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Merge pull request Pyomo#3073 from emma58/mbigm-fixes
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Various bug fixes in gdp.mbigm transformation
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@mrmundt
mrmundt authored Feb 19, 2024
2 parents 42bd0a7 + eb57574 commit ddaa492
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4 changes: 4 additions & 0 deletions doc/OnlineDocs/modeling_extensions/gdp/solving.rst
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Original file line number Diff line number Diff line change
Expand Up @@ -140,6 +140,10 @@ For example, to apply the transformation and store the M values, use:
From the Pyomo command line, include the ``--transform pyomo.gdp.mbigm`` option.

.. warning::
The Multiple Big-M transformation does not currently support Suffixes and will
ignore "BigM" Suffixes.

Hull Reformulation (HR)
^^^^^^^^^^^^^^^^^^^^^^^

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116 changes: 81 additions & 35 deletions pyomo/gdp/plugins/multiple_bigm.py
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Original file line number Diff line number Diff line change
Expand Up @@ -31,7 +31,6 @@
NonNegativeIntegers,
Objective,
Param,
RangeSet,
Set,
SetOf,
SortComponents,
Expand Down Expand Up @@ -60,6 +59,18 @@

logger = logging.getLogger('pyomo.gdp.mbigm')

_trusted_solvers = {
'gurobi',
'cplex',
'cbc',
'glpk',
'scip',
'xpress',
'mosek',
'baron',
'highs',
}


@TransformationFactory.register(
'gdp.mbigm',
Expand Down Expand Up @@ -201,9 +212,9 @@ class MultipleBigMTransformation(GDP_to_MIP_Transformation, _BigM_MixIn):

def __init__(self):
super().__init__(logger)
self.handlers[Suffix] = self._warn_for_active_suffix
self._arg_list = {}
self._set_up_expr_bound_visitor()
self.handlers[Suffix] = self._warn_for_active_suffix

def _apply_to(self, instance, **kwds):
self.used_args = ComponentMap()
Expand Down Expand Up @@ -346,13 +357,6 @@ def _transform_disjunct(self, obj, transBlock, active_disjuncts, Ms):
# deactivate disjunct so writers can be happy
obj._deactivate_without_fixing_indicator()

def _warn_for_active_suffix(self, obj, disjunct, active_disjuncts, Ms):
raise GDP_Error(
"Found active Suffix '{0}' on Disjunct '{1}'. "
"The multiple bigM transformation does not currently "
"support Suffixes.".format(obj.name, disjunct.name)
)

def _transform_constraint(self, obj, disjunct, active_disjuncts, Ms):
# we will put a new transformed constraint on the relaxation block.
relaxationBlock = disjunct._transformation_block()
Expand Down Expand Up @@ -427,8 +431,8 @@ def _transform_constraint(self, obj, disjunct, active_disjuncts, Ms):
constraintMap,
)

# deactivate now that we have transformed
c.deactivate()
# deactivate now that we have transformed
c.deactivate()

def _transform_bound_constraints(self, active_disjuncts, transBlock, Ms):
# first we're just going to find all of them
Expand Down Expand Up @@ -631,40 +635,28 @@ def _calculate_missing_M_values(
self.used_args[constraint, other_disjunct] = (lower_M, upper_M)
else:
(lower_M, upper_M) = (None, None)
unsuccessful_solve_msg = (
"Unsuccessful solve to calculate M value to "
"relax constraint '%s' on Disjunct '%s' when "
"Disjunct '%s' is selected."
% (constraint.name, disjunct.name, other_disjunct.name)
)
if constraint.lower is not None and lower_M is None:
# last resort: calculate
if lower_M is None:
scratch.obj.expr = constraint.body - constraint.lower
scratch.obj.sense = minimize
results = self._config.solver.solve(other_disjunct)
if (
results.solver.termination_condition
is not TerminationCondition.optimal
):
raise GDP_Error(
"Unsuccessful solve to calculate M value to "
"relax constraint '%s' on Disjunct '%s' when "
"Disjunct '%s' is selected."
% (constraint.name, disjunct.name, other_disjunct.name)
)
lower_M = value(scratch.obj.expr)
lower_M = self._solve_disjunct_for_M(
other_disjunct, scratch, unsuccessful_solve_msg
)
if constraint.upper is not None and upper_M is None:
# last resort: calculate
if upper_M is None:
scratch.obj.expr = constraint.body - constraint.upper
scratch.obj.sense = maximize
results = self._config.solver.solve(other_disjunct)
if (
results.solver.termination_condition
is not TerminationCondition.optimal
):
raise GDP_Error(
"Unsuccessful solve to calculate M value to "
"relax constraint '%s' on Disjunct '%s' when "
"Disjunct '%s' is selected."
% (constraint.name, disjunct.name, other_disjunct.name)
)
upper_M = value(scratch.obj.expr)
upper_M = self._solve_disjunct_for_M(
other_disjunct, scratch, unsuccessful_solve_msg
)
arg_Ms[constraint, other_disjunct] = (lower_M, upper_M)
transBlock._mbm_values[constraint, other_disjunct] = (lower_M, upper_M)

Expand All @@ -674,6 +666,60 @@ def _calculate_missing_M_values(

return arg_Ms

def _solve_disjunct_for_M(
self, other_disjunct, scratch_block, unsuccessful_solve_msg
):
solver = self._config.solver
results = solver.solve(other_disjunct, load_solutions=False)
if results.solver.termination_condition is TerminationCondition.infeasible:
# [2/18/24]: TODO: After the solver rewrite is complete, we will not
# need this check since we can actually determine from the
# termination condition whether or not the solver proved
# infeasibility or just terminated at local infeasiblity. For now,
# while this is not complete, it catches most of the solvers we
# trust, and, unless someone is so pathological as to *rename* an
# untrusted solver using a trusted solver name, it will never do the
# *wrong* thing.
if any(s in solver.name for s in _trusted_solvers):
logger.debug(
"Disjunct '%s' is infeasible, deactivating." % other_disjunct.name
)
other_disjunct.deactivate()
M = 0
else:
# This is a solver that might report
# 'infeasible' for local infeasibility, so we
# can't deactivate with confidence. To be
# conservative, we'll just complain about
# it. Post-solver-rewrite we will want to change
# this so that we check for 'proven_infeasible'
# and then we can abandon this hack
raise GDP_Error(unsuccessful_solve_msg)
elif results.solver.termination_condition is not TerminationCondition.optimal:
raise GDP_Error(unsuccessful_solve_msg)
else:
other_disjunct.solutions.load_from(results)
M = value(scratch_block.obj.expr)
return M

def _warn_for_active_suffix(self, suffix, disjunct, active_disjuncts, Ms):
if suffix.local_name == 'BigM':
logger.debug(
"Found active 'BigM' Suffix on '{0}'. "
"The multiple bigM transformation does not currently "
"support specifying M's with Suffixes and is ignoring "
"this Suffix.".format(disjunct.name)
)
elif suffix.local_name == 'LocalVars':
# This is fine, but this transformation doesn't need anything from it
pass
else:
raise GDP_Error(
"Found active Suffix '{0}' on Disjunct '{1}'. "
"The multiple bigM transformation does not "
"support this Suffix.".format(suffix.name, disjunct.name)
)

# These are all functions to retrieve transformed components from
# original ones and vice versa.

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