.32 % |
+------------------------------------------+------------------------------+-----------------------------+
| 0.40 | ``robust_infeasible`` | :math:`\text{-----}` |
+------------------------------------------+------------------------------+-----------------------------+
Expand Down Expand Up @@ -854,10 +854,10 @@ Observe that the log contains the following information:
:linenos:
==============================================================================
PyROS: The Pyomo Robust Optimization Solver, v1.2.8.
PyROS: The Pyomo Robust Optimization Solver, v1.2.9.
Pyomo version: 6.7.0
Commit hash: unknown
Invoked at UTC 2023-11-03T04:27:42.954101
Invoked at UTC 2023-12-16T00:00:00.000000
Developed by: Natalie M. Isenberg (1), Jason A. F. Sherman (1),
John D. Siirola (2), Chrysanthos E. Gounaris (1)
Expand Down Expand Up @@ -914,37 +914,34 @@ Observe that the log contains the following information:
------------------------------------------------------------------------------
Itn Objective 1-Stg Shift 2-Stg Shift #CViol Max Viol Wall Time (s)
------------------------------------------------------------------------------
0 3.5838e+07 - - 5 1.8832e+04 1.555
1 3.5838e+07 2.2045e-12 2.7854e-12 7 3.7766e+04 2.991
2 3.6116e+07 1.2324e-01 3.9256e-01 8 1.3466e+06 4.881
3 3.6285e+07 5.1968e-01 4.5604e-01 6 4.8734e+03 6.908
4 3.6285e+07 2.6524e-13 1.3909e-13 1 3.5036e+01 9.176
5 3.6285e+07 2.0167e-13 5.4357e-02 6 2.9103e+00 11.457
6 3.6285e+07 2.2335e-12 1.2150e-01 5 4.1726e-01 13.868
7 3.6285e+07 2.2340e-12 1.1422e-01 0 9.3279e-10g 20.917
0 3.5838e+07 - - 5 1.8832e+04 1.741
1 3.5838e+07 3.5184e-15 3.9404e-15 10 4.2516e+06 3.766
2 3.5993e+07 1.8105e-01 7.1406e-01 13 5.2004e+06 6.288
3 3.6285e+07 5.1968e-01 7.7753e-01 4 1.7892e+04 8.247
4 3.6285e+07 9.1166e-13 1.9702e-15 0 7.1157e-10g 11.456
------------------------------------------------------------------------------
Robust optimal solution identified.
------------------------------------------------------------------------------
Timing breakdown:
Identifier ncalls cumtime percall %
-----------------------------------------------------------
main 1 20.918 20.918 100.0
main 1 11.457 11.457 100.0
------------------------------------------------------
dr_polishing 7 1.472 0.210 7.0
global_separation 47 1.239 0.026 5.9
local_separation 376 9.244 0.025 44.2
master 8 5.259 0.657 25.1
master_feasibility 7 0.486 0.069 2.3
preprocessing 1 0.403 0.403 1.9
other n/a 2.815 n/a 13.5
dr_polishing 4 0.682 0.171 6.0
global_separation 47 1.109 0.024 9.7
local_separation 235 5.810 0.025 50.7
master 5 1.353 0.271 11.8
master_feasibility 4 0.247 0.062 2.2
preprocessing 1 0.429 0.429 3.7
other n/a 1.828 n/a 16.0
======================================================
===========================================================
------------------------------------------------------------------------------
Termination stats:
Iterations : 8
Solve time (wall s) : 20.918
Iterations : 5
Solve time (wall s) : 11.457
Final objective value : 3.6285e+07
Termination condition : pyrosTerminationCondition.robust_optimal
------------------------------------------------------------------------------
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12 changes: 12 additions & 0 deletions pyomo/contrib/pyros/CHANGELOG.txt
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Expand Up @@ -2,6 +2,18 @@
PyROS CHANGELOG
===============

-------------------------------------------------------------------------------
PyROS 1.2.9 15 Dec 2023
-------------------------------------------------------------------------------
- Fix DR polishing optimality constraint for case of nominal objective focus
- Use previous separation solution to initialize second-stage and state
variables of new master block; simplify the master feasibility problem
- Use best known solution from master to initialize separation problems
per performance constraint
- Refactor DR variable and constraint declaration routines.
- Refactor DR polishing routine; initialize auxiliary variables
to values they are meant to represent

-------------------------------------------------------------------------------
PyROS 1.2.8 12 Oct 2023
-------------------------------------------------------------------------------
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