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martinbiel / StochasticPrograms.jl

Julia package for formulating and analyzing stochastic recourse models.
MIT License
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Safeguard for Stochastic programs with Integer recourses #24

Closed TheoGuyard closed 3 years ago

TheoGuyard commented 3 years ago

Hey ! There is no safeguard for model with integer recourses. The standard L-Shaped method (for instance) can not be used in such cases. A safeguard could prevent errors of type ERROR: Gurobi Error 10005: Unable to retrieve attribute 'Pi' when adding new cuts during the method.

martinbiel commented 3 years ago

There are now two experimental extensions that handle integer recourse in the L-shaped algorithm, on the master branch. They are activated by either 

set_optimizer_attribute(sp, IntegerStrategy(), CombinatorialCuts())

or 

set_optimizer_attribute(sp, IntegerStrategy(), Convexification())

The default IntegerStrategy, IgnoreIntegers, includes the safeguard checks suggested here. Thanks!