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odow / SDDP.jl

A JuMP extension for Stochastic Dual Dynamic Programming
https://sddp.dev
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SDDiP doesn't respect tolerances #264

Closed odow closed 3 years ago

odow commented 5 years ago

The tolerances here should use the ones inside SDDiP instead of hard-coded 1e-8:

https://github.com/odow/SDDP.jl/blob/951c5bf0ebc149c42465d37baee0189a84278c73/src/plugins/integrality_handlers.jl#L217

Reported by Xian Yu, U. Mich.

lkapelevich commented 5 years ago

There should probably be an error/warning if the tolerances are too small, maybe 1e-6, because if the gap isn't small enough the duals may be infeasible.

odow commented 3 years ago

Closing in favor of #246