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odow / SDDP.jl

Stochastic Dual Dynamic Programming in Julia
https://sddp.dev
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Is it applicable when the local problems of some stages are mixed interger linear programming? #724

Closed sunnyccshine closed 6 months ago

sunnyccshine commented 6 months ago

I have a multi stage stochastic programming problem. The state variables are continuous variables and the objective functions are linear, but the local problems of some stages are mixed interger linear programming. Could you please clarify if the software is suitable for this problem. Is this question related to the SDDiP problem? I noticed that SDDiP problems involve integer variables in both the state variable and the objective function. However, I am uncertain whether the presence of 0-1 variables in the local problem qualifies it as an SDDiP. If you could provide clarification to resolve my confusion, I would greatly appreciate it.

odow commented 6 months ago

Could you please clarify if the software is suitable for this problem.

Yes, although it might not find an optimal policy.

See https://sddp.dev/stable/guides/add_integrality/

odow commented 6 months ago

Closing, but please comment if you have other questions and I can re-open.