Merge pull request #3441 from jas-yao/pyros-sp-efficiency

Add efficiency for handling PyROS separation problem sub-solver errors

Author: blnicho

doc/OnlineDocs/explanation/solvers/pyros.rst

@@ -958,7 +958,7 @@ Observe that the log contains the following information:
    :linenos:
 
    ==============================================================================
-   PyROS: The Pyomo Robust Optimization Solver, v1.3.2.
+   PyROS: The Pyomo Robust Optimization Solver, v1.3.3.
           Pyomo version: 6.9.0
           Commit hash: unknown
           Invoked at UTC 2024-11-01T00:00:00.000000

pyomo/contrib/pyros/CHANGELOG.txt

@@ -2,6 +2,16 @@
 PyROS CHANGELOG
 ===============
 
+-------------------------------------------------------------------------------
+PyROS 1.3.3    03 Dec 2024
+-------------------------------------------------------------------------------
+- Add efficiency for handling PyROS separation problem sub-solver errors
+- Add logger warnings to report sub-solver errors and inform that PyROS
+  will continue to solve if a violation is found
+- Add unit tests for new sub-solver error handling for continuous
+  and discrete uncertainty sets
+
+
 -------------------------------------------------------------------------------
 PyROS 1.3.2    29 Nov 2024
 -------------------------------------------------------------------------------

pyomo/contrib/pyros/pyros.py

@@ -33,7 +33,7 @@
 )
 
 
-__version__ = "1.3.2"
+__version__ = "1.3.3"
 
 
 default_pyros_solver_logger = setup_pyros_logger()

pyomo/contrib/pyros/pyros_algorithm_methods.py

@@ -273,6 +273,13 @@ def ROSolver_iterative_solve(model_data):
 
         # terminate on time limit
         if separation_results.time_out or separation_results.subsolver_error:
+            # report PyROS failure to find violated constraint for subsolver error
+            if separation_results.subsolver_error:
+                config.progress_logger.warning(
+                    "PyROS failed to find a constraint violation and "
+                    "will terminate with sub-solver error."
+                )
+
             pyros_term_cond = (
                 pyrosTerminationCondition.time_out
                 if separation_results.time_out

pyomo/contrib/pyros/separation_problem_methods.py

@@ -423,8 +423,13 @@ def get_worst_discrete_separation_solution(
     # violation of specified second-stage inequality
     # constraint by separation
     # problem solutions for all scenarios
+    # scenarios with subsolver errors are replaced with nan
     violations_of_ss_ineq_con = [
-        solve_call_res.scaled_violations[ss_ineq_con]
+        (
+            solve_call_res.scaled_violations[ss_ineq_con]
+            if not solve_call_res.subsolver_error
+            else np.nan
+        )
         for solve_call_res in discrete_solve_results.solver_call_results.values()
     ]
 
@@ -433,9 +438,9 @@ def get_worst_discrete_separation_solution(
     # determine separation solution for which scaled violation of this
     # second-stage inequality constraint is the worst
     worst_case_res = discrete_solve_results.solver_call_results[
-        list_of_scenario_idxs[np.argmax(violations_of_ss_ineq_con)]
+        list_of_scenario_idxs[np.nanargmax(violations_of_ss_ineq_con)]
     ]
-    worst_case_violation = np.max(violations_of_ss_ineq_con)
+    worst_case_violation = np.nanmax(violations_of_ss_ineq_con)
     assert worst_case_violation in worst_case_res.scaled_violations.values()
 
     # evaluate violations for specified second-stage inequality constraints
@@ -463,6 +468,13 @@ def get_worst_discrete_separation_solution(
     else:
         results_list = []
 
+    # check if there were any failed scenarios for subsolver_error
+    # if there are failed scenarios, subsolver error triggers for all ineq
+    if any(np.isnan(violations_of_ss_ineq_con)):
+        subsolver_error_flag = True
+    else:
+        subsolver_error_flag = False
+
     return SeparationSolveCallResults(
         solved_globally=worst_case_res.solved_globally,
         results_list=results_list,
@@ -471,7 +483,7 @@ def get_worst_discrete_separation_solution(
         variable_values=worst_case_res.variable_values,
         found_violation=(worst_case_violation > config.robust_feasibility_tolerance),
         time_out=False,
-        subsolver_error=False,
+        subsolver_error=subsolver_error_flag,
         discrete_set_scenario_index=worst_case_res.discrete_set_scenario_index,
     )
 
@@ -642,9 +654,7 @@ def perform_separation_loop(separation_data, master_data, solve_globally):
 
             priority_group_solve_call_results[ss_ineq_con] = solve_call_results
 
-            termination_not_ok = (
-                solve_call_results.time_out or solve_call_results.subsolver_error
-            )
+            termination_not_ok = solve_call_results.time_out
             if termination_not_ok:
                 all_solve_call_results.update(priority_group_solve_call_results)
                 return SeparationLoopResults(
@@ -653,6 +663,14 @@ def perform_separation_loop(separation_data, master_data, solve_globally):
                     worst_case_ss_ineq_con=None,
                 )
 
+            # provide message that PyROS will attempt to find a violation and move
+            # to the next iteration even after subsolver error
+            if solve_call_results.subsolver_error:
+                config.progress_logger.warning(
+                    "PyROS is attempting to recover and will continue to "
+                    "the next iteration if a constraint violation is found."
+                )
+
         all_solve_call_results.update(priority_group_solve_call_results)
 
         # there may be multiple separation problem solutions
@@ -1139,13 +1157,19 @@ def discrete_solve(
     ]
 
     solve_call_results_dict = {}
-    for scenario_idx in scenario_idxs_to_separate:
+    for idx, scenario_idx in enumerate(scenario_idxs_to_separate):
         # fix uncertain parameters to scenario value
         # hence, no need to activate uncertainty set constraints
         scenario = config.uncertainty_set.scenarios[scenario_idx]
         for param, coord_val in zip(uncertain_param_vars, scenario):
             param.fix(coord_val)
 
+        # debug statement for solving square problem for each scenario
+        config.progress_logger.debug(
+            f"Attempting to solve square problem for discrete scenario {scenario}"
+            f", {idx + 1} of {len(scenario_idxs_to_separate)} total"
+        )
+
         # obtain separation problem solution
         solve_call_results = solver_call_separation(
             separation_data=separation_data,
@@ -1158,12 +1182,17 @@ def discrete_solve(
         solve_call_results_dict[scenario_idx] = solve_call_results
 
         # halt at first encounter of unacceptable termination
-        termination_not_ok = (
-            solve_call_results.subsolver_error or solve_call_results.time_out
-        )
+        termination_not_ok = solve_call_results.time_out
         if termination_not_ok:
             break
 
+        # report any subsolver errors, but continue
+        if solve_call_results.subsolver_error:
+            config.progress_logger.warning(
+                f"All solvers failed to solve discrete scenario {scenario_idx}: "
+                f"{scenario}"
+            )
+
     return DiscreteSeparationSolveCallResults(
         solved_globally=solve_globally,
         solver_call_results=solve_call_results_dict,

pyomo/contrib/pyros/solve_data.py

@@ -277,11 +277,11 @@ def time_out(self):
     @property
     def subsolver_error(self):
         """
-        bool : True if there is a subsolver error status for at least
-        one of the the ``SeparationSolveCallResults`` objects listed
+        bool : True if there is a subsolver error status for all
+        of the ``SeparationSolveCallResults`` objects listed
         in `self`, False otherwise.
         """
-        return any(res.subsolver_error for res in self.solver_call_results.values())
+        return all(res.subsolver_error for res in self.solver_call_results.values())
 
 
 class SeparationLoopResults:
@@ -430,11 +430,14 @@ def subsolver_error(self):
         """
         bool : Return True if subsolver error reported for
         at least one ``SeparationSolveCallResults`` stored in
-        `self`, False otherwise.
+        `self` and no violations are found, False otherwise.
         """
-        return any(
-            solver_call_res.subsolver_error
-            for solver_call_res in self.solver_call_results.values()
+        return (
+            any(
+                solver_call_res.subsolver_error
+                for solver_call_res in self.solver_call_results.values()
+            )
+            and not self.found_violation
         )
 
     @property