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JuliaStochOpt / StructDualDynProg.jl

Implementation of SDDP (Stochastic Dual Dynamic Programming) using the StructJuMP modeling interface
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[RFC] Scheduler for number of samples #11

Open blegat opened 7 years ago

blegat commented 7 years ago

New abstraction : at each iteration, you give it the stats and it returns the number of samples you need to do for this iteration and whether you need to do cuts or just estimate the upper bound. It would make it possible to use sophisticated scheduling without the sddp algorithm needing to care about it. What do you think ? Do you have any idea for a good name (maybe not a bird name here :-P) ?

frapac commented 7 years ago

This new level of abstraction seems interesting. However, I cannot figure yet how to design the sophisticated scheduling!