BudgetSet

(class from pyomo.contrib.pyros.uncertainty_sets)

class pyomo.contrib.pyros.uncertainty_sets.BudgetSet(budget_membership_mat, rhs_vec, origin=None)

Bases: UncertaintySet

A budget set.

Parameters:

• budget_membership_mat ((L, N) array_like) – Incidence matrix of the budget constraints. Each row corresponds to a single budget constraint, and defines which uncertain parameters (which dimensions) participate in that row’s constraint.

• rhs_vec ((L,) array_like) – Budget limits (upper bounds) with respect to the origin of the set.

• origin ((N,) array_like or None, optional) – Origin of the budget set. If None is provided, then the origin is set to the zero vector.

Examples

3D budget set with one budget constraint and no origin chosen (hence origin defaults to 3D zero vector):

>>> from pyomo.contrib.pyros import BudgetSet
>>> budget_set = BudgetSet(
...     budget_membership_mat=[[1, 1, 1]],
...     rhs_vec=[2],
... )
>>> budget_set.budget_membership_mat
array([[1, 1, 1]])
>>> budget_set.budget_rhs_vec
array([2])
>>> budget_set.origin
array([0., 0., 0.])

3D budget set with two budget constraints and custom origin:

>>> budget_custom = BudgetSet(
...     budget_membership_mat=[[1, 0, 1], [0, 1, 0]],
...     rhs_vec=[1, 1],
...     origin=[2, 2, 2],
... )
>>> budget_custom.budget_membership_mat
array([[1, 0, 1],
       [0, 1, 0]])
>>> budget_custom.budget_rhs_vec
array([1, 1])
>>> budget_custom.origin
array([2, 2, 2])

__init__(budget_membership_mat, rhs_vec, origin=None)

Initialize self (see class docstring).

Methods

__init__(budget_membership_mat, rhs_vec[, ...])	Initialize self (see class docstring).
compute_auxiliary_uncertain_param_vals(point)	Compute auxiliary uncertain parameter values for a given point.
is_bounded(config)	Determine whether the uncertainty set is bounded.
is_nonempty(config)	Return True if the uncertainty set is nonempty, else False.
is_valid(config)	Return True if the uncertainty set is bounded and non-empty, else False.
point_in_set(point)	Determine whether a given point lies in the uncertainty set.
set_as_constraint(**kwargs)	Construct a block of Pyomo constraint(s) defining the uncertainty set on variables representing the uncertain parameters, for use in a two-stage robust optimization problem or subproblem (such as a PyROS separation subproblem).

Attributes

budget_membership_mat	Incidence matrix of the budget constraints.
budget_rhs_vec	Budget limits (upper bounds) with respect to the origin.
coefficients_mat	Coefficient matrix of all polyhedral constraints defining the budget set.
dim	Dimension N of the budget set.
geometry	Geometry of the budget set.
origin	Origin of the budget set.
parameter_bounds	Bounds in each dimension of the budget set.
rhs_vec	Right-hand side vector for polyhedral constraints defining the budget set.
type	Brief description of the type of the uncertainty set.

Member Documentation

compute_auxiliary_uncertain_param_vals(point, solver=None)

Compute auxiliary uncertain parameter values for a given point. The point need not be in the uncertainty set.

Parameters:

• point ((N,) array-like) – Point of interest.

• solver (Pyomo solver, optional) – If needed, a Pyomo solver with which to compute the auxiliary values.

Returns:

aux_space_pt – Computed auxiliary uncertain parameter values.

Return type:

numpy.ndarray

is_bounded(config)

Determine whether the uncertainty set is bounded.

Parameters:

config (ConfigDict) – PyROS solver configuration.

Returns:

True if the uncertainty set is certified to be bounded, and False otherwise.

Return type:

bool

Notes

This check is carried out by solving a sequence of maximization and minimization problems (in which the objective for each problem is the value of a single uncertain parameter). If any of the optimization models cannot be solved successfully to optimality, then False is returned.

This method is invoked during the validation step of a PyROS solver call.

is_nonempty(config)

Return True if the uncertainty set is nonempty, else False.

is_valid(config)

Return True if the uncertainty set is bounded and non-empty, else False.

point_in_set(point)

Determine whether a given point lies in the uncertainty set.

Parameters:

point ((N,) array-like) – Point (parameter value) of interest.

Returns:

is_in_set – True if the point lies in the uncertainty set, False otherwise.

Return type:

bool

Notes

This method is invoked at the outset of a PyROS solver call to determine whether a user-specified nominal parameter realization lies in the uncertainty set.

set_as_constraint(**kwargs)

Construct a block of Pyomo constraint(s) defining the uncertainty set on variables representing the uncertain parameters, for use in a two-stage robust optimization problem or subproblem (such as a PyROS separation subproblem).

Parameters:

• uncertain_params (None, Var, or list of Var, optional) – Variable objects representing the (main) uncertain parameters. If None is passed, then new variable objects are constructed.

• block (BlockData or None, optional) – Block on which to declare the constraints and any new variable objects. If None is passed, then a new block is constructed.

Returns:

A collection of the components added or addressed.

Return type:

UncertaintyQuantification

property budget_membership_mat

Incidence matrix of the budget constraints. Each row corresponds to a single budget constraint and defines which uncertain parameters participate in that row’s constraint.

Type:

(L, N) numpy.ndarray

property budget_rhs_vec

Budget limits (upper bounds) with respect to the origin.

Type:

(L,) numpy.ndarray

property coefficients_mat

Coefficient matrix of all polyhedral constraints defining the budget set. Composed from the incidence matrix used for defining the budget constraints and a coefficient matrix for individual uncertain parameter nonnegativity constraints.

This attribute cannot be set. The budget constraint incidence matrix may be altered through the budget_membership_mat attribute.

Type:

(L + N, N) numpy.ndarray

property dim

Dimension N of the budget set.

Type:

int

property geometry

Geometry of the budget set. See the Geometry class documentation.

property origin

Origin of the budget set.

Type:

(N,) numpy.ndarray

property parameter_bounds

Bounds in each dimension of the budget set.

Returns:

List, length N, of 2-tuples. Each tuple specifies the bounds in its corresponding dimension.

Return type:

list of tuples

property rhs_vec

Right-hand side vector for polyhedral constraints defining the budget set. This also includes entries for nonnegativity constraints on the uncertain parameters.

This attribute cannot be set, and is automatically determined given other attributes.

Type:

(L + N,) numpy.ndarray

property type

Brief description of the type of the uncertainty set.

Type:

str