Merge pull request #3581 from shermanjasonaf/pyros-sep-priorities-update

Update the PyROS Separation Priority Ordering Interface

Author: jsiirola

doc/OnlineDocs/explanation/solvers/pyros.rst

@@ -963,10 +963,10 @@ Observe that the log contains the following information:
    :linenos:
 
    ==============================================================================
-   PyROS: The Pyomo Robust Optimization Solver, v1.3.6.
-          Pyomo version: 6.9.2
-          Commit hash: 41cd797e0
-          Invoked at UTC 2025-03-13T16:20:31.105320+00:00
+   PyROS: The Pyomo Robust Optimization Solver, v1.3.8.
+          Pyomo version: 6.9.3dev0
+          Commit hash: unknown
+          Invoked at UTC 2025-05-05T00:00:00.000000+00:00
 
    Developed by: Natalie M. Isenberg (1), Jason A. F. Sherman (1),
                  John D. Siirola (2), Chrysanthos E. Gounaris (1)
@@ -1025,34 +1025,33 @@ 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   0.693        
-   1     3.5838e+07  1.2289e-09   1.5876e-12   5       3.7762e+04   1.514        
-   2     3.6129e+07  2.7244e-01   3.6878e-01   3       1.1093e+02   2.486        
-   3     3.6269e+07  3.7352e-01   4.3227e-01   1       2.7711e+01   3.667        
-   4     3.6285e+07  7.6526e-01   2.8426e-11   0       4.3364e-05g  6.291        
+   0     3.5838e+07  -            -            5       1.8832e+04   0.759
+   1     3.5838e+07  2.9329e-09   5.0030e-10   5       2.1295e+04   1.573
+   2     3.6285e+07  7.6526e-01   2.0398e-01   2       2.2457e+02   2.272
+   3     3.6285e+07  7.7212e-13   1.2525e-10   0       7.2940e-08g  5.280
    ------------------------------------------------------------------------------
    Robust optimal solution identified.
    ------------------------------------------------------------------------------
    Timing breakdown:
    
    Identifier                ncalls   cumtime   percall      %
    -----------------------------------------------------------
-   main                           1     6.291     6.291  100.0
+   main                           1     5.281     5.281  100.0
         ------------------------------------------------------
-        dr_polishing              4     0.334     0.083    5.3
-        global_separation        27     0.954     0.035   15.2
-        local_separation        135     3.046     0.023   48.4
-        master                    5     1.027     0.205   16.3
-        master_feasibility        4     0.133     0.033    2.1
-        preprocessing             1     0.013     0.013    0.2
-        other                   n/a     0.785       n/a   12.5
+        dr_polishing              3     0.155     0.052    2.9
+        global_separation        27     1.280     0.047   24.2
+        local_separation        108     2.200     0.020   41.7
+        master                    4     0.727     0.182   13.8
+        master_feasibility        3     0.103     0.034    1.9
+        preprocessing             1     0.021     0.021    0.4
+        other                   n/a     0.794       n/a   15.0
         ======================================================
    ===========================================================
    
    ------------------------------------------------------------------------------
    Termination stats:
-    Iterations            : 5
-    Solve time (wall s)   : 6.291
+    Iterations            : 4
+    Solve time (wall s)   : 5.281
     Final objective value : 3.6285e+07
     Termination condition : pyrosTerminationCondition.robust_optimal
    ------------------------------------------------------------------------------
@@ -1133,6 +1132,58 @@ The constituent columns are defined in the
        current iteration.
 
 
+Separation Priority Ordering 
+----------------------------
+The PyROS solver supports custom prioritization of
+the separation subproblems (and, thus, the constraints)
+that are automatically derived from
+a given model for robust optimization.
+Users may specify separation priorities through:
+
+- (Recommended) :class:`~pyomo.core.base.suffix.Suffix` components
+  with local name ``pyros_separation_priority``,
+  declared on the model or any of its sub-blocks.
+  Each entry of every such
+  :class:`~pyomo.core.base.suffix.Suffix`
+  should map a
+  :class:`~pyomo.core.base.var.Var`
+  or :class:`~pyomo.core.base.constraint.Constraint`
+  component to a value that specifies the separation
+  priority of all constraints derived from that component
+- The optional argument ``separation_priority_order``
+  to the PyROS :py:meth:`~pyomo.contrib.pyros.pyros.PyROS.solve`
+  method. The argument should be castable to a :py:obj:`dict`,
+  of which each entry maps the full name of a
+  :class:`~pyomo.core.base.var.Var`
+  or :class:`~pyomo.core.base.constraint.Constraint`
+  component to a value that specifies the
+  separation priority of all constraints
+  derived from that component
+
+Specification via :class:`~pyomo.core.base.suffix.Suffix` components
+takes precedence over specification via the solver argument
+``separation_priority_order``.
+Moreover, the precedence ordering among
+:class:`~pyomo.core.base.suffix.Suffix`
+components is handled by the Pyomo
+:class:`~pyomo.core.base.suffix.SuffixFinder` utility.
+
+A separation priority can be either
+a (real) number (i.e., of type :py:class:`int`, :py:class:`float`, etc.)
+or :py:obj:`None`.
+A higher number indicates a higher priority.
+The default priority for all constraints is 0.
+Therefore a constraint can be prioritized [or deprioritized]
+over the default by mapping the constraint to a positive [or negative] number.
+In practice, critical or dominant constraints are often
+prioritized over algorithmic or implied constraints.
+
+Constraints that have been assigned a priority of :py:obj:`None`
+are enforced subject to only the nominal uncertain parameter realization
+provided by the user. Therefore, these constraints are not imposed robustly
+and, in particular, are excluded from the separation problems.
+
+
 Feedback and Reporting Issues
 -------------------------------
 Please provide feedback and/or report any problems by opening an issue on

pyomo/contrib/pyros/CHANGELOG.txt

@@ -3,11 +3,24 @@ PyROS CHANGELOG
 ===============
 
 
+-------------------------------------------------------------------------------
+PyROS 1.3.8    28 Apr 2025
+-------------------------------------------------------------------------------
+- Add Suffix-based interface for prioritizing separation problems
+- Allow user to, through the separation priority ordering interface,
+  specify constraints that should be imposed subject to
+  the nominal realization only (and, therefore, not separated)
+- Deprecate the optional argument `separation_priority_order`.
+
+
 -------------------------------------------------------------------------------
 PyROS 1.3.7    06 Mar 2025
 -------------------------------------------------------------------------------
 - Modify reformulation of state-variable independent second-stage
   equality constraints for problems with discrete uncertainty sets
+- Lift the iteration-wise DR efficiency for problems with DR variable-dependent
+  first-stage equality constraints
+  (such as those derived from coefficient matching)
 
 
 -------------------------------------------------------------------------------

pyomo/contrib/pyros/config.py

@@ -13,6 +13,7 @@
     InEnum,
     Path,
 )
+from pyomo.common.deprecation import deprecation_warning
 from pyomo.common.errors import ApplicationError, PyomoException
 from pyomo.core.base import Var, VarData
 from pyomo.core.base.param import Param, ParamData
@@ -58,6 +59,38 @@ def positive_int_or_minus_one(obj):
 positive_int_or_minus_one.domain_name = "positive int or -1"
 
 
+def _deprecated_separation_priority_order(obj):
+    """
+    Domain validator for argument `separation_priority_order`.
+
+    As this argument has been deprecated, a deprecation warning
+    is issued through a WARNING-level logger message if
+    the argument is cast to a nonempty dict.
+
+    Parameters
+    ----------
+    obj : object
+        Argument value.
+
+    Returns
+    -------
+    separation_priority_order : dict
+        Argument value, cast to a dict.
+    """
+    separation_priority_order = dict(obj)
+    if separation_priority_order:
+        deprecation_warning(
+            "The argument 'separation_priority_order' is deprecated. "
+            "Consider specifying separation priorities by declaring, on your "
+            "model, Suffix components with local name `pyros_separation_priority`.",
+            version="6.9.3dev0",
+        )
+    return separation_priority_order
+
+
+_deprecated_separation_priority_order.domain_name = dict.__name__
+
+
 def uncertain_param_validator(uncertain_obj):
     """
     Check that a component object modeling an
@@ -720,17 +753,34 @@ def pyros_config():
         "separation_priority_order",
         ConfigValue(
             default={},
-            domain=dict,
+            domain=_deprecated_separation_priority_order,
             doc=(
                 """
-                Mapping from model inequality constraint names
-                to positive integers specifying the priorities
-                of their corresponding separation subproblems.
-                A higher integer value indicates a higher priority.
-                Constraints not referenced in the `dict` assume
-                a priority of 0.
-                Separation subproblems are solved in order of decreasing
-                priority.
+                (DEPRECATED)
+                A dict-like object, each entry of which
+                maps the full name of a model ``Var`` or ``Constraint``
+                component to a value specifying the separation priority
+                for all constraints derived from the component.
+                A separation priority can be a numeric value or None.
+                A higher numeric value indicates a higher priority.
+                For all constraints, the default priority is 0.
+                (Inequality and equality) constraints with a
+                priority of None are excluded from
+                the separation problems and enforced subject to only
+                the nominal uncertain parameter realization in the master
+                problems.
+                Separation problems corresponding to inequality
+                constraints with numeric priorities are grouped by
+                priority. In every iteration, the groups are traversed
+                in descending order of priority,
+                until, within a group, constraint violations
+                are detected.
+
+                *Deprecated since Pyomo 6.9.3dev0*: The argument
+                `separation_priority_order` is deprecated.
+                Specify separation priorities by declaring, on your
+                model, `Suffix` components with local name
+                'pyros_separation_priority'.
                 """
             ),
         ),

pyomo/contrib/pyros/pyros.py

@@ -33,7 +33,7 @@
 )
 
 
-__version__ = "1.3.7"
+__version__ = "1.3.8"
 
 
 default_pyros_solver_logger = setup_pyros_logger()

pyomo/contrib/pyros/pyros_algorithm_methods.py

@@ -327,6 +327,7 @@ def ROSolver_iterative_solve(model_data):
             from_block=nominal_master_blk,
             clone_first_stage_components=False,
         )
+
         separation_data.points_added_to_master[(k + 1, 0)] = (
             separation_results.violating_param_realization
         )

pyomo/contrib/pyros/separation_problem_methods.py

@@ -387,22 +387,44 @@ def group_ss_ineq_constraints_by_priority(separation_data):
         Keys are sorted in descending order
         (i.e. highest priority first).
     """
+    separation_data.config.progress_logger.debug(
+        "Grouping second-stage inequality constraints by separation priority..."
+    )
+
     ss_ineq_cons = separation_data.separation_model.second_stage.inequality_cons
     separation_priority_groups = dict()
     for name, ss_ineq_con in ss_ineq_cons.items():
-        # by default, priority set to 0
         priority = separation_data.separation_priority_order[name]
         cons_with_same_priority = separation_priority_groups.setdefault(priority, [])
         cons_with_same_priority.append(ss_ineq_con)
 
     # sort separation priority groups
-    return {
+    numeric_priority_grp_items = [
+        (priority, cons) for priority, cons in separation_priority_groups.items()
+    ]
+    sorted_priority_groups = {
         priority: ss_ineq_cons
-        for priority, ss_ineq_cons in sorted(
-            separation_priority_groups.items(), reverse=True
-        )
+        for priority, ss_ineq_cons in sorted(numeric_priority_grp_items, reverse=True)
     }
 
+    num_priority_groups = len(sorted_priority_groups)
+    separation_data.config.progress_logger.debug(
+        f"Found {num_priority_groups} separation "
+        f"priority group{'s' if num_priority_groups != 1 else ''}."
+    )
+    separation_data.config.progress_logger.debug(
+        "Separation priority grouping statistics:"
+    )
+    separation_data.config.progress_logger.debug(
+        f"  {'Priority':20s}{'# Ineq Cons':15s}"
+    )
+    for priority, cons in sorted_priority_groups.items():
+        separation_data.config.progress_logger.debug(
+            f"  {priority:<20d}{len(cons):<15d}"
+        )
+
+    return sorted_priority_groups
+
 
 def get_worst_discrete_separation_solution(
     ss_ineq_con, config, ss_ineq_cons_to_evaluate, discrete_solve_results
@@ -567,7 +589,7 @@ def perform_separation_loop(separation_data, master_data, solve_globally):
         master_data=master_data,
         ss_ineq_cons=all_ss_ineq_constraints,
     )
-    sorted_priority_groups = group_ss_ineq_constraints_by_priority(separation_data)
+    sorted_priority_groups = separation_data.separation_priority_groups
     uncertainty_set_is_discrete = (
         config.uncertainty_set.geometry == Geometry.DISCRETE_SCENARIOS
     )
@@ -629,11 +651,12 @@ def perform_separation_loop(separation_data, master_data, solve_globally):
 
     all_solve_call_results = ComponentMap()
     priority_groups_enum = enumerate(sorted_priority_groups.items())
+    solve_adverb = "Globally" if solve_globally else "Locally"
     for group_idx, (priority, ss_ineq_constraints) in priority_groups_enum:
         priority_group_solve_call_results = ComponentMap()
+
         for idx, ss_ineq_con in enumerate(ss_ineq_constraints):
             # log progress of separation loop
-            solve_adverb = "Globally" if solve_globally else "Locally"
             config.progress_logger.debug(
                 f"{solve_adverb} separating second-stage inequality constraint "
                 f"{get_con_name_repr(separation_data.separation_model, ss_ineq_con)} "
@@ -1294,6 +1317,8 @@ def __init__(self, model_data):
         else:
             self.idxs_of_master_scenarios = None
 
+        self.separation_priority_groups = group_ss_ineq_constraints_by_priority(self)
+
     def solve_separation(self, master_data):
         """
         Solve the separation problem.