SDDiP and other experiences

[odow]

I have a few queries regarding your implementation :smile:

• Did you ever try any other methods apart from the level set for solving the SDDiP Lagrangian?
• Follow up: Do you ever notice bad numerics with SDDiP? i.e., cuts with very steep coefficients
• I see you implemented: https://github.com/lingquant/msppy/blob/c7085697db6825761aff0ba05bba432c928494b4/msppy/msp.py#L782-L787 Did you implement any other tricks to improve numerics (SDDiP or otherwise)?
• I hadn't thought of adding a regularizer in the constraint: https://github.com/lingquant/msppy/blob/6e1d1de0725589bed84ff203b9f5911b63fba04c/msppy/sp.py#L1386-L1398 Did you do any benchmarking to see if it helps?

[odow]

Closing since this repository doesn't seem to be maintained. If anyone wants to chat about their experiences with Lagrangian duality, open an issue here: https://github.com/odow/SDDP.jl/issues :)