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Questions tagged [sddp]

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Can UB of SDDP be smaller than LB?

For a minimization problem, SDDP obtains a statistical UB in the forward pass. Can the statistical UB of SDDP be smaller than LB? I observed this phenomenon in the experiment, yet I'm not sure if it's ...
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1 answer
46 views

Are quadratic multi-stage optimization problems with quadratic constraints solvable by stochastic dual dynamic programming and SDDP.jl?

I have a program with quadratic objective and constraints, and wanna utilize sddp.jl package in julia for solution.
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1 answer
48 views

How can I handle a constraint on a terminal state variable while avoiding infeasibility during SDDP.jl training process?

I want to solve a multi-stage optimization problem using SDDP.jl in which I am having hard time using constraints on state variables at the termination.
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1 answer
34 views

At the start of the execution of SDDP.jl, when there is no value approximation & terminal states available, what cost-to-go estimation is used?

I am using SDDP.jl for my research and want to know that at the very start of the execution, when there is no value function initialization and terminal state (for backward recursion), how cost-to-go ...
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1 answer
28 views

How do I convert an SDDP.State object into a number or tuple in SDDP.jl?

I want to collect evaluation data and for it I need to collect data in numbers not SDDP.state objects, so how can I do that in SDDP.jl.
1 vote
1 answer
83 views

Can stochastic dual dynamic programming algorithm (or any variant of it) handle multi-stage optimization problems with here-and-now uncertainty nodes?

Stochastic dual dynamic programming (SDDP) algorithm solves stage-wise optimization problem through sampling scenarios. In this regard, it is obvious to see that wait-and-see uncertainty can be easily ...
2 votes
1 answer
117 views

Does SDDP converge to the deterministic equivalent objective when the underlying scenario tree is the same?

I am implementing a Stochastic Dual Dynamic Programming (SDDP) algorithm for multi-stage linear stochastic program. To validate the solution by SDDP, I also implemented an extensive form (...