StructDualDynProg.jl
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JuliaStochOpt
Implementation of SDDP (Stochastic Dual Dynamic Programming) using the StructJuMP modeling interface
Hi blegat I am taking up your code, and manage to implement an example with 5 stages and 10 scenarios. I already know how to have the root node solution,...
Hello, I have been trying to run the example model but I have this error when running const SOI = StructDualDynProg.SOI what I need to do
The lowerbound and status should be the ones of the master node in the backward pass, not of the forward pass. cc @gerardcel
See https://github.com/odow/SDDP.jl/pull/72
New abstraction : at each iteration, you give it the stats and it returns the number of samples you need to do for this iteration and whether you need to...
An `AbstractNode` must implements `getoptimalitycut` and `getfeasibilitycut`. * `getoptimalitycut` must returns a `MinFunCut` (do you prefer `UBFunCut` ?) (`θ ≦ ⟨a, x⟩ + β`) or a `MaxFunCut` (do you prefer...
When adding `:AddImmediately` [here](https://github.com/blegat/StochasticDualDynamicProgramming.jl/blob/0b8d2296082c395275d141b31a77b4b609e0d074/test/prob5.2.jl#L4) some tests fails
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Implementation of SDDP (Stochastic Dual Dynamic Programming) using the StructJuMP modeling interface