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odow / SDDP.jl

A JuMP extension for Stochastic Dual Dynamic Programming
https://sddp.dev
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Save states in write_cuts_to_file #468

Closed odow closed 3 years ago

odow commented 3 years ago

Closes #360

Still needs some tests.

@adow031, your hack isn't quite correct. It'll lead to cuts being added with the wrong intercept.

odow commented 3 years ago

@adow031 how's this?

This is currently breaking if someone uses the .json file in a different workflow. I should probably make a include_states::Bool = false flag so that it's opt-in.

adow031 commented 3 years ago

The reason that I would have preferred that cuts just get written / read in the format that they are stored (i.e. theta is the intercept at x=0) is I have a model that has 36 states and needs 10s of thousands of cuts.

This can take a while to load, so the modification of the intercept (back and forth) is just wasted time.

Also: there is a chance that this modification of theta could introduce numerical differences in the cuts, meaning that you get a different policy from saved cuts than from the internal model (but perhaps that can happen anyway).

I've written my work-around functions, so I may just end up using those, if I find there's is an appreciable difference in read/write times.

odow commented 3 years ago

This still needs tests, and the option to not save the visited states.