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Fix PyROS Treatment of Fixed Model Variables and Initialization of Auxiliary Uncertain Parameters #3461

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@shermanjasonaf shermanjasonaf commented Jan 23, 2025

Summary/Motivation:

Fix typos introduced in the PyROS source code (contrib.pyros) in #3341, ensuring that:

  • PyROS treats as (fixed) decision variables (rather than constants) the fixed variables that participate in the active Objective/Constraint components of a model. These variables are, as originally intended in Overhaul PyROS Preprocessor Subroutine and Subproblem Objects #3341, later considered effectively first-stage. The bounds on fixed variables are enforced; hence, second-stage inequality constraints derived from bounds that depend on the uncertain parameters are now subject to separation, rather than overlooked
  • The variables representing the auxiliary uncertain parameters (e.g., of a CardinalitySet or FactorModelSet instance) in a PyROS separation subproblem are initialized according to the values of the "main" uncertain parameters

Changes proposed in this PR:

  • Ensure PyROS considers fixed variables to be within the input model scope
  • Ensure variables representing the auxiliary uncertain parameters are initialized appropriately in the separation problems
  • Unit test contrib.pyros.separation_problem_methods.initialize_separation
  • Add new tests for PyROS solver argument validation methods
  • Add test case in which PyROS solver termination outcome is sensitive to treatment of fixed variables

TODO (after #3439/#3441 merged?)

  • Update version number, changelog

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