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odow / SDDP.jl

A JuMP extension for Stochastic Dual Dynamic Programming
https://sddp.dev
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Probability of Noise depending on Control Variable #715

Closed ThutF closed 11 months ago

ThutF commented 11 months ago

Hello,

Is there a way to have the probability of the random variable/noise be dependent on the control variable.

Right now, in the parameterize function the parameter for probability::Vector{Float64} is enforced to be Floats. Is there a work around for that?

odow commented 11 months ago

Hello,

Hi there!

Is there a way to have the probability of the random variable/noise be dependent on the control variable.

No. The random variable must be independent. There is no work-around. You must reformulate your model.

ThutF commented 11 months ago

Cool. Thanks a lot for the quick reply.

odow commented 11 months ago

No problem. Feel free to open more issues if you have any other questions.