Extend the PyROS CardinalitySet to allow negative deviations

doc/OnlineDocs/explanation/solvers/pyros/uncertainty_sets.rst

@@ -75,8 +75,8 @@ subclasses are provided below.
      - :math:`\begin{array}{l} q^{0} \in \mathbb{R}^{n}, \\ b \in \mathbb{R}_{+}^{L}, \\ B \in \{0, 1\}^{L \times n} \end{array}`
      - :math:`\left\{ q \in \mathbb{R}^{n} \middle| \begin{array}{l} \begin{pmatrix} B \\ -I \end{pmatrix} q \leq \begin{pmatrix}  b + Bq^{0} \\ -q^{0} \end{pmatrix}  \end{array} \right\}`
    * - :class:`~pyomo.contrib.pyros.uncertainty_sets.CardinalitySet`
-     - :math:`\begin{array}{l} q^{0} \in \mathbb{R}^{n}, \\ \hat{q} \in \mathbb{R}_{+}^{n}, \\ \Gamma \in [0, n] \end{array}`
-     - :math:`\left\{ q \in \mathbb{R}^{n} \middle| \begin{array}{l} \exists\,\xi \in [0, 1]^n\,:\\ \quad \,q = q^{0} + \hat{q} \circ \xi \\ \quad \displaystyle \sum_{i=1}^{n} \xi_{i} \leq \Gamma \end{array} \right\}`
+     - :math:`\begin{array}{l} q^{0} \in \mathbb{R}^{n}, \\ \hat{q}^+ \in \mathbb{R}_{+}^{n}, \\ \hat{q}^- \in \mathbb{R}_{+}^{n}, \\ \Gamma \in [0, n] \end{array}`
+     - :math:`\left\{ q \in \mathbb{R}^{n} \middle| \begin{array}{l} \exists\,\xi^+, \xi^- \in [0, 1]^n\,:\\ \quad \,q = q^{0} + \hat{q}^+ \circ \xi^+ - \hat{q}^- \circ \xi^- \\ \quad \displaystyle \sum_{i=1}^{n} (\xi_{i}^+ + \xi_{i}^-) \leq \Gamma \\ \quad \xi_i^+ = 0 \quad\forall\, i : \hat{q}_i^+ = 0 \\ \quad \xi_i^- = 0 \quad\forall\, i : \hat{q}_i^- = 0 \end{array} \right\}`
    * - :class:`~pyomo.contrib.pyros.uncertainty_sets.CartesianProductSet`
      - :math:`\begin{array}{l} \mathcal{Q}_{1} \subset \mathbb{R}^{n_1}, \\ \mathcal{Q}_{2} \subset \mathbb{R}^{n_2}, \\ \vdots \\ \mathcal{Q}_{m} \subset \mathbb{R}^{n_m} \end{array}`
      - :math:`\displaystyle \mathcal{Q}_{1} \times \mathcal{Q}_{2} \times \cdots \times \mathcal{Q}_{m}`

doc/OnlineDocs/reference/bibliography.rst

@@ -97,6 +97,10 @@ Bibliography
    *SIAM Journal on Applied Mathematics* 23(1), 61-19, 1972.
    DOI `10.1137/0123007 <https://doi.org/10.1137/0123007>`_
 
+.. [BS04] D. Bertsimas and M. Sim. "The price of robustness",
+   *Operations research*, 52(1), 35-53, 2004. DOI
+   `10.1287/opre.1030.0065 <https://doi.org/10.1287/opre.1030.0065>`_.
+
 .. [Dje20] H. Djelassi. "Discretization-based algorithms for the
    global solution of hierarchical programs".
    Dissertation, Rheinisch-Westfälische Technische Hochschule Aachen, 2020.

pyomo/contrib/pyros/CHANGELOG.txt

@@ -3,6 +3,12 @@ PyROS CHANGELOG
 ===============
 
 
+-------------------------------------------------------------------------------
+PyROS 1.3.15    12 May 2026
+-------------------------------------------------------------------------------
+- Extend `CardinalitySet` to allow for negative deviations
+
+
 -------------------------------------------------------------------------------
 PyROS 1.3.14    12 May 2026
 -------------------------------------------------------------------------------

pyomo/contrib/pyros/pyros.py

@@ -31,7 +31,7 @@
     ModelData,
 )
 
-__version__ = "1.3.14"
+__version__ = "1.3.15"
 
 
 default_pyros_solver_logger = setup_pyros_logger()

pyomo/contrib/pyros/tests/test_grcs.py

@@ -262,6 +262,63 @@ def build_leyffer_two_cons_two_params():
     return m
 
 
+class TestPyROSSolveCardinalitySet(unittest.TestCase):
+    """
+    Test PyROS successfully solves model with cardinality-constrained
+    uncertainty set.
+    """
+
+    @unittest.skipUnless(ipopt_available, "IPOPT is not available.")
+    def test_cardinality_set_solve(self):
+        m = ConcreteModel()
+        m.q = Param(range(4), initialize=1, mutable=True)
+        m.x = Var(initialize=0, bounds=(0, None))
+        m.obj = Objective(expr=m.x)
+        m.ineq_con = Constraint(expr=m.x >= m.q[0] + m.q[1] - m.q[2] - m.q[3])
+
+        cset = CardinalitySet(
+            origin=[1] * 4, positive_deviation=[1, 0, 2, 0.5], gamma=2
+        )
+        res = SolverFactory("pyros").solve(
+            model=m,
+            first_stage_variables=m.x,
+            second_stage_variables=[],
+            uncertain_params=m.q,
+            uncertainty_set=cset,
+            local_solver="ipopt",
+            global_solver="ipopt",
+            objective_focus="worst_case",
+            solve_master_globally=True,
+        )
+        self.assertEqual(res.iterations, 2)
+        # worst-case objective is just maximum sum of uncertain
+        # parameters (per cardinality constraints)
+        self.assertAlmostEqual(res.final_objective_value, 1)
+        self.assertEqual(
+            res.pyros_termination_condition, pyrosTerminationCondition.robust_optimal
+        )
+
+        cset.negative_deviation = [0, 4.5, 0.5, 3]
+        res2 = SolverFactory("pyros").solve(
+            model=m,
+            first_stage_variables=m.x,
+            second_stage_variables=[],
+            uncertain_params=m.q,
+            uncertainty_set=cset,
+            local_solver="ipopt",
+            global_solver="ipopt",
+            objective_focus="worst_case",
+            solve_master_globally=True,
+        )
+        self.assertEqual(res2.iterations, 2)
+        # worst-case objective changes due to
+        # change of maximum negative deviations
+        self.assertAlmostEqual(res2.final_objective_value, 4)
+        self.assertEqual(
+            res.pyros_termination_condition, pyrosTerminationCondition.robust_optimal
+        )
+
+
 class TestPyROSSolveFactorModelSet(unittest.TestCase):
     """
     Test PyROS successfully solves model with factor model uncertainty.