Merge pull request Pyomo#3280 from shermanjasonaf/adjust-pyros-nl-wri…

…ter-tol Temporarily Adjust NL Writer Feasibility Tolerance within PyROS
Jtramey · Jul 9, 2024 · 7375570 · 7375570
2 parents 86aa282 + 4341d2b
commit 7375570
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diff --git a/pyomo/contrib/pyros/tests/test_grcs.py b/pyomo/contrib/pyros/tests/test_grcs.py
@@ -42,6 +42,7 @@
 from pyomo.contrib.pyros.util import get_vars_from_component
 from pyomo.contrib.pyros.util import identify_objective_functions
 from pyomo.common.collections import Bunch
+from pyomo.repn.plugins import nl_writer as pyomo_nl_writer
 import time
 import math
 from pyomo.contrib.pyros.util import time_code
@@ -68,7 +69,7 @@
 from pyomo.common.dependencies import numpy as np, numpy_available
 from pyomo.common.dependencies import scipy as sp, scipy_available
 from pyomo.environ import maximize as pyo_max
-from pyomo.common.errors import ApplicationError
+from pyomo.common.errors import ApplicationError, InfeasibleConstraintException
 from pyomo.opt import (
     SolverResults,
     SolverStatus,
@@ -4616,6 +4617,76 @@ def test_discrete_separation_subsolver_error(self):
             ),
         )
 
+    @unittest.skipUnless(ipopt_available, "IPOPT is not available.")
+    def test_pyros_nl_writer_tol(self):
+        """
+        Test PyROS subsolver call routine behavior
+        with respect to the NL writer tolerance is as
+        expected.
+        """
+        m = ConcreteModel()
+        m.q = Param(initialize=1, mutable=True)
+        m.x1 = Var(initialize=1, bounds=(0, 1))
+        m.x2 = Var(initialize=2, bounds=(0, m.q))
+        m.obj = Objective(expr=m.x1 + m.x2)
+
+        # fixed just inside the PyROS-specified NL writer tolerance.
+        m.x1.fix(m.x1.upper + 9.9e-5)
+
+        current_nl_writer_tol = pyomo_nl_writer.TOL
+        ipopt_solver = SolverFactory("ipopt")
+        pyros_solver = SolverFactory("pyros")
+
+        pyros_solver.solve(
+            model=m,
+            first_stage_variables=[m.x1],
+            second_stage_variables=[m.x2],
+            uncertain_params=[m.q],
+            uncertainty_set=BoxSet([[0, 1]]),
+            local_solver=ipopt_solver,
+            global_solver=ipopt_solver,
+            decision_rule_order=0,
+            solve_master_globally=False,
+            bypass_global_separation=True,
+        )
+
+        self.assertEqual(
+            pyomo_nl_writer.TOL,
+            current_nl_writer_tol,
+            msg="Pyomo NL writer tolerance not restored as expected.",
+        )
+
+        # fixed just outside the PyROS-specified NL writer tolerance.
+        # this should be exceptional.
+        m.x1.fix(m.x1.upper + 1.01e-4)
+
+        err_msg = (
+            "model contains a trivially infeasible variable.*x1"
+            ".*fixed.*outside bounds"
+        )
+        with self.assertRaisesRegex(InfeasibleConstraintException, err_msg):
+            pyros_solver.solve(
+                model=m,
+                first_stage_variables=[m.x1],
+                second_stage_variables=[m.x2],
+                uncertain_params=[m.q],
+                uncertainty_set=BoxSet([[0, 1]]),
+                local_solver=ipopt_solver,
+                global_solver=ipopt_solver,
+                decision_rule_order=0,
+                solve_master_globally=False,
+                bypass_global_separation=True,
+            )
+
+        self.assertEqual(
+            pyomo_nl_writer.TOL,
+            current_nl_writer_tol,
+            msg=(
+                "Pyomo NL writer tolerance not restored as expected "
+                "after exceptional test."
+            ),
+        )
+
     @unittest.skipUnless(
         baron_license_is_valid, "Global NLP solver is not available and licensed."
     )

diff --git a/pyomo/contrib/pyros/util.py b/pyomo/contrib/pyros/util.py
@@ -38,6 +38,7 @@
 from pyomo.core.expr import value
 from pyomo.core.expr.numeric_expr import NPV_MaxExpression, NPV_MinExpression
 from pyomo.repn.standard_repn import generate_standard_repn
+from pyomo.repn.plugins import nl_writer as pyomo_nl_writer
 from pyomo.core.expr.visitor import (
     identify_variables,
     identify_mutable_parameters,
@@ -377,7 +378,14 @@ def revert_solver_max_time_adjustment(
         elif isinstance(solver, SolverFactory.get_class("baron")):
             options_key = "MaxTime"
         elif isinstance(solver, SolverFactory.get_class("ipopt")):
-            options_key = "max_cpu_time"
+            options_key = (
+                # IPOPT 3.14.0+ added support for specifying
+                # wall time limit explicitly; this is preferred
+                # over CPU time limit
+                "max_wall_time"
+                if solver.version() >= (3, 14, 0, 0)
+                else "max_cpu_time"
+            )
         elif isinstance(solver, SolverFactory.get_class("scip")):
             options_key = "limits/time"
         else:
@@ -1809,6 +1817,16 @@ def call_solver(model, solver, config, timing_obj, timer_name, err_msg):
     timing_obj.start_timer(timer_name)
     tt_timer.tic(msg=None)
 
+    # tentative: reduce risk of InfeasibleConstraintException
+    # occurring due to discrepancies between Pyomo NL writer
+    # tolerance and (default) subordinate solver (e.g. IPOPT)
+    # feasibility tolerances.
+    # e.g., a Var fixed outside bounds beyond the Pyomo NL writer
+    # tolerance, but still within the default IPOPT feasibility
+    # tolerance
+    current_nl_writer_tol = pyomo_nl_writer.TOL
+    pyomo_nl_writer.TOL = 1e-4
+
     try:
         results = solver.solve(
             model,
@@ -1827,6 +1845,8 @@ def call_solver(model, solver, config, timing_obj, timer_name, err_msg):
             results.solver, TIC_TOC_SOLVE_TIME_ATTR, tt_timer.toc(msg=None, delta=True)
         )
     finally:
+        pyomo_nl_writer.TOL = current_nl_writer_tol
+
         timing_obj.stop_timer(timer_name)
         revert_solver_max_time_adjustment(
             solver, orig_setting, custom_setting_present, config