The Bundle Method

In order to run the bundle algorithm from [De Oliveira 2019], we implement a class BundleAlgorithm which encapsulates all bundle related parameters, variables and subroutines.

class taco.algorithms.BundleAlgorithm(oracle, params)[source]

Base class that combines the penalization procedure with a Bundle Method to solve the chance constraint problem. It is instantiated with a first-oder oracle for the DC objective and a dictionary of parameters. From time to time, the penalization parameters are increased to escape some critical point of the DC objective.

Parameters

  • oracle – An oracle object.

  • params (dict) – Python dictionary of parameters.

run(verbose=False)[source]

Runs the optimization process :type verbose: bool :param verbose: If true, prints advance of the process in the console :return: solution of the problem