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License: MIT License
Implementation of the (dynamic) stochastic dual dynamic integer programming (SDDiP) algorithm.
License: MIT License
I have a multi stage stochastic programming problem. The state variables are continuous variables and the objective functions are linear, but the local problems of some stages are mixed interger linear programming. Is this question related to the SDDiP problem? I noticed that SDDiP problems involve integer variables in both the state variable and the objective function. However, I am uncertain whether the presence of 0-1 variables in the local problem qualifies it as an SDDiP. In this case, could you please clarify if the code is suitable for this problem. If you could provide clarification to resolve my confusion, I would greatly appreciate it.
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.
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