Closed odow closed 6 years ago
Cheers, will have a look when I get time...
Oh this is different to @EyobZewdie's issue with strengthened benders cuts?
Yeah. I think the implementation is a good proof of concept. But it needs a bit of work to make it numerically robust / faster.
Looks like the same bug as #4 (fixed in https://github.com/lkapelevich/SDDiP.jl/commit/162237e7ae5aa4fe932245a68cba6fabb55f7e24 ). I converge to 14.2 after a few hundred iterations.
https://gist.github.com/odow/61c0585bfb91d59577c8a6ce8c2f9a83