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odow / SDDP.jl

A JuMP extension for Stochastic Dual Dynamic Programming
https://sddp.dev
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First-stage regularization #697

Closed odow closed 4 months ago

odow commented 11 months ago

Solve first-stage. Get state variables. Then try with convex combination of previous iteration.

Use x = a * x(k) + (1 - a) x(k-t).

https://co-at-work.zib.de/slides/Donnerstag_24.9/Benders_decomposition-Implementation.pdf

odow commented 4 months ago

Closed by https://github.com/odow/SDDP.jl/pull/624