Skip to main content

Questions tagged [stochastic-dual-dynamic-programming]

Filter by
Sorted by
Tagged with
0 votes
1 answer
45 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.
Engr. Moiz Ahmad's user avatar
0 votes
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.
Engr. Moiz Ahmad's user avatar
0 votes
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 ...
Engr. Moiz Ahmad's user avatar
0 votes
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.
Engr. Moiz Ahmad's user avatar
2 votes
1 answer
52 views

Can I use continuous probability distributions when creating an SDDP.jl model?

I am using SDDP.jl for my research project and want to use continuous distribution, can I do so?
Engr. Moiz Ahmad's user avatar
0 votes
1 answer
39 views

How can I write the output stream of SDDP.jl into an excel file?

I am using SDDP.jl for my research project in which I am developing a state-of-the-art actor critic algorithm which I am going to benchmark with SDDP but for it I need to plot graphs which require ...
Engr. Moiz Ahmad's user avatar
1 vote
1 answer
134 views

Is stochastic dual dynamic programming (SDDP) a deterministic solution algorithm or does it have a stochastic component to it?

I am currently working on a paper in which I am statistically comparing dynamic optimization algorithms like SDDP, Actor-Critics etc. In this regard, should I be running SDDP algorithm for my ...
Engr. Moiz Ahmad's user avatar
1 vote
1 answer
82 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 ...
Engr. Moiz Ahmad's user avatar
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 (...
Penghui Guo's user avatar