Benchmarks and ideas

[odow]

Hi there,

Nice work. Because of https://github.com/odow/SDDP.jl, I'm always interested to see other SDDP implementations.

Do you have any benchmark results on the different Lagrangian methods, or on the non-convex stuff? I don't have access to Gurobi, so I can't test this unfortunately. Also interested to know whether you tried the Lagrangian cuts without binarizing. You'll end up with a potentially sub-optimal policy, but sometimes it can still perform quite well.