picos.constraints.uncertain

Constraint types with an explicit representation of data uncertainty.

Outline

Classes

BallUncertainNormConstraint

An (uncertain) upper bound on a norm with unit ball uncertainty.

ConicallyUncertainAffineConstraint

A bound on an affine expression with conic uncertainty.

MomentAmbiguousExtremumAffineConstraint

A bound on a moment-ambiguous expected value of a piecewise function.

MomentAmbiguousSquaredNormConstraint

A bound on a moment-ambiguous expected value of a squared norm.

ScenarioUncertainConicConstraint

Conic constraint with scenario uncertainty.

WassersteinAmbiguousExtremumAffineConstraint

A bound on a W_1-ambiguous expected value of a piecewise function.

WassersteinAmbiguousSquaredNormConstraint

A bound on a Wasserstein-ambiguous expected value of a squared norm.

Classes

BallUncertainNormConstraint

class picos.constraints.uncertain.BallUncertainNormConstraint(norm, upper_bound)[source]

Bases: picos.constraints.constraint.Constraint

An (uncertain) upper bound on a norm with unit ball uncertainty.

class RobustConversion[source]

Bases: picos.constraints.constraint.ConstraintConversion

Robust counterpart conversion.

classmethod convert(con, options)[source]

Implement convert.

Conversion recipe and variable names based on the book Robust Optimization (Ben-Tal, El Ghaoui, Nemirovski, 2009).

classmethod predict(subtype, options)[source]

Implement predict.

__init__(norm, upper_bound)[source]

Construct a BallUncertainNormConstraint.

Parameters
property ne

The uncertain affine expression under the norm.

ConicallyUncertainAffineConstraint

class picos.constraints.uncertain.ConicallyUncertainAffineConstraint(le0)[source]

Bases: picos.constraints.constraint.Constraint

A bound on an affine expression with conic uncertainty.

class RobustConversion[source]

Bases: picos.constraints.constraint.ConstraintConversion

Robust counterpart conversion.

classmethod convert(con, options)[source]

Implement convert.

Conversion recipe and variable names based on the book Robust Optimization (Ben-Tal, El Ghaoui, Nemirovski, 2009).

classmethod predict(subtype, options)[source]

Implement predict.

__init__(le0)[source]

Construct an ConicallyUncertainAffineConstraint.

Parameters

le0 (UncertainAffineExpression) – Uncertain expression constrained to be at most zero.

MomentAmbiguousExtremumAffineConstraint

class picos.constraints.uncertain.MomentAmbiguousExtremumAffineConstraint(extremum, relation, rhs)[source]

Bases: picos.constraints.constraint.Constraint

A bound on a moment-ambiguous expected value of a piecewise function.

class DistributionallyRobustConversion[source]

Bases: picos.constraints.constraint.ConstraintConversion

Distributionally robust counterpart conversion.

classmethod convert(con, options)[source]

Implement convert.

classmethod predict(subtype, options)[source]

Implement predict.

__init__(extremum, relation, rhs)[source]

Construct a MomentAmbiguousExtremumAffineConstraint.

Parameters
property maximum_form

The constraint posed as an upper bound on an expected maximum.

MomentAmbiguousSquaredNormConstraint

class picos.constraints.uncertain.MomentAmbiguousSquaredNormConstraint(sqnorm, upper_bound)[source]

Bases: picos.constraints.constraint.Constraint

A bound on a moment-ambiguous expected value of a squared norm.

class DistributionallyRobustConversion[source]

Bases: picos.constraints.constraint.ConstraintConversion

Distributionally robust counterpart conversion.

classmethod convert(con, options)[source]

Implement convert.

classmethod predict(subtype, options)[source]

Implement predict.

__init__(sqnorm, upper_bound)[source]

Construct a MomentAmbiguousSquaredNormConstraint.

Parameters

ScenarioUncertainConicConstraint

class picos.constraints.uncertain.ScenarioUncertainConicConstraint(element, cone)[source]

Bases: picos.constraints.constraint.Constraint

Conic constraint with scenario uncertainty.

class RobustConversion[source]

Bases: picos.constraints.constraint.ConstraintConversion

Robust counterpart conversion.

classmethod convert(con, options)[source]

Implement convert.

classmethod predict(subtype, options)[source]

Implement predict.

__init__(element, cone)[source]

Construct a ScenarioUncertainConicConstraint.

Parameters
  • element (UncertainAffineExpression) – Uncertain expression constrained to be in the cone.

  • cone (Cone) – The cone that the uncertain expression is constrained to.

WassersteinAmbiguousExtremumAffineConstraint

class picos.constraints.uncertain.WassersteinAmbiguousExtremumAffineConstraint(extremum, relation, rhs)[source]

Bases: picos.constraints.constraint.Constraint

A bound on a W_1-ambiguous expected value of a piecewise function.

class DistributionallyRobustConversion[source]

Bases: picos.constraints.constraint.ConstraintConversion

Distributionally robust counterpart conversion.

classmethod convert(con, options)[source]

Implement convert.

classmethod predict(subtype, options)[source]

Implement predict.

__init__(extremum, relation, rhs)[source]

Construct a WassersteinAmbiguousExtremumAffineConstraint.

Parameters
property maximum_form

The constraint posed as an upper bound on an expected maximum.

WassersteinAmbiguousSquaredNormConstraint

class picos.constraints.uncertain.WassersteinAmbiguousSquaredNormConstraint(sqnorm, upper_bound)[source]

Bases: picos.constraints.constraint.Constraint

A bound on a Wasserstein-ambiguous expected value of a squared norm.

class DistributionallyRobustConversion[source]

Bases: picos.constraints.constraint.ConstraintConversion

Distributionally robust counterpart conversion.

classmethod convert(con, options)[source]

Implement convert.

classmethod predict(subtype, options)[source]

Implement predict.

__init__(sqnorm, upper_bound)[source]

Construct a WassersteinAmbiguousSquaredNormConstraint.

Parameters