User Guide

User Guide

This page provides an overview of how to use FlexibilityAnalysis to analyze system flexibility. Detailed explanations on the syntax of each method/function and datatype is provided in Library.

The package needs to be loaded along with JuMP.jl in the usual manner:

using FlexibilityAnalysis, JuMP

Model Definition and Setup

Flexibility Model Definition

The flexibility model is defined with the FlexibilityModel function and the solver that will be used to solve the flexibility index problem should be specified.

using Gurobi
m = FlexibilityModel(solver = GurobiSolver(OutputFlag = 0))
Feasibility problem with:
 * 0 linear constraints
 * 0 variables
Solver is Gurobi

Flexibility models are JuMP models that have been extended to include information needed for flexibility analysis and incorporate solvehook which solves the flexibility index problem.


A solver that is capable of solving MIQCPs if an ellipsoidal or 2-norm uncertainty set must be used. Otherwise, an MILP solver will work.

Variable Definition

Now we can add variables to m using the @randomvariable macro for random variables, the @recoursevariable macro for recourse/control variables, the standard @variable JuMP macro to add state variables.

means = [620; 388; 583; 313]
@randomvariable(m, T[i = 1:4], mean = means[i])
@recoursevariable(m, Qc)
@variable(m, x)

In applications where it is not clear what variables are state/recourse variables, all the nonrandom variables can simply be defined with the @recoursevariable macro. The @randomvariable and @recoursevariable macros can define single variables and/or arrays of variables if we append brackets to the variable as is done in JuMP. For example

@recoursevariable(m, y[1:N, 1:M])

will create an N by M array of recourse variables.

However, these macros currently don't support specification of variable upper/lower bounds in contrast to the traditional JuMP syntax. Similarly, bounds added via the @variable macro will be ignored.

Please note that the @randomvariable macro requires that a mean be provided for each random variable. This can be done in the three following ways:

@randomvariable(m, z], mean = 42) # create one variable with mean 42
@randomvariable(m, z[i = 1:N], mean = means[i]) # assign means via a predefined vector
@randomvariable(m, z[i = 1:N], mean = 42) # assign the same mean to each variable

The vector containing the means of all the random variables can later be changed with the setmean function.

Constraint Definition

Now we can add constraints to m via the @constraint macro as we normally would with typical JuMP models.

@constraint(m, -100 - 0.67Qc + 2T[2] + x <= 0.0)
@constraint(m, -250 - T[2] == x)
@constraint(m, 0.5Qc - 0.75T[1] - T[2] - T[3] <= -1388.5)
@constraint(m, -Qc + 1.5T[1] + 2T[2] + T[3] >= 2044)
@constraint(m, Qc - 1.5T[1] - 2T[2] - T[3] - 2T[4] <= -2830)
@constraint(m, -Qc + 1.5T[1] + 2T[2] + T[3] + 3T[4] <= 3153)
JuMP.ConstraintRef{JuMP.Model,FlexibilityAnalysis.FlexibilityConstraint}(Feasibility problem with:
 * 6 linear constraints
 * 6 variables
Solver is Gurobi, 6)

Currently, only linear constraints can be used with FlexibilityAnalysis.

Uncertainty Set Definition

Now we can specify which uncertainty set we would like to use. This is done via the setuncertaintyset function. One of the 5 uncertainty set types described in the Uncertainty Set Characterization section can specified. For a flexibility model m, the set type is specified in the second argument with one of the following symbols: :Ellipsoid, :Hyperbox, or :PNorm. The third argument should contain whatever attribute is needed for that uncertainty set type. Continuing the example above we would define an ellipsoidal set

covar = [11.11 0 0 0; 0 11.11 0 0; 0 0 11.11 0; 0 0 0 11.11]
setuncertaintyset(m, :Ellipsoid, covar)

where the required attribute is the covariance matrix. Note that the covariance matrix must be symmetric positive semi-definite dimensionality that matches the number of random variables.

The other sets could have instead been defined by:

box_dev = [10; 10; 10; 10]
setuncertaintyset(m, :Hyperbox, [[box_dev]; [box_dev]])
setuncertaintyset(m, :PNorm, 1)
setuncertaintyset(m, :PNorm, 2)
setuncertaintyset(m, :PNorm, Inf)

The hyperbox set requires that a vector of two vectors that correspond to the negative and positive deviations be provided (these deviations are explained in Uncertainty Set Characterization). The p-norm sets required that the value of p be provided which can 1, 2, or Inf. A summary of the sets and their required inputs is shown below.

Uncertainty Set TypeSymbolAttribute
Hyperbox:Hyperbox[[neg_dev]; [pos_dev]]::Vector{Vector}
P-Norm:PNorm1, 2, or Inf

The setuncertaintyset function also accepts the keyword argument only_positive::Bool to indicate if the uncertainty set should be intersected with the set of all positive real numbers $\mathbb{R}_+^{n_{\theta}}$. For example, to define the set $T_{ellip}(\delta) \cap \mathbb{R}_+^{n_{\theta}}$ we would call

setuncertaintyset(m, :Ellipsoid, covar, only_positive = true)

By default the uncertainty set is taken to be ellipsoidal. Thus, one need not call setuncertaintyset if an ellipsoidal set is desired, but the the covariance matrix must still be specified via the setcovariance function.

Pre-Solution Methods

This section will outline methods/functions that are geared to be called before m is solved, but can still be applied after it is solved.

Mean Extraction/Manipulation

The mean corresponding to a particular random variable can be extracted via the getmean(variable::RandomVariable) method. Note that this only works for individual variables and that arrays of random variables are not valid input.

variable_mean = getmean(T[2])

The means of all the random variables in m can be extracted via the getmean(m::Model) method. For the current example we have

current_mean = getmean(m)
4-element Array{Number,1}:

The means of all the random variables in m can be redefined using the setmean method where the new means are passed as a vector in the second argument.

setmean(m, [1; 1; 1; 1])
4-element Array{Int64,1}:

Note that the new means vector must match the length of the current means vector, otherwise calling setmean will throw an error. We will reset means back to their original values before continuing.

setmean(m, means)
4-element Array{Int64,1}:

As discussed in the Uncertainty Set Characterization) section, it is critical that the means correspond to a feasible instance of the random variables. The feasibility of the means can be tested with the ismeanfeasible function. This tests the feasibility of the current mean for m using the feasibility function and returns true if it is feasible or false otherwise. In our current example we have

result = ismeanfeasible(m)

Thus, our current mean is feasible. By default the ClpSolver is used, but the keyword solver can be used to assign another solver LP or NLP solver.

Finally, the findcenteredmean function can be used to compute the analytic center or feasible center (which are described in Uncertainty Set Characterization). This function returns the feasible center by default, but can be changed via the center::Symbol keyword parameter where :feasible denotes the feasible center and :analytic refers to the analytic center. In our current example we have

centered_mean = findcenteredmean(m, center = :analytic)
4-element Array{Float64,1}:

This center can be used to replace the mean by setting the update_mean::Bool keyword parameter to true. Optionally, center can be constrained to be strictly positive with the only_positive:Bool keyword parameter. The default solver is the IpoptSolver since an NLP solver is required for the analytic center, but an LP solver can be used to compute the feasible center.

Covariance Extraction/Manipulation

The covariance matrix stored in m can be extracted via the getcovariance method.

covar = getcovariance(m)
4×4 Array{Number,2}:
 11.11   0.0    0.0    0.0
  0.0   11.11   0.0    0.0
  0.0    0.0   11.11   0.0
  0.0    0.0    0.0   11.11

The covariance matrix can be set or changed using the setcovariance function which requires the second argument to be covariance::Matrix.

setcovariance(m, covar)
4×4 Array{Number,2}:
 11.11   0.0    0.0    0.0
  0.0   11.11   0.0    0.0
  0.0    0.0   11.11   0.0
  0.0    0.0    0.0   11.11

Note that the specified covariance must be symmetric positive semi-definite, otherwise setcovariance will throw an error. Also, it is important that the covariance matrix appropriately match the number of random variables in m.

Model Solution

Now that the flexibility model m is defined we can solve it (i.e., solve the flexibility index problem). This is done simply by calling the JuMP solve function associated with the model. Thus, for our current example we have

solve(m, active_constr = true)

A number of keyword arguments can be passed which are each described in the documentation for solvehook. Here the active_constr::Bool keyword argument is used to turn on the active constraint which enforces the number of active constraints at the solution (this is can be used for systems with linearly independent inequalities). The U::Number keyword argument specifies the slack upper bound which can be changed to improve the solution time for a particular problem. Also, the conic_δ::Bool keyword argument can be used to when an MICP solver is used such as Pajarito.jl.

Post-Solution Methods

Critical Point Extraction

Now that m is solved, the optimized values of the variables can be extracted with the getvalue method as is normally done with JuMP models. With the current example we have

temperatures = getvalue(T)
cooling = getvalue(Qc)
state = getvalue(x)

Note that this can be done with single variables and/or arrays of variables.

Flexibility Index Information

The optimized value of the flexibility index stored in m can now be retrieved by using the getflexibilityindex method.

flexibility_index = getflexibilityindex(m)

Similarly, the stored flexibility index can be used to obtain the confidence level if an ellipsoidal uncertainty set was used. This can be calculated using the getconfidencelevel function.

conf_lvl = getconfidencelevel(m)

As discussed in the Uncertainty Set Characterization section, the confidence level provides a lower bound on the stochastic flexibility index.

The indexes of the active constraints can be obtained via the getactiveconstraints method.

actives = getactiveconstraints(m)
2-element Array{Int64,1}:

If desired, we can also directly extract all of the flexibility data associated with the FlexibilityData type.

data = getflexibilitydata(m)
FlexibilityAnalysis.FlexibilityData(JuMP.AbstractConstraint[-0.67*Qc + 2*T[2] + x - 100 <= 0, -1*T[2] + -x - 250 == 0, 0.5*Qc + -0.75*T[1] + -1*T[2] + -1*T[3] + 1388.5 <= 0, -1*Qc + 1.5*T[1] + 2*T[2] + 1*T[3] + -2044 >= 0, 1*Qc + -1.5*T[1] + -2*T[2] + -1*T[3] + -2*T[4] + 2830 <= 0, -1*Qc + 1.5*T[1] + 2*T[2] + 1*T[3] + 3*T[4] + -3153 <= 0], 4, Number[620, 388, 583, 313], AbstractString["T[1]", "T[2]", "T[3]", "T[4]"], [1, 2, 3, 4], 1, AbstractString["Qc"], [5], FlexibilityAnalysis.EllipsoidalSet(:Ellipsoid, false), Number[11.11 0.0 0.0 0.0; 0.0 11.11 0.0 0.0; 0.0 0.0 11.11 0.0; 0.0 0.0 0.0 11.11], 3.600355086286672, [3, 6])

Solution Time Extraction

The optimal solution time stored in m can be extracted using the getsolutiontime method. This is extracted from the if it is supported, otherwise it is determined using the @elapsed macro. With the current example we have:

opt_time = getsolutiontime(m)

Analysis Methods

Ranking Limiting Constraints

In the Analysis Techniques section we discussed how the flexibility index problem can be used to rank inequality constraints that most limit system flexibility. This can be done automatically using the [rankinequalities] function for a flexibility model m. This will return a vector of type Vector{Dict} where each dictionary contains the flexibility index, active constraint indexes, and optimized flexibility model corresponding to a particular rank level. With the current example we obtain

rank_data = rankinequalities(m, max_ranks = 3, active_constr = true)
2-element Array{Dict,1}:
 Dict{String,Any}(Pair{String,Any}("flexibility_index", 3.60036),Pair{String,Any}("model", Feasibility problem with:
 * 6 linear constraints
 * 6 variables
Solver is Gurobi),Pair{String,Any}("active_constraints", [3, 6]))
 Dict{String,Any}(Pair{String,Any}("flexibility_index", 9.93886e-8),Pair{String,Any}("model", Feasibility problem with:
 * 6 linear constraints
 * 6 variables
Solver is Gurobi),Pair{String,Any}("active_constraints", [1, 5]))

The keyword argument max_ranks::Int = 5 specifies the maximum number of rank levels, and the m will be iteratively solved without the previous active constraints until the maximum number of ranks is accomplished or the problem becomes unbounded, whichever occurs first. We also note that all of the same keyword arguments available to the solve function are accessible here since rankinequalities is a wrapper function for solve.

Stochastic Flexibility Index

The stochastic flexibility index can be computed via Monte Carlo sampling using the findstochasticflexibility function. The number of samples can be specified with the num_pts::Int = 10000 keyword argument.

SF = findstochasticflexibility(m, num_pts = 10000, use_vulnerability_model = true)

By default each sample is evaluated individually, but all of them can be evaluated simultaneously by setting the use_vulnerability_model::Bool to true as explained in Stochastic Flexibility Index Problem. Furthermore, the use_flexibility_index::Bool = false keyword argument can be set to true to use the optimized uncertainty set to reduce the number of MC samples that need to be evaluated. The only_positive::Bool = false keyword argument enforces that only positive MC samples are used.


By default the ClpSolver is used, but other solvers that support warm starts such as Gurobi and Cplex will improve performance if use_vulnerability_model::Bool = false. The solver can be changed with the solver keyword argument.