From c9b937d4f0c0c0740f70c427a0bf22f06ff5a52c Mon Sep 17 00:00:00 2001
From: jasherma <jasherma@andrew.cmu.edu>
Date: Fri, 22 Nov 2024 20:30:01 -0500
Subject: [PATCH 1/8] Add chi-squared confidence level attr to `EllipsoidalSet`

---
 .../pyros/tests/test_uncertainty_sets.py      | 82 +++++++++++++++++
 pyomo/contrib/pyros/uncertainty_sets.py       | 90 ++++++++++++++++---
 2 files changed, 159 insertions(+), 13 deletions(-)

diff --git a/pyomo/contrib/pyros/tests/test_uncertainty_sets.py b/pyomo/contrib/pyros/tests/test_uncertainty_sets.py
index 13195b3270e..e28e557fabd 100644
--- a/pyomo/contrib/pyros/tests/test_uncertainty_sets.py
+++ b/pyomo/contrib/pyros/tests/test_uncertainty_sets.py
@@ -20,6 +20,7 @@
     attempt_import,
     numpy as np,
     numpy_available,
+    scipy as sp,
     scipy_available,
 )
 from pyomo.environ import SolverFactory
@@ -1863,6 +1864,11 @@ def test_normal_construction_and_update(self):
         np.testing.assert_allclose(
             scale, eset.scale, err_msg="EllipsoidalSet scale not as expected"
         )
+        np.testing.assert_allclose(
+            sp.stats.chi2.cdf(scale ** 0.5, df=2),
+            eset.chi_sq_conf_lvl,
+            err_msg="EllipsoidalSet chi-squared confidence level not as expected",
+        )
 
         # check attributes update
         new_center = [-1, -3]
@@ -1886,6 +1892,40 @@ def test_normal_construction_and_update(self):
         np.testing.assert_allclose(
             new_scale, eset.scale, err_msg="EllipsoidalSet scale update not as expected"
         )
+        np.testing.assert_allclose(
+            sp.stats.chi2.cdf(new_scale ** 0.5, df=2),
+            eset.chi_sq_conf_lvl,
+            err_msg="EllipsoidalSet chi-square confidence level update not as expected"
+        )
+
+    def test_normal_construction_and_update_chi_sq_conf_lvl(self):
+        """
+        Test EllipsoidalSet constructor and setter
+        work normally when arguments are appropriate.
+        """
+        init_conf_lvl = 0.95
+        eset = EllipsoidalSet(
+            center=[0, 0, 0],
+            shape_matrix=np.eye(3),
+            scale=None,
+            chi_sq_conf_lvl=init_conf_lvl,
+        )
+
+        self.assertEqual(eset.chi_sq_conf_lvl, init_conf_lvl)
+        np.testing.assert_allclose(
+            sp.stats.chi2.isf(q=1 - init_conf_lvl, df=eset.dim),
+            eset.scale,
+            err_msg="EllipsoidalSet scale not as expected",
+        )
+
+        new_conf_lvl = 0.99
+        eset.chi_sq_conf_lvl = new_conf_lvl
+        self.assertEqual(eset.chi_sq_conf_lvl, new_conf_lvl)
+        np.testing.assert_allclose(
+            sp.stats.chi2.isf(q=1 - new_conf_lvl, df=eset.dim),
+            eset.scale,
+            err_msg="EllipsoidalSet scale not as expected",
+        )
 
     def test_error_on_ellipsoidal_dim_change(self):
         """
@@ -1926,6 +1966,48 @@ def test_error_on_neg_scale(self):
         with self.assertRaisesRegex(ValueError, exc_str):
             eset.scale = neg_scale
 
+    def test_error_invalid_chi_sq_conf_lvl(self):
+        """
+        Test error when attempting to initialize with chi-squared
+        confidence level outside range.
+        """
+        center = [0, 0]
+        shape_matrix = [[1, 0], [0, 2]]
+        invalid_conf_lvl = 1.001
+
+        exc_str = r"Ensure the confidence level is a value in \[0, 1\)."
+
+        # error on construction
+        with self.assertRaisesRegex(ValueError, exc_str):
+            EllipsoidalSet(
+                center=center,
+                shape_matrix=shape_matrix,
+                scale=None,
+                chi_sq_conf_lvl=invalid_conf_lvl,
+            )
+
+        # error on updating valid ellipsoid
+        eset = EllipsoidalSet(center, shape_matrix, scale=None, chi_sq_conf_lvl=0.95)
+        with self.assertRaisesRegex(ValueError, exc_str):
+            eset.chi_sq_conf_lvl = invalid_conf_lvl
+
+        # negative confidence level
+        eset = EllipsoidalSet(center, shape_matrix, scale=None, chi_sq_conf_lvl=0.95)
+        with self.assertRaisesRegex(ValueError, exc_str):
+            eset.chi_sq_conf_lvl = -0.1
+
+    def test_error_scale_chi_sq_conf_lvl_construction(self):
+        """
+        Test exception raised if neither or both of
+        `scale` and `chi_sq_conf_lvl` are None.
+        """
+        exc_str = r"Exactly one of `scale` and `chi_sq_conf_lvl` should be None"
+        with self.assertRaisesRegex(ValueError, exc_str):
+            EllipsoidalSet([0], [[1]], scale=None, chi_sq_conf_lvl=None)
+
+        with self.assertRaisesRegex(ValueError, exc_str):
+            EllipsoidalSet([0], [[1]], scale=1, chi_sq_conf_lvl=0.95)
+
     def test_error_on_shape_matrix_with_wrong_size(self):
         """
         Test error in event EllipsoidalSet shape matrix
diff --git a/pyomo/contrib/pyros/uncertainty_sets.py b/pyomo/contrib/pyros/uncertainty_sets.py
index ed03aa7553a..3da37648528 100644
--- a/pyomo/contrib/pyros/uncertainty_sets.py
+++ b/pyomo/contrib/pyros/uncertainty_sets.py
@@ -2374,31 +2374,37 @@ class EllipsoidalSet(UncertaintySet):
     center : (N,) array-like
         Center of the ellipsoid.
     shape_matrix : (N, N) array-like
-        A positive definite matrix characterizing the shape
-        and orientation of the ellipsoid.
-    scale : numeric type, optional
+        A symmetric positive definite matrix characterizing
+        the shape and orientation of the ellipsoid.
+    scale : numeric type or None, optional
         Square of the factor by which to scale the semi-axes
         of the ellipsoid (i.e. the eigenvectors of the shape
         matrix). The default is `1`.
+    chi_sq_conf_lvl : numeric type or None, optional
+        (Fractional) chi-squared confidence level of the multivariate
+        normal distribution with mean `center` and covariance
+        matrix `shape_matrix`.
+        Exactly one of `scale` and `chi_sq_conf_lvl` should be
+        None; otherwise, an exception is raised.
 
     Examples
     --------
-    3D origin-centered unit hypersphere:
+    A 3D origin-centered unit ball:
 
     >>> from pyomo.contrib.pyros import EllipsoidalSet
     >>> import numpy as np
-    >>> hypersphere = EllipsoidalSet(
+    >>> ball = EllipsoidalSet(
     ...     center=[0, 0, 0],
     ...     shape_matrix=np.eye(3),
     ...     scale=1,
     ... )
-    >>> hypersphere.center
+    >>> ball.center
     array([0, 0, 0])
-    >>> hypersphere.shape_matrix
+    >>> ball.shape_matrix
     array([[1., 0., 0.],
            [0., 1., 0.],
            [0., 0., 1.]])
-    >>> hypersphere.scale
+    >>> ball.scale
     1
 
     A 2D ellipsoid with custom rotation and scaling:
@@ -2416,13 +2422,42 @@ class EllipsoidalSet(UncertaintySet):
     >>> rotated_ellipsoid.scale
     0.5
 
+    A 4D 95% confidence ellipsoid:
+
+    >>> conf_ellipsoid = EllipsoidalSet(
+    ...     center=np.zeros(4),
+    ...     shape_matrix=np.diag(range(1, 5)),
+    ...     scale=None,
+    ...     chi_sq_conf_lvl=0.95,
+    ... )
+    >>> conf_ellipsoid.center
+    array([0, 0, 0, 0])
+    >>> conf_ellipsoid.shape_matrix
+    array([[1, 0, 0, 0]],
+           [0, 2, 0, 0]],
+           [0, 0, 3, 0]],
+           [0, 0, 0. 4]])
+    >>> conf_ellipsoid.scale
+    ...9.4877...
+    >>> conf_ellipsoid.chi_sq_conf_lvl
+    0.95
+
     """
 
-    def __init__(self, center, shape_matrix, scale=1):
+    def __init__(self, center, shape_matrix, scale=1, chi_sq_conf_lvl=None):
         """Initialize self (see class docstring)."""
         self.center = center
         self.shape_matrix = shape_matrix
-        self.scale = scale
+
+        if scale is not None and chi_sq_conf_lvl is None:
+            self.scale = scale
+        elif scale is None and chi_sq_conf_lvl is not None:
+            self.chi_sq_conf_lvl = chi_sq_conf_lvl
+        else:
+            raise ValueError(
+                "Exactly one of `scale` and `chi_sq_conf_lvl` should be "
+                f"None (got {scale=}, {chi_sq_conf_lvl=})"
+            )
 
     @property
     def type(self):
@@ -2456,7 +2491,7 @@ def center(self, val):
             if val_arr.size != self.dim:
                 raise ValueError(
                     "Attempting to set attribute 'center' of "
-                    f"AxisAlignedEllipsoidalSet of dimension {self.dim} "
+                    f"{type(self).__name__} of dimension {self.dim} "
                     f"to value of dimension {val_arr.size}"
                 )
 
@@ -2535,7 +2570,7 @@ def shape_matrix(self, val):
         if hasattr(self, "_center"):
             if not all(size == self.dim for size in shape_mat_arr.shape):
                 raise ValueError(
-                    f"EllipsoidalSet attribute 'shape_matrix' "
+                    f"{type(self).__name__} attribute 'shape_matrix' "
                     f"must be a square matrix of size "
                     f"{self.dim} to match set dimension "
                     f"(provided matrix with shape {shape_mat_arr.shape})"
@@ -2558,12 +2593,41 @@ def scale(self, val):
         validate_arg_type("scale", val, valid_num_types, "a valid numeric type", False)
         if val < 0:
             raise ValueError(
-                "EllipsoidalSet attribute "
+                f"{type(self).__name__} attribute "
                 f"'scale' must be a non-negative real "
                 f"(provided value {val})"
             )
 
         self._scale = val
+        self._chi_sq_conf_lvl = sp.stats.chi2.cdf(x=val ** 0.5, df=self.dim)
+
+    @property
+    def chi_sq_conf_lvl(self):
+        """
+        numeric type : (Fractional) chi-squared confidence level of the
+        multivariate normal distribution with mean ``self.origin``
+        and covariance ``self.shape_matrix`` for ellipsoidal region
+        with square magnification factor ``self.scale``.
+        """
+        return self._chi_sq_conf_lvl
+
+    @chi_sq_conf_lvl.setter
+    def chi_sq_conf_lvl(self, val):
+        validate_arg_type(
+            "chi_sq_conf_lvl",
+            val,
+            valid_num_types,
+            "a valid numeric type",
+            False,
+        )
+        self._chi_sq_conf_lvl = val
+        self._scale = sp.stats.chi2.isf(q=1 - val, df=self.dim)
+        if np.isnan(self._scale) or np.isinf(self._scale):
+            raise ValueError(
+                f"Squared scaling factor calculation for confidence level {val} "
+                f"and set dimension {self.dim} returned {self._scale}. "
+                "Ensure the confidence level is a value in [0, 1)."
+            )
 
     @property
     def dim(self):

From 290868c509b95399a9a76f217da333deca51d1c5 Mon Sep 17 00:00:00 2001
From: jasherma <jasherma@andrew.cmu.edu>
Date: Fri, 22 Nov 2024 20:30:45 -0500
Subject: [PATCH 2/8] Apply black

---
 pyomo/contrib/pyros/tests/test_uncertainty_sets.py | 6 +++---
 pyomo/contrib/pyros/uncertainty_sets.py            | 8 ++------
 2 files changed, 5 insertions(+), 9 deletions(-)

diff --git a/pyomo/contrib/pyros/tests/test_uncertainty_sets.py b/pyomo/contrib/pyros/tests/test_uncertainty_sets.py
index e28e557fabd..fb0f927b4ac 100644
--- a/pyomo/contrib/pyros/tests/test_uncertainty_sets.py
+++ b/pyomo/contrib/pyros/tests/test_uncertainty_sets.py
@@ -1865,7 +1865,7 @@ def test_normal_construction_and_update(self):
             scale, eset.scale, err_msg="EllipsoidalSet scale not as expected"
         )
         np.testing.assert_allclose(
-            sp.stats.chi2.cdf(scale ** 0.5, df=2),
+            sp.stats.chi2.cdf(scale**0.5, df=2),
             eset.chi_sq_conf_lvl,
             err_msg="EllipsoidalSet chi-squared confidence level not as expected",
         )
@@ -1893,9 +1893,9 @@ def test_normal_construction_and_update(self):
             new_scale, eset.scale, err_msg="EllipsoidalSet scale update not as expected"
         )
         np.testing.assert_allclose(
-            sp.stats.chi2.cdf(new_scale ** 0.5, df=2),
+            sp.stats.chi2.cdf(new_scale**0.5, df=2),
             eset.chi_sq_conf_lvl,
-            err_msg="EllipsoidalSet chi-square confidence level update not as expected"
+            err_msg="EllipsoidalSet chi-square confidence level update not as expected",
         )
 
     def test_normal_construction_and_update_chi_sq_conf_lvl(self):
diff --git a/pyomo/contrib/pyros/uncertainty_sets.py b/pyomo/contrib/pyros/uncertainty_sets.py
index 3da37648528..74c6dbe62eb 100644
--- a/pyomo/contrib/pyros/uncertainty_sets.py
+++ b/pyomo/contrib/pyros/uncertainty_sets.py
@@ -2599,7 +2599,7 @@ def scale(self, val):
             )
 
         self._scale = val
-        self._chi_sq_conf_lvl = sp.stats.chi2.cdf(x=val ** 0.5, df=self.dim)
+        self._chi_sq_conf_lvl = sp.stats.chi2.cdf(x=val**0.5, df=self.dim)
 
     @property
     def chi_sq_conf_lvl(self):
@@ -2614,11 +2614,7 @@ def chi_sq_conf_lvl(self):
     @chi_sq_conf_lvl.setter
     def chi_sq_conf_lvl(self, val):
         validate_arg_type(
-            "chi_sq_conf_lvl",
-            val,
-            valid_num_types,
-            "a valid numeric type",
-            False,
+            "chi_sq_conf_lvl", val, valid_num_types, "a valid numeric type", False
         )
         self._chi_sq_conf_lvl = val
         self._scale = sp.stats.chi2.isf(q=1 - val, df=self.dim)

From b960fc0e8bcea8002665bc361e20cc59c1da80c3 Mon Sep 17 00:00:00 2001
From: jasherma <jasherma@andrew.cmu.edu>
Date: Fri, 22 Nov 2024 21:45:55 -0500
Subject: [PATCH 3/8] Fix `EllipsoidalSet.scale` setter

---
 pyomo/contrib/pyros/tests/test_uncertainty_sets.py | 8 ++++++--
 pyomo/contrib/pyros/uncertainty_sets.py            | 2 +-
 2 files changed, 7 insertions(+), 3 deletions(-)

diff --git a/pyomo/contrib/pyros/tests/test_uncertainty_sets.py b/pyomo/contrib/pyros/tests/test_uncertainty_sets.py
index fb0f927b4ac..286cd620d85 100644
--- a/pyomo/contrib/pyros/tests/test_uncertainty_sets.py
+++ b/pyomo/contrib/pyros/tests/test_uncertainty_sets.py
@@ -1865,7 +1865,9 @@ def test_normal_construction_and_update(self):
             scale, eset.scale, err_msg="EllipsoidalSet scale not as expected"
         )
         np.testing.assert_allclose(
-            sp.stats.chi2.cdf(scale**0.5, df=2),
+            # evaluate chisquare CDF for 2 degrees of freedom
+            # using simplified formula
+            1 - np.exp(-scale / 2),
             eset.chi_sq_conf_lvl,
             err_msg="EllipsoidalSet chi-squared confidence level not as expected",
         )
@@ -1893,7 +1895,9 @@ def test_normal_construction_and_update(self):
             new_scale, eset.scale, err_msg="EllipsoidalSet scale update not as expected"
         )
         np.testing.assert_allclose(
-            sp.stats.chi2.cdf(new_scale**0.5, df=2),
+            # evaluate chisquare CDF for 2 degrees of freedom
+            # using simplified formula
+            1 - np.exp(-new_scale / 2),
             eset.chi_sq_conf_lvl,
             err_msg="EllipsoidalSet chi-square confidence level update not as expected",
         )
diff --git a/pyomo/contrib/pyros/uncertainty_sets.py b/pyomo/contrib/pyros/uncertainty_sets.py
index 74c6dbe62eb..ef2f6dfceaf 100644
--- a/pyomo/contrib/pyros/uncertainty_sets.py
+++ b/pyomo/contrib/pyros/uncertainty_sets.py
@@ -2599,7 +2599,7 @@ def scale(self, val):
             )
 
         self._scale = val
-        self._chi_sq_conf_lvl = sp.stats.chi2.cdf(x=val**0.5, df=self.dim)
+        self._chi_sq_conf_lvl = sp.stats.chi2.cdf(x=val, df=self.dim)
 
     @property
     def chi_sq_conf_lvl(self):

From b9576c00a0fcf086502b2cfd7f60246f8a9b8732 Mon Sep 17 00:00:00 2001
From: jasherma <jasherma@andrew.cmu.edu>
Date: Mon, 25 Nov 2024 02:20:00 -0500
Subject: [PATCH 4/8] Update version number, changelog

---
 doc/OnlineDocs/explanation/solvers/pyros.rst | 4 ++--
 pyomo/contrib/pyros/CHANGELOG.txt            | 7 +++++++
 pyomo/contrib/pyros/pyros.py                 | 2 +-
 3 files changed, 10 insertions(+), 3 deletions(-)

diff --git a/doc/OnlineDocs/explanation/solvers/pyros.rst b/doc/OnlineDocs/explanation/solvers/pyros.rst
index ad3c99c1c11..24b6cf31319 100644
--- a/doc/OnlineDocs/explanation/solvers/pyros.rst
+++ b/doc/OnlineDocs/explanation/solvers/pyros.rst
@@ -935,8 +935,8 @@ Observe that the log contains the following information:
    :linenos:
 
    ==============================================================================
-   PyROS: The Pyomo Robust Optimization Solver, v1.3.0.
-          Pyomo version: 6.8.1
+   PyROS: The Pyomo Robust Optimization Solver, v1.3.1.
+          Pyomo version: 6.8.3
           Commit hash: unknown
           Invoked at UTC 2024-11-01T00:00:00.000000
    
diff --git a/pyomo/contrib/pyros/CHANGELOG.txt b/pyomo/contrib/pyros/CHANGELOG.txt
index afae4b3db71..0036311fc91 100644
--- a/pyomo/contrib/pyros/CHANGELOG.txt
+++ b/pyomo/contrib/pyros/CHANGELOG.txt
@@ -2,6 +2,13 @@
 PyROS CHANGELOG
 ===============
 
+-------------------------------------------------------------------------------
+PyROS 1.3.1    25 Nov 2024
+-------------------------------------------------------------------------------
+- Add new EllipsoidalSet attribute for specifying a
+  confidence level in lieu of a (squared) scale factor
+
+
 -------------------------------------------------------------------------------
 PyROS 1.3.0    12 Aug 2024
 -------------------------------------------------------------------------------
diff --git a/pyomo/contrib/pyros/pyros.py b/pyomo/contrib/pyros/pyros.py
index 2ffef5054aa..2b13999c9c9 100644
--- a/pyomo/contrib/pyros/pyros.py
+++ b/pyomo/contrib/pyros/pyros.py
@@ -33,7 +33,7 @@
 )
 
 
-__version__ = "1.3.0"
+__version__ = "1.3.1"
 
 
 default_pyros_solver_logger = setup_pyros_logger()

From 6b36ebb497c32eab7ff4d3255d876f443c31de74 Mon Sep 17 00:00:00 2001
From: jasherma <jasherma@andrew.cmu.edu>
Date: Mon, 25 Nov 2024 12:31:04 -0500
Subject: [PATCH 5/8] Rename `chi_sq_conf_lvl` -> `gaussian_conf_lvl`

---
 .../pyros/tests/test_uncertainty_sets.py      | 42 +++++++++----------
 pyomo/contrib/pyros/uncertainty_sets.py       | 40 +++++++++---------
 2 files changed, 41 insertions(+), 41 deletions(-)

diff --git a/pyomo/contrib/pyros/tests/test_uncertainty_sets.py b/pyomo/contrib/pyros/tests/test_uncertainty_sets.py
index 286cd620d85..e0e5bb7d137 100644
--- a/pyomo/contrib/pyros/tests/test_uncertainty_sets.py
+++ b/pyomo/contrib/pyros/tests/test_uncertainty_sets.py
@@ -1868,8 +1868,8 @@ def test_normal_construction_and_update(self):
             # evaluate chisquare CDF for 2 degrees of freedom
             # using simplified formula
             1 - np.exp(-scale / 2),
-            eset.chi_sq_conf_lvl,
-            err_msg="EllipsoidalSet chi-squared confidence level not as expected",
+            eset.gaussian_conf_lvl,
+            err_msg="EllipsoidalSet Gaussian confidence level not as expected",
         )
 
         # check attributes update
@@ -1898,11 +1898,11 @@ def test_normal_construction_and_update(self):
             # evaluate chisquare CDF for 2 degrees of freedom
             # using simplified formula
             1 - np.exp(-new_scale / 2),
-            eset.chi_sq_conf_lvl,
-            err_msg="EllipsoidalSet chi-square confidence level update not as expected",
+            eset.gaussian_conf_lvl,
+            err_msg="EllipsoidalSet Gaussian confidence level update not as expected",
         )
 
-    def test_normal_construction_and_update_chi_sq_conf_lvl(self):
+    def test_normal_construction_and_update_gaussian_conf_lvl(self):
         """
         Test EllipsoidalSet constructor and setter
         work normally when arguments are appropriate.
@@ -1912,10 +1912,10 @@ def test_normal_construction_and_update_chi_sq_conf_lvl(self):
             center=[0, 0, 0],
             shape_matrix=np.eye(3),
             scale=None,
-            chi_sq_conf_lvl=init_conf_lvl,
+            gaussian_conf_lvl=init_conf_lvl,
         )
 
-        self.assertEqual(eset.chi_sq_conf_lvl, init_conf_lvl)
+        self.assertEqual(eset.gaussian_conf_lvl, init_conf_lvl)
         np.testing.assert_allclose(
             sp.stats.chi2.isf(q=1 - init_conf_lvl, df=eset.dim),
             eset.scale,
@@ -1923,8 +1923,8 @@ def test_normal_construction_and_update_chi_sq_conf_lvl(self):
         )
 
         new_conf_lvl = 0.99
-        eset.chi_sq_conf_lvl = new_conf_lvl
-        self.assertEqual(eset.chi_sq_conf_lvl, new_conf_lvl)
+        eset.gaussian_conf_lvl = new_conf_lvl
+        self.assertEqual(eset.gaussian_conf_lvl, new_conf_lvl)
         np.testing.assert_allclose(
             sp.stats.chi2.isf(q=1 - new_conf_lvl, df=eset.dim),
             eset.scale,
@@ -1970,9 +1970,9 @@ def test_error_on_neg_scale(self):
         with self.assertRaisesRegex(ValueError, exc_str):
             eset.scale = neg_scale
 
-    def test_error_invalid_chi_sq_conf_lvl(self):
+    def test_error_invalid_gaussian_conf_lvl(self):
         """
-        Test error when attempting to initialize with chi-squared
+        Test error when attempting to initialize with Gaussian
         confidence level outside range.
         """
         center = [0, 0]
@@ -1987,30 +1987,30 @@ def test_error_invalid_chi_sq_conf_lvl(self):
                 center=center,
                 shape_matrix=shape_matrix,
                 scale=None,
-                chi_sq_conf_lvl=invalid_conf_lvl,
+                gaussian_conf_lvl=invalid_conf_lvl,
             )
 
         # error on updating valid ellipsoid
-        eset = EllipsoidalSet(center, shape_matrix, scale=None, chi_sq_conf_lvl=0.95)
+        eset = EllipsoidalSet(center, shape_matrix, scale=None, gaussian_conf_lvl=0.95)
         with self.assertRaisesRegex(ValueError, exc_str):
-            eset.chi_sq_conf_lvl = invalid_conf_lvl
+            eset.gaussian_conf_lvl = invalid_conf_lvl
 
         # negative confidence level
-        eset = EllipsoidalSet(center, shape_matrix, scale=None, chi_sq_conf_lvl=0.95)
+        eset = EllipsoidalSet(center, shape_matrix, scale=None, gaussian_conf_lvl=0.95)
         with self.assertRaisesRegex(ValueError, exc_str):
-            eset.chi_sq_conf_lvl = -0.1
+            eset.gaussian_conf_lvl = -0.1
 
-    def test_error_scale_chi_sq_conf_lvl_construction(self):
+    def test_error_scale_gaussian_conf_lvl_construction(self):
         """
         Test exception raised if neither or both of
-        `scale` and `chi_sq_conf_lvl` are None.
+        `scale` and `gaussian_conf_lvl` are None.
         """
-        exc_str = r"Exactly one of `scale` and `chi_sq_conf_lvl` should be None"
+        exc_str = r"Exactly one of `scale` and `gaussian_conf_lvl` should be None"
         with self.assertRaisesRegex(ValueError, exc_str):
-            EllipsoidalSet([0], [[1]], scale=None, chi_sq_conf_lvl=None)
+            EllipsoidalSet([0], [[1]], scale=None, gaussian_conf_lvl=None)
 
         with self.assertRaisesRegex(ValueError, exc_str):
-            EllipsoidalSet([0], [[1]], scale=1, chi_sq_conf_lvl=0.95)
+            EllipsoidalSet([0], [[1]], scale=1, gaussian_conf_lvl=0.95)
 
     def test_error_on_shape_matrix_with_wrong_size(self):
         """
diff --git a/pyomo/contrib/pyros/uncertainty_sets.py b/pyomo/contrib/pyros/uncertainty_sets.py
index ef2f6dfceaf..3fc90b79cdf 100644
--- a/pyomo/contrib/pyros/uncertainty_sets.py
+++ b/pyomo/contrib/pyros/uncertainty_sets.py
@@ -2380,11 +2380,11 @@ class EllipsoidalSet(UncertaintySet):
         Square of the factor by which to scale the semi-axes
         of the ellipsoid (i.e. the eigenvectors of the shape
         matrix). The default is `1`.
-    chi_sq_conf_lvl : numeric type or None, optional
-        (Fractional) chi-squared confidence level of the multivariate
+    gaussian_conf_lvl : numeric type or None, optional
+        (Fractional) confidence level of the multivariate
         normal distribution with mean `center` and covariance
         matrix `shape_matrix`.
-        Exactly one of `scale` and `chi_sq_conf_lvl` should be
+        Exactly one of `scale` and `gaussian_conf_lvl` should be
         None; otherwise, an exception is raised.
 
     Examples
@@ -2428,7 +2428,7 @@ class EllipsoidalSet(UncertaintySet):
     ...     center=np.zeros(4),
     ...     shape_matrix=np.diag(range(1, 5)),
     ...     scale=None,
-    ...     chi_sq_conf_lvl=0.95,
+    ...     gaussian_conf_lvl=0.95,
     ... )
     >>> conf_ellipsoid.center
     array([0, 0, 0, 0])
@@ -2439,24 +2439,24 @@ class EllipsoidalSet(UncertaintySet):
            [0, 0, 0. 4]])
     >>> conf_ellipsoid.scale
     ...9.4877...
-    >>> conf_ellipsoid.chi_sq_conf_lvl
+    >>> conf_ellipsoid.gaussian_conf_lvl
     0.95
 
     """
 
-    def __init__(self, center, shape_matrix, scale=1, chi_sq_conf_lvl=None):
+    def __init__(self, center, shape_matrix, scale=1, gaussian_conf_lvl=None):
         """Initialize self (see class docstring)."""
         self.center = center
         self.shape_matrix = shape_matrix
 
-        if scale is not None and chi_sq_conf_lvl is None:
+        if scale is not None and gaussian_conf_lvl is None:
             self.scale = scale
-        elif scale is None and chi_sq_conf_lvl is not None:
-            self.chi_sq_conf_lvl = chi_sq_conf_lvl
+        elif scale is None and gaussian_conf_lvl is not None:
+            self.gaussian_conf_lvl = gaussian_conf_lvl
         else:
             raise ValueError(
-                "Exactly one of `scale` and `chi_sq_conf_lvl` should be "
-                f"None (got {scale=}, {chi_sq_conf_lvl=})"
+                "Exactly one of `scale` and `gaussian_conf_lvl` should be "
+                f"None (got {scale=}, {gaussian_conf_lvl=})"
             )
 
     @property
@@ -2599,24 +2599,24 @@ def scale(self, val):
             )
 
         self._scale = val
-        self._chi_sq_conf_lvl = sp.stats.chi2.cdf(x=val, df=self.dim)
+        self._gaussian_conf_lvl = sp.stats.chi2.cdf(x=val, df=self.dim)
 
     @property
-    def chi_sq_conf_lvl(self):
+    def gaussian_conf_lvl(self):
         """
-        numeric type : (Fractional) chi-squared confidence level of the
-        multivariate normal distribution with mean ``self.origin``
+        numeric type : (Fractional) confidence level of the
+        multivariate Gaussian distribution with mean ``self.origin``
         and covariance ``self.shape_matrix`` for ellipsoidal region
         with square magnification factor ``self.scale``.
         """
-        return self._chi_sq_conf_lvl
+        return self._gaussian_conf_lvl
 
-    @chi_sq_conf_lvl.setter
-    def chi_sq_conf_lvl(self, val):
+    @gaussian_conf_lvl.setter
+    def gaussian_conf_lvl(self, val):
         validate_arg_type(
-            "chi_sq_conf_lvl", val, valid_num_types, "a valid numeric type", False
+            "gaussian_conf_lvl", val, valid_num_types, "a valid numeric type", False
         )
-        self._chi_sq_conf_lvl = val
+        self._gaussian_conf_lvl = val
         self._scale = sp.stats.chi2.isf(q=1 - val, df=self.dim)
         if np.isnan(self._scale) or np.isinf(self._scale):
             raise ValueError(

From 3d97337113f93509fe22611234e55c180a386927 Mon Sep 17 00:00:00 2001
From: jasherma <jasherma@andrew.cmu.edu>
Date: Tue, 26 Nov 2024 12:33:16 -0500
Subject: [PATCH 6/8] Update attrs in `gaussian_conf_lvl` setter only after
 validation

---
 pyomo/contrib/pyros/uncertainty_sets.py | 11 +++++++----
 1 file changed, 7 insertions(+), 4 deletions(-)

diff --git a/pyomo/contrib/pyros/uncertainty_sets.py b/pyomo/contrib/pyros/uncertainty_sets.py
index 3fc90b79cdf..f1c67c9df57 100644
--- a/pyomo/contrib/pyros/uncertainty_sets.py
+++ b/pyomo/contrib/pyros/uncertainty_sets.py
@@ -2616,15 +2616,18 @@ def gaussian_conf_lvl(self, val):
         validate_arg_type(
             "gaussian_conf_lvl", val, valid_num_types, "a valid numeric type", False
         )
-        self._gaussian_conf_lvl = val
-        self._scale = sp.stats.chi2.isf(q=1 - val, df=self.dim)
-        if np.isnan(self._scale) or np.isinf(self._scale):
+
+        scale_val = sp.stats.chi2.isf(q=1 - val, df=self.dim)
+        if np.isnan(scale_val) or np.isinf(scale_val):
             raise ValueError(
                 f"Squared scaling factor calculation for confidence level {val} "
-                f"and set dimension {self.dim} returned {self._scale}. "
+                f"and set dimension {self.dim} returned {scale_val}. "
                 "Ensure the confidence level is a value in [0, 1)."
             )
 
+        self._gaussian_conf_lvl = val
+        self._scale = scale_val
+
     @property
     def dim(self):
         """

From 0b11c545c7db0305c94cda2b22943a2d6c78bdba Mon Sep 17 00:00:00 2001
From: jasherma <jasherma@andrew.cmu.edu>
Date: Wed, 27 Nov 2024 12:16:32 -0500
Subject: [PATCH 7/8] Correct pyomo version number in logging example

---
 doc/OnlineDocs/explanation/solvers/pyros.rst | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/doc/OnlineDocs/explanation/solvers/pyros.rst b/doc/OnlineDocs/explanation/solvers/pyros.rst
index 24b6cf31319..367b6f2b102 100644
--- a/doc/OnlineDocs/explanation/solvers/pyros.rst
+++ b/doc/OnlineDocs/explanation/solvers/pyros.rst
@@ -936,7 +936,7 @@ Observe that the log contains the following information:
 
    ==============================================================================
    PyROS: The Pyomo Robust Optimization Solver, v1.3.1.
-          Pyomo version: 6.8.3
+          Pyomo version: 6.9.0
           Commit hash: unknown
           Invoked at UTC 2024-11-01T00:00:00.000000
    

From ec2478e56424ce740d98eda747f77c28e93bf86b Mon Sep 17 00:00:00 2001
From: jasherma <jasherma@andrew.cmu.edu>
Date: Tue, 3 Dec 2024 13:00:33 -0500
Subject: [PATCH 8/8] Simplify `EllipsoidalSet` constructor docstring

---
 pyomo/contrib/pyros/uncertainty_sets.py | 4 ++--
 1 file changed, 2 insertions(+), 2 deletions(-)

diff --git a/pyomo/contrib/pyros/uncertainty_sets.py b/pyomo/contrib/pyros/uncertainty_sets.py
index f1c67c9df57..a4b6ba6aa1a 100644
--- a/pyomo/contrib/pyros/uncertainty_sets.py
+++ b/pyomo/contrib/pyros/uncertainty_sets.py
@@ -2376,11 +2376,11 @@ class EllipsoidalSet(UncertaintySet):
     shape_matrix : (N, N) array-like
         A symmetric positive definite matrix characterizing
         the shape and orientation of the ellipsoid.
-    scale : numeric type or None, optional
+    scale : numeric type, optional
         Square of the factor by which to scale the semi-axes
         of the ellipsoid (i.e. the eigenvectors of the shape
         matrix). The default is `1`.
-    gaussian_conf_lvl : numeric type or None, optional
+    gaussian_conf_lvl : numeric type, optional
         (Fractional) confidence level of the multivariate
         normal distribution with mean `center` and covariance
         matrix `shape_matrix`.