# ______________________________________________________________________________
#
# Pyomo: Python Optimization Modeling Objects
# Copyright 2017 National Technology and Engineering Solutions of Sandia, LLC
# Under the terms of Contract DE-NA0003525 with National Technology and
# Engineering Solutions of Sandia, LLC, the U.S. Government retains certain
# rights in this software.
# This software is distributed under the 3-clause BSD License
# ______________________________________________________________________________
from pyomo.environ import (
Param, Var, Block, ComponentMap, Objective, Constraint,
ConstraintList, Suffix, value, ComponentUID,
)
from pyomo.common.sorting import sorted_robust
from pyomo.core.expr.current import ExpressionReplacementVisitor
from pyomo.common.modeling import unique_component_name
from pyomo.common.deprecation import deprecated
from pyomo.common.tempfiles import TempfileManager
from pyomo.opt import SolverFactory, SolverStatus
from pyomo.contrib.sensitivity_toolbox.k_aug import K_augInterface, InTempDir
import logging
import os
import io
import shutil
from pyomo.common.dependencies import (
numpy as np, numpy_available
)
from pyomo.common.dependencies import scipy, scipy_available
logger = logging.getLogger('pyomo.contrib.sensitivity_toolbox')
@deprecated("The sipopt function has been deprecated. Use the sensitivity_calculation() "
"function with method='sipopt' to access this functionality.",
logger='pyomo.contrib.sensitivity_toolbox',
version='6.1')
def sipopt(instance, paramSubList, perturbList,
cloneModel=True, tee=False, keepfiles=False,
streamSoln=False):
m = sensitivity_calculation('sipopt', instance, paramSubList, perturbList,
cloneModel, tee, keepfiles, solver_options=None)
return m
@deprecated("The kaug function has been deprecated. Use the sensitivity_calculation() "
"function with method='k_aug' to access this functionality.",
logger='pyomo.contrib.sensitivity_toolbox',
version='6.1')
def kaug(instance, paramSubList, perturbList,
cloneModel=True, tee=False, keepfiles=False, solver_options=None,
streamSoln=False):
m = sensitivity_calculation('k_aug', instance, paramSubList, perturbList,
cloneModel, tee, keepfiles, solver_options)
return m
_SIPOPT_SUFFIXES = {
'sens_state_0': Suffix.EXPORT,
# ^ Not sure what this suffix does -RBP
'sens_state_1': Suffix.EXPORT,
'sens_state_value_1': Suffix.EXPORT,
'sens_init_constr': Suffix.EXPORT,
'sens_sol_state_1': Suffix.IMPORT,
'sens_sol_state_1_z_L': Suffix.IMPORT,
'sens_sol_state_1_z_U': Suffix.IMPORT,
}
_K_AUG_SUFFIXES = {
'ipopt_zL_out': Suffix.IMPORT,
'ipopt_zU_out': Suffix.IMPORT,
'ipopt_zL_in': Suffix.EXPORT,
'ipopt_zU_in': Suffix.EXPORT,
'dual': Suffix.IMPORT_EXPORT,
'dcdp': Suffix.EXPORT,
'DeltaP': Suffix.EXPORT,
}
def _add_sensitivity_suffixes(block):
suffix_dict = {}
suffix_dict.update(_SIPOPT_SUFFIXES)
suffix_dict.update(_K_AUG_SUFFIXES)
for name, direction in suffix_dict.items():
if block.component(name) is None:
# Only add suffix if it doesn't already exist.
# If something of this name does already exist, just
# assume it is the proper suffix and move on.
block.add_component(name, Suffix(direction=direction))
class _NotAnIndex(object):
pass
def _generate_component_items(components):
if type(components) not in {list, tuple}:
components = (components,)
for comp in components:
if comp.is_indexed():
for idx in sorted_robust(comp):
yield idx, comp[idx]
else:
yield _NotAnIndex, comp
[docs]def sensitivity_calculation(method, instance, paramList, perturbList,
cloneModel=True, tee=False, keepfiles=False, solver_options=None):
"""This function accepts a Pyomo ConcreteModel, a list of parameters, and
their corresponding perturbation list. The model is then augmented with
dummy constraints required to call sipopt or k_aug to get an approximation
of the perturbed solution.
Parameters
----------
method: string
'sipopt' or 'k_aug'
instance: Block
pyomo block or model object
paramSubList: list
list of mutable parameters or fixed variables
perturbList: list
list of perturbed parameter values
cloneModel: bool, optional
indicator to clone the model. If set to False, the original
model will be altered
tee: bool, optional
indicator to stream solver log
keepfiles: bool, optional
preserve solver interface files
solver_options: dict, optional
Provides options to the solver (also the name of an attribute)
Returns
-------
The model that was manipulated by the sensitivity interface
"""
sens = SensitivityInterface(instance, clone_model=cloneModel)
sens.setup_sensitivity(paramList)
m = sens.model_instance
if method not in {"k_aug", "sipopt"}:
raise ValueError("Only methods 'k_aug' and 'sipopt' are supported'")
if method == 'k_aug':
k_aug = SolverFactory('k_aug', solver_io='nl')
dot_sens = SolverFactory('dot_sens', solver_io='nl')
ipopt = SolverFactory('ipopt', solver_io='nl')
k_aug_interface = K_augInterface(k_aug=k_aug, dot_sens=dot_sens)
ipopt.solve(m, tee=tee)
m.ipopt_zL_in.update(m.ipopt_zL_out) #: important!
m.ipopt_zU_in.update(m.ipopt_zU_out) #: important!
k_aug.options['dsdp_mode'] = "" #: sensitivity mode!
k_aug_interface.k_aug(m, tee=tee)
sens.perturb_parameters(perturbList)
if method == 'sipopt':
ipopt_sens = SolverFactory('ipopt_sens', solver_io='nl')
ipopt_sens.options['run_sens'] = 'yes'
# Send the model to ipopt_sens and collect the solution
results = ipopt_sens.solve(m, keepfiles=keepfiles, tee=tee)
elif method == 'k_aug':
dot_sens.options["dsdp_mode"] = ""
k_aug_interface.dot_sens(m, tee=tee)
return m
def get_dsdp(model, theta_names, theta, tee=False):
"""This function calculates gradient vector of the variables
with respect to the parameters (theta_names).
e.g) min f: p1*x1+ p2*(x2^2) + p1*p2
s.t c1: x1 + x2 = p1
c2: x2 + x3 = p2
0 <= x1, x2, x3 <= 10
p1 = 10
p2 = 5
the function retuns dx/dp and dp/dp, and column orders.
The following terms are used to define the output dimensions:
Ncon = number of constraints
Nvar = number of variables (Nx + Ntheta)
Nx = number of decision (primal) variables
Ntheta = number of uncertain parameters.
Parameters
----------
model: Pyomo ConcreteModel
model should include an objective function
theta_names: list of strings
List of Var names
theta: dict
Estimated parameters e.g) from parmest
tee: bool, optional
Indicates that ef solver output should be teed
Returns
-------
dsdp: scipy.sparse.csr.csr_matrix
Ntheta by Nvar size sparse matrix. A Jacobian matrix of the
(decision variables, parameters) with respect to parameters
(theta_names). number of rows = len(theta_name), number of
columns = len(col)
col: list
List of variable names
"""
# Get parameters from names. In SensitivityInterface, we expect
# these to be parameters on the original model.
param_list = []
for name in theta_names:
comp = model.find_component(name)
if comp is None:
raise RuntimeError("Cannot find component %s on model" % name)
if comp.ctype is Var:
# If theta_names correspond to Vars in the model, these vars
# need to be fixed.
comp.fix()
param_list.append(comp)
sens = SensitivityInterface(model, clone_model=True)
m = sens.model_instance
# Setup model and calculate sensitivity matrix with k_aug
sens.setup_sensitivity(param_list)
k_aug = K_augInterface()
k_aug.k_aug(m, tee=tee)
# Write row and col files in a temp dir, then immediately
# read into a Python data structure.
nl_data = {}
with InTempDir():
base_fname = "col_row"
nl_file = ".".join((base_fname, "nl"))
row_file = ".".join((base_fname, "row"))
col_file = ".".join((base_fname, "col"))
m.write(nl_file, io_options={"symbolic_solver_labels": True})
for fname in [nl_file, row_file, col_file]:
with open(fname, "r") as fp:
nl_data[fname] = fp.read()
# Create more useful data structures from strings
dsdp = np.fromstring(k_aug.data["dsdp_in_.in"], sep="\n\t")
col = nl_data[col_file].strip("\n").split("\n")
row = nl_data[row_file].strip("\n").split("\n")
dsdp = dsdp.reshape((len(theta_names), int(len(dsdp)/len(theta_names))))
dsdp = dsdp[:len(theta_names), :len(col)]
col = [i for i in col if sens.get_default_block_name() not in i]
dsdp_out = np.zeros((len(theta_names),len(col)))
for i in range(len(theta_names)):
for j in range(len(col)):
if sens.get_default_block_name() not in col[j]:
dsdp_out[i,j] = -dsdp[i, j] # e.g) k_aug dsdp returns -dx1/dx1 = -1.0
return scipy.sparse.csr_matrix(dsdp_out), col
def get_dfds_dcds(model, theta_names, tee=False, solver_options=None):
"""This function calculates gradient vector of the objective function
and constraints with respect to the variables and parameters.
e.g) min f: p1*x1+ p2*(x2^2) + p1*p2
s.t c1: x1 + x2 = p1
c2: x2 + x3 = p2
0 <= x1, x2, x3 <= 10
p1 = 10
p2 = 5
- Variables = (x1, x2, x3, p1, p2)
- Fix p1 and p2 with estimated values
The following terms are used to define the output dimensions:
Ncon = number of constraints
Nvar = number of variables (Nx + Ntheta)
Nx = number of decision (primal) variables
Ntheta = number of uncertain parameters.
Parameters
----------
model: Pyomo ConcreteModel
model should include an objective function
theta_names: list of strings
List of Var names
tee: bool, optional
Indicates that ef solver output should be teed
solver_options: dict, optional
Provides options to the solver (also the name of an attribute)
Returns
-------
gradient_f: numpy.ndarray
Length Nvar array. A gradient vector of the objective function
with respect to the (decision variables, parameters) at the optimal
solution
gradient_c: scipy.sparse.csr.csr_matrix
Ncon by Nvar size sparse matrix. A Jacobian matrix of the
constraints with respect to the (decision variables, parameters)
at the optimal solution. Each row contains [column number,
row number, and value], column order follows variable order in col
and index starts from 1. Note that it follows k_aug.
If no constraint exists, return []
col: list
Size Nvar list of variable names
row: list
Size Ncon+1 list of constraints and objective function names.
The final element is the objective function name.
line_dic: dict
column numbers of the theta_names in the model. Index starts from 1
Raises
------
RuntimeError
When ipopt or k_aug or dotsens is not available
Exception
When ipopt fails
"""
# Create the solver plugin using the ASL interface
ipopt = SolverFactory('ipopt',solver_io='nl')
if solver_options is not None:
ipopt.options = solver_options
k_aug = SolverFactory('k_aug',solver_io='nl')
if not ipopt.available(False):
raise RuntimeError('ipopt is not available')
if not k_aug.available(False):
raise RuntimeError('k_aug is not available')
# Declare Suffixes
_add_sensitivity_suffixes(model)
# K_AUG SUFFIXES
model.dof_v = Suffix(direction=Suffix.EXPORT) #: SUFFIX FOR K_AUG
model.rh_name = Suffix(direction=Suffix.IMPORT) #: SUFFIX FOR K_AUG AS WELL
k_aug.options["print_kkt"] = ""
results = ipopt.solve(model,tee=tee)
# Raise exception if ipopt fails
if (results.solver.status == SolverStatus.warning):
raise Exception(results.solver.Message)
for o in model.component_objects(Objective, active=True):
f_mean = value(o)
model.ipopt_zL_in.update(model.ipopt_zL_out)
model.ipopt_zU_in.update(model.ipopt_zU_out)
# run k_aug
k_aug_interface = K_augInterface(k_aug=k_aug)
k_aug_interface.k_aug(model, tee=tee) #: always call k_aug AFTER ipopt.
nl_data = {}
with InTempDir():
base_fname = "col_row"
nl_file = ".".join((base_fname, "nl"))
row_file = ".".join((base_fname, "row"))
col_file = ".".join((base_fname, "col"))
model.write(nl_file, io_options={"symbolic_solver_labels": True})
for fname in [nl_file, row_file, col_file]:
with open(fname, "r") as fp:
nl_data[fname] = fp.read()
col = nl_data[col_file].strip("\n").split("\n")
row = nl_data[row_file].strip("\n").split("\n")
# get the column numbers of "parameters"
line_dic = {name: col.index(name) for name in theta_names}
grad_f_file = os.path.join("GJH", "gradient_f_print.txt")
grad_f_string = k_aug_interface.data[grad_f_file]
gradient_f = np.fromstring(grad_f_string, sep="\n\t")
col = [i for i in col if SensitivityInterface.get_default_block_name() not in i]
grad_c_file = os.path.join("GJH", "A_print.txt")
grad_c_string = k_aug_interface.data[grad_c_file]
gradient_c = np.fromstring(grad_c_string, sep="\n\t")
# Jacobian file is in "COO format," i.e. an nnz-by-3 array.
# Reshape to a numpy array that matches this format.
gradient_c = gradient_c.reshape((-1, 3))
num_constraints = len(row)-1 # Objective is included as a row
if num_constraints > 0 :
row_idx = gradient_c[:,1]-1
col_idx = gradient_c[:,0]-1
data = gradient_c[:,2]
gradient_c = scipy.sparse.csr_matrix((data, (row_idx, col_idx)),
shape=(num_constraints, len(col)))
else:
gradient_c = np.array([])
return gradient_f, gradient_c, col,row, line_dic
def line_num(file_name, target):
"""This function returns the line number that contains 'target' in the
file_name. This function identifies constraints that have variables
in theta_names.
Parameters
----------
file_name: string
file includes the variable order (i.e. col file)
target: string
variable name to check
Returns
-------
count: int
line number of target in the file
Raises
------
Exception
When file does not include target
"""
with open(file_name) as f:
count = int(1)
for line in f:
if line.strip() == target:
return int(count)
count += 1
raise Exception(file_name + " does not include "+target)
class SensitivityInterface(object):
def __init__(self, instance, clone_model=True):
""" Constructor clones model if necessary and attaches
to this object.
"""
self._original_model = instance
if clone_model:
# Note that we are not "cloning" the user's parameters
# or perturbations.
self.model_instance = instance.clone()
else:
self.model_instance = instance
@classmethod
def get_default_block_name(self):
return '_SENSITIVITY_TOOLBOX_DATA'
@staticmethod
def get_default_var_name(name):
#return '_'.join(('sens_var', name))
return name
@staticmethod
def get_default_param_name(name):
#return '_'.join(('sens_param', name))
return name
def _process_param_list(self, paramList):
# We need to translate the components in paramList into
# components in our possibly cloned model.
orig = self._original_model
instance = self.model_instance
if orig is not instance:
paramList = list(
ComponentUID(param, context=orig).find_component_on(instance)
for param in paramList
)
return paramList
def _add_data_block(self, existing_block=None):
# If a sensitivity block already exists, and we have not done
# any expression replacement, we delete the old block, re-fix the
# sensitivity variables, and start again.
#
# Don't do this in the constructor as we could want to call
# the constructor once, then perform multiple sensitivity
# calculations with the same model instance.
if existing_block is not None:
if (hasattr(existing_block, '_has_replaced_expressions') and
not existing_block._has_replaced_expressions):
for var, _, _, _ in existing_block._sens_data_list:
# Re-fix variables that the previous block was
# treating as parameters.
var.fix()
self.model_instance.del_component(existing_block)
else:
msg = ("Re-using sensitivity interface is not supported "
"when calculating sensitivity for mutable parameters. "
"Used fixed vars instead if you want to do this."
)
raise RuntimeError(msg)
# Add a block to keep track of model components necessary for this
# sensitivity calculation.
block = Block()
self.model_instance.add_component(self.get_default_block_name(), block)
self.block = block
# If the user tells us they will perturb a set of parameters, we will
# need to replace these parameters in the user's model's constraints.
# This affects what we can do with the model later, so we add a flag.
block._has_replaced_expressions = False
# This is the main data structure for keeping track of "sensitivity
# vars" and their associated params. It will be a list of tuples of
# (vardata, paramdata, list_index, comp_index)
# where:
# vardata is the "sensitivity variable" data object,
# paramdata is the associated parameter,
# list_index is its index in the user-provided list, and
# comp_index is its index in the component provided by the user.
block._sens_data_list = []
# This will hold the user-provided list of
# variables and/or parameters to perturb
block._paramList = None
# This will hold any constraints where we have replaced
# parameters with variables.
block.constList = ConstraintList()
return block
def _add_sensitivity_data(self, param_list):
block = self.block
sens_data_list = block._sens_data_list
for i, comp in enumerate(param_list):
if comp.ctype is Param:
parent = comp.parent_component()
if not parent.mutable:
raise ValueError(
"Parameters within paramList must be mutable. "
"Got %s, which is not mutable." % comp.name
)
# Add a Var:
if comp.is_indexed():
d = {k: value(comp[k]) for k in comp.index_set()}
var = Var(comp.index_set(), initialize=d)
else:
d = value(comp)
var = Var(initialize=d)
name = self.get_default_var_name(parent.local_name)
name = unique_component_name(block, name)
block.add_component(name, var)
if comp.is_indexed():
sens_data_list.extend(
(var[idx], param, i, idx)
for idx, param in _generate_component_items(comp)
)
else:
sens_data_list.append((var, comp, i, _NotAnIndex))
elif comp.ctype is Var:
parent = comp.parent_component()
for _, data in _generate_component_items(comp):
if not data.fixed:
raise ValueError(
"Specified \"parameter\" variables must be "
"fixed. Got %s, which is not fixed."
% comp.name
)
# Add a Param:
if comp.is_indexed():
d = {k: value(comp[k]) for k in comp.index_set()}
param = Param(comp.index_set(), mutable=True, initialize=d)
else:
d = value(comp)
param = Param(mutable=True, initialize=d)
name = self.get_default_param_name(parent.local_name)
name = unique_component_name(block, name)
block.add_component(name, param)
if comp.is_indexed():
sens_data_list.extend(
(var, param[idx], i, idx)
for idx, var in _generate_component_items(comp)
)
else:
sens_data_list.append((comp, param, i, _NotAnIndex))
def _replace_parameters_in_constraints(self, variableSubMap):
instance = self.model_instance
block = self.block
# Visitor that we will use to replace user-provided parameters
# in the objective and the constraints.
param_replacer = ExpressionReplacementVisitor(
substitute=variableSubMap,
remove_named_expressions=True,
)
# TODO: Flag to ExpressionReplacementVisitor to only replace
# named expressions if a node has been replaced within that
# expression.
new_old_comp_map = ComponentMap()
# clone Objective, add to Block, and update any Expressions
for obj in list(instance.component_data_objects(Objective,
active=True,
descend_into=True)):
tempName = unique_component_name(block, obj.local_name)
new_expr = param_replacer.walk_expression(obj.expr)
block.add_component(tempName, Objective(expr=new_expr))
new_old_comp_map[block.component(tempName)] = obj
obj.deactivate()
# clone Constraints, add to Block, and update any Expressions
#
# Unfortunate that this deactivates and replaces constraints
# even if they don't contain the parameters.
#
old_con_list = list(instance.component_data_objects(Constraint,
active=True, descend_into=True))
last_idx = 0
for con in old_con_list:
if (con.equality or con.lower is None or con.upper is None):
new_expr = param_replacer.walk_expression(con.expr)
block.constList.add(expr=new_expr)
last_idx += 1
new_old_comp_map[block.constList[last_idx]] = con
else:
# Constraint must be a ranged inequality, break into
# separate constraints
new_body = param_replacer.walk_expression(con.body)
new_lower = param_replacer.walk_expression(con.lower)
new_upper = param_replacer.walk_expression(con.upper)
# Add constraint for lower bound
block.constList.add(expr=(new_lower <= new_body))
last_idx += 1
new_old_comp_map[block.constList[last_idx]] = con
# Add constraint for upper bound
block.constList.add(expr=(new_body <= new_upper))
last_idx += 1
new_old_comp_map[block.constList[last_idx]] = con
con.deactivate()
return new_old_comp_map
def setup_sensitivity(self, paramList):
"""
"""
instance = self.model_instance
paramList = self._process_param_list(paramList)
existing_block = instance.component(self.get_default_block_name())
block = self._add_data_block(existing_block=existing_block)
block._sens_data_list = []
block._paramList = paramList
self._add_sensitivity_data(paramList)
sens_data_list = block._sens_data_list
for var, _, _, _ in sens_data_list:
# This unfixes all variables, not just those the user added.
var.unfix()
# Map used to replace user-provided parameters.
variableSubMap = dict((id(param), var)
for var, param, list_idx, _ in sens_data_list
if paramList[list_idx].ctype is Param)
if variableSubMap:
# We now replace the provided parameters in the user's
# expressions. Only do this if we have to, i.e. the
# user provided some parameters rather than all vars.
block._replaced_map = \
self._replace_parameters_in_constraints(variableSubMap)
# Assume that we just replaced some params
block._has_replaced_expressions = True
block.paramConst = ConstraintList()
for var, param, _, _ in sens_data_list:
#block.paramConst.add(param - var == 0)
block.paramConst.add(var - param == 0)
# Declare Suffixes
_add_sensitivity_suffixes(instance)
for i, (var, _, _, _) in enumerate(sens_data_list):
idx = i + 1
con = block.paramConst[idx]
# sipopt
instance.sens_state_0[var] = idx
instance.sens_state_1[var] = idx
instance.sens_init_constr[con] = idx
# k_aug
instance.dcdp[con] = idx
def perturb_parameters(self, perturbList):
"""
"""
# Note that entries of perturbList need not be components
# of the cloned model. All we need are the values.
instance = self.model_instance
sens_data_list = self.block._sens_data_list
paramConst = self.block.paramConst
if len(self.block._paramList) != len(perturbList):
raise ValueError(
"Length of paramList argument does not equal "
"length of perturbList")
for i, (var, param, list_idx, comp_idx) in enumerate(sens_data_list):
con = paramConst[i+1]
if comp_idx is _NotAnIndex:
ptb = value(perturbList[list_idx])
else:
try:
ptb = value(perturbList[list_idx][comp_idx])
except TypeError:
# If the user provided a scalar value to perturb
# an indexed component.
ptb = value(perturbList[list_idx])
# sipopt
instance.sens_state_value_1[var] = ptb
# k_aug
#instance.DeltaP[con] = value(ptb - var)
instance.DeltaP[con] = value(var - ptb)
# FIXME: ^ This is incorrect. DeltaP should be (ptb - current).
# But at least one test doesn't pass unless I use (current - ptb).