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Add PyROS Uncertain Parameter Reduction#3503

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jsiirola merged 21 commits intoPyomo:mainfrom
shermanjasonaf:pyros-effective-uncertain-params
Mar 13, 2025
Merged

Add PyROS Uncertain Parameter Reduction#3503
jsiirola merged 21 commits intoPyomo:mainfrom
shermanjasonaf:pyros-effective-uncertain-params

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@shermanjasonaf shermanjasonaf commented Mar 5, 2025 •
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Summary/Motivation:

This PR adds to PyROS the careful treatment of uncertain parameters that are constrained to a single value. Such uncertain parameters are now effectively treated as constants in all preprocessing steps and the separation problems. RO problems with uncertain parameters that are constrained to a single value can now be more expeditiously (and, in some cases, accurately) solved.

Changes proposed in this PR:

  • Add uncertain parameter reduction
  • Update testing

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shermanjasonaf commented Mar 5, 2025

@jas-yao @natalieisenberg

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natalieisenberg commented Mar 6, 2025

Out of curiosity, what is an example of a case where an uncertain parameter from a singleton set was not handled correctly prior to this commit?

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shermanjasonaf commented Mar 6, 2025

Out of curiosity, what is an example of a case where an uncertain parameter from a singleton set was not handled correctly prior to this commit?

For uncertainty set $Q \subset \mathbb{R}$, consider the RO problem

$$\min_{(x_1, x_2) \in [1, 2] \times [1, 2]} \{ x_1 + x_2 \mid q x_1 - x_2 = 0\,\forall\, q \in Q \}.$$

Prior to this PR, PyROS reports this problem as robust infeasible for any valid uncertainty set $Q$, as the preprocessor's coefficient matching step casts the equality constraint $qx_1 - x_2 = 0$ to the constraints $x_1 = 0$ and $-x_2 = 0$, which render the initial master problem infeasible. However, when $Q$ is the singleton set $\{ 1 \}$, for example, the problem is robust feasible, since in this case, the solution $(x_1, x_2) = (1, 1)$ is robust feasible.

@blnicho blnicho requested a review from jsiirola March 11, 2025 19:22
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jsiirola approved these changes Mar 11, 2025
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This ended up being significantly more complex than I expected, but the implementation looks good.

@jsiirola jsiirola merged commit 2739945 into Pyomo:main Mar 13, 2025
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@jsiirola jsiirola jsiirola approved these changes

@blnicho blnicho blnicho approved these changes

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@natalieisenberg natalieisenberg natalieisenberg approved these changes

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