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odow / SDDP.jl

A JuMP extension for Stochastic Dual Dynamic Programming
https://sddp.dev
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Improvements to Cut Selection #2

Closed odow closed 6 years ago

odow commented 7 years ago

Enhancement 1

Instead of rebuilding the model every time we want to change the set of cuts we include, we could try "turning off" contraints by relaxing their RHS.

Since Θ ≤ α + π'x gets re-written as -∞ ≤ Θ - π'x ≤ α, we can just store the α of each constraint, and "turn off" the constraint by replacing it with some big-M (i.e. +∞). Hopefully Gurobi is smart enough to understand that it doesn't need to consider these. This changes the model rebuild from a lot of work to a change in the RHS (fast).

Enhancement 2

Another option is to check the hash of new cuts to avoid adding duplicate cuts: i.e. ask a cut oracle if it should add the cut.

It actually turns out this is only efficient for very small models. Anecdotally, >98% of cuts in a large-scale farming model are unique.

odow commented 6 years ago

It turns out neither of these are very good. I don't think there is much to action here at the moment.