Generic interface for the Stochastic Dual Dynamic Programming (SDDP) algorithm as well as a generic implementation. The problem can either be provided using the StructJuMP modeling interface or using a lower level interface.
This package is used by the Entropic Cone package.
master branch is aimed at JuMP v0.19. To try this
package with JuMP v0.19, do:
] add StructJuMP#master ] add StructDualDynProg#master
Note that this package has not been updated yet to JuMP v0.19, see here.
This package should work with any linear programming (LP) solver supported by MathProgBase.
If some subproblems are infeasible, an infeasibility ray will be asked to the solver.
In this case, it is advised to turn presolve off in
CPLEX.CplexSolver(CPX_PARAM_REDUCE=0)) and to avoid using Clp since it often cannot find the infeasibility ray.
If some subproblems are unbounded, an unbounded ray and a feasible solution will be asked for the solver. Again, avoid using Clp in that case. Hopefully subproblems shouldn't be unbounded if
detectlb is left at
true when calling
about 2 months ago