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odow / SDDP.jl

A JuMP extension for Stochastic Dual Dynamic Programming
https://sddp.dev
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Does `SDDP.jl` support polytopic uncertainty? #750

Closed WuSiren closed 2 months ago

WuSiren commented 2 months ago

If the random variable is defined on a continuous set, for example, a polytope, with/without a distribution function, how should we deal with it using SDDP.jl?

Thanks!

odow commented 2 months ago

You cannot. You should instead sample from the set to construct a sample average approximation.

WuSiren commented 2 months ago

Thanks!