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StructJuMP / StructJuMP.jl

A block-structured optimization framework for JuMP
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Stochastic Dynamic Dual Programming #10

Closed blegat closed 8 years ago

blegat commented 8 years ago

Can we do Stochastic Dynamic Dual Programming using StochJuMP ?

kibaekkim commented 8 years ago

@blegat SDDP is a "method", whereas StochJuMP provides a "modeling" interface.

blegat commented 8 years ago

As I understand it, SDDP and Benders are two methods to solve Stochastic Programs. It seems that StochJuMP includes a Benders solver. So I thought, why not SDDP. Anyway, if StochJuMP.jl is not the place for adding a solver, do you think it is possible to use a separate SDDP solver using StochJuMP as modeling interface ?

blegat commented 8 years ago

Even if it is not implemented, do you think it would make sense to add this (possibly in a separate package) ? So that someone would model its stochastic program and then could choose to solve it between Bender and SDDP.

mlubin commented 8 years ago

@blegat yes, if SDDP input format is analogous to the Benders input format, then you could definitely have SDDP as an option for a solution method

blegat commented 8 years ago

I have implemented SDDP in a separate package : https://github.com/blegat/StochasticDualDynamicProgramming.jl :)