TwoStageStochasticBlock

test/TwoStageStochasticBlock

A tester which provides initial tests for TwoStageStochasticBlock, the SMS++ Block that wraps a deterministic-equivalent two-stage stochastic program around an inner Block cloned once per scenario, with a DiscreteScenarioSet attached and a set of "here-and-now" non-anticipativity constraints linking the first-stage variables across scenarios, as well as for LagrangianDualSolver, LagBFunction, any CDASolver able to handle C05Function in the Objective (such as BundleSolver), any CDASolver able to handle Linear Programs (such as MILPSolver and its derived classes CPXMILPSolver and SCIPMILPSolver), and for quite a lot of the mechanics of the "core" SMS++ library.

This executable, given the filename of a netCDF file containing the description of a TwoStageStochasticBlock, solves its deterministic equivalent with a :MILPSolver and with a LagrangianDualSolver using BundleSolver as the inner Solver, comparing the results against each other (and against an optional reference objective value passed on the command line). The running times are printed. The relative tolerance for the comparison is fixed at 1e-5.

The usage of the executable is the following:

   ./TSSB_test TSSB-file [BSC-file ws ref]
   BSC-file: BlockSolverConfig description [BSPar-2S.txt]
   ws:       0 = LagrangianDualSolver, 1 = reserved [0]
   ref:      reference objective value to compare against [none]

The inner Block cloned per scenario can be any SMS++ Block: the tester is problem-agnostic. The instances shipped under batches/ happen to embed a UCBlock (for energy-community-type applications), but nothing in the executable assumes a specific inner Block type — any two-stage stochastic problem that can be expressed as a TwoStageStochasticBlock is in scope.

A makefile is also provided that builds the executable including the TwoStageStochasticBlock, LagrangianDualSolver, BundleSolver, MILPSolver modules and the core SMS++ library, together with the inner-Block module needed by the instances in batches/ (currently UCBlock).

Configuration files

• BSPar-2S.txt — outer BlockSolverConfig registering :MILPSolver (default GRBMILPSolver) + LagrangianDualSolver. The LagrangianDualSolver parameters (intPushCostToOwner=1, intDoEasy=1, dbltStar=-1, etc.) are set so that the Lagrangian relaxation behaves the same way as in the standalone tssb_solver tool.
• LPBSCfg.txt — BlockSolverConfig for the LagBFunction instances produced by LagrangianDualSolver (CPLEX with LP relaxation enabled).
• BSCfg.txt — alternative LP/QP BlockSolverConfig (HiGHS with IPM) that may be referenced from LPBSCfg.txt when a deterministic LP oracle is required.

Authors

• Antonio Frangioni
  Dipartimento di Informatica
  Università di Pisa

• Donato Meoli
  Dipartimento di Informatica
  Università di Pisa

License

This code is provided free of charge under the GNU Lesser General Public License version 3.0 - see the LICENSE file for details.