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odow / SDDP.jl

A JuMP extension for Stochastic Dual Dynamic Programming
https://sddp.dev
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Best Practices for custom cut selection heuristic #741

Closed jk27182 closed 3 months ago

jk27182 commented 4 months ago

Dear Oscar,

first of all, thank you very much for this nice package. I am very new to Julia, so I hope this not a duplicate. I wanted to play around with cut selection for my thesis, using the LevelOneCutOracle you mentioned in your SDDP.jl paper.

However, the explicit function seems to be removed in versions>0.0.2 so I was wondering if there are best practices to implement my own cut selection routine without messing too much with the SDDP.jl internals.

I found the _add_cut and _add_cut_selection_update functions in src/plugins/bellman_functions.jl, should that be the functions which I extend with my own cut selection heuristic?

Best regards

odow commented 4 months ago

That version of the paper was never published, and you're right, LevelOneCutOracle has since been deleted.

There is no way to implement your own cut selection heuristic, other than by directly modifying the internal code of SDDP.jl.

jk27182 commented 3 months ago

Thank you 👍

odow commented 3 months ago

No problem. Closing as won't-fix, since I don't intend to reconsider this decision.