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VSS: Value of the Stochastic Solution report (--vss, two-stage) #791

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VSS: Value of the Stochastic Solution report (--vss, two-stage) #791

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87bc721
docs: design for Value of the Stochastic Solution (--vss report)
DLWoodruff Jul 9, 2026
a7e23a8
feat(vss): add --vss Value of the Stochastic Solution report (V1, two…
DLWoodruff Jul 9, 2026
79f85df
test(vss): run test_vss in the solver-equipped regression job
DLWoodruff Jul 9, 2026
aca6cf5
test(jensens): drive-by -- run test_jensens in the solver-equipped re…
DLWoodruff Jul 9, 2026
95d929c
fix(vss): thread the run's solver options (incl. mipgap) into the VSS…
DLWoodruff Jul 9, 2026
e3664d0
fix(vss): don't claim RP is "exact" when the EF has a nonzero mipgap
DLWoodruff Jul 14, 2026
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9 changes: 9 additions & 0 deletions .github/workflows/test_pr_and_main.yml
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Expand Up @@ -148,6 +148,14 @@ jobs:
run: |
coverage run $COV_ARGS -m pytest mpisppy/tests/test_feasible_xhat.py -v

- name: Test jensens
run: |
coverage run $COV_ARGS -m pytest mpisppy/tests/test_jensens.py -v

- name: Test vss
run: |
coverage run $COV_ARGS -m pytest mpisppy/tests/test_vss.py -v

- name: Test prox_approx end-to-end
run: |
coverage run $COV_ARGS -m pytest mpisppy/tests/test_prox_approx_e2e.py -v
Expand Down Expand Up @@ -1192,6 +1200,7 @@ jobs:
mpisppy/tests/test_solver_spec.py \
mpisppy/tests/test_extensions.py \
mpisppy/tests/test_jensens.py \
mpisppy/tests/test_vss.py \
mpisppy/tests/test_feasible_xhat.py \
mpisppy/tests/test_proper_bundler.py \
mpisppy/tests/test_incumbent_writing.py \
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3 changes: 3 additions & 0 deletions doc/designs/pysp_but_not_mpisppy.md
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Expand Up @@ -85,6 +85,9 @@ dual-bound extension itself is not reproduced.
computes the VSS / evaluates the expected-value solution across scenarios.
mpi-sppy has `average_scenario_creator` (an EV building block) but no dedicated
VSS/EEV computation utility.
**Addressed (two-stage):** `generic_cylinders --vss` now reports RP/EV/EEV/VSS
after a run (`mpisppy/generic/vss.py`; see `doc/src/vss.rst` and
`doc/designs/vss_design.md`). Multistage VSS is still a gap.

## B. PH algorithmic knobs that are missing

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