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kirui93 / ScenTrees.jl

Julia Package for Generating Scenario Trees and Scenario Lattices for Multistage Stochastic Optimization
MIT License
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Choosing lattice branching structure #3

Open odow opened 4 years ago

odow commented 4 years ago

So the lattice approximation is very cool. It's looking promising that I can integrate this into SDDP.jl.

Instead of giving a fixed structure for each stage, is there any research on optimizing the branching structure given a finite budget for the total number of nodes in the lattice?

kirui93 commented 4 years ago

Hello @odow ? Lattice approximation is a working plan now. We are trying to involve all the possible ways of deciding on the branching structure as well as also expanding it to higher dimensional state spaces. We will consider to see how possible to incorporate this way you have mentioned