Some questions on parameterizing the subproblem and numerical issues

WuSiren commented 3 months ago

Hello, Prof. @odow ! I have had some new questions during learning and using SDDP recently. I beg your help and hope you can give me some advice!

The doc says:

Random variables are local to a node $i$, and they can differ between nodes. For example, some nodes may have random variables, and some nodes may not.

but I didn't find where it introduce how to add a random variable (or random process) that has a stage-varying distribution, could you please do me a favor to point me to the link?

Here shows an example about parameterizing the subproblem when the uncertainty is in the objective function. Now I want to confirm if it's legal to parameterize the subproblem in the following way (to invoke the @stageobjective macro outside of the parameterize function) when the uncertainty is implicitly involved in the objective function:
```
...
@variable(subproblem, x)
@variable(subproblem, u)
@expression(subproblem, obj, x + u)
Ω = [...]
P = [...]
SDDP.parameterize(subproblem, Ω, P) do ω
JuMP.fix(u, ω)
end
@stageobjective(
subproblem,
obj
)
```
It's about the numerical issue. The Numerical stability report reminds me that
```
Numerical stability report
Non-zero Matrix range     [5e-05, 3e+03]
Non-zero Objective range  [1e+00, 3e+04]
Non-zero Bounds range     [0e+00, 0e+00]
Non-zero RHS range        [1e+00, 1e+04]
WARNING: numerical stability issues detected
- Matrix range contains small coefficients
Very large or small absolute values of coefficients
can cause numerical stability issues. Consider
reformulating the model.
```
I checked my model carefully and found maybe there are indeed parameters whose values are 0.00005 and some number greater than 1e3, but they are meaningful. So I ignored it (should I?) and tried to train the model with iteration_limit = 200. The following is the output log. Do you think this solution process is normal? Note that there is a Warning: Attempting to recover from serious numerical issues... after Iter. 69. Is the result reliable under this situation? Should I, or can I, get better results by increasing the iteration_limit value, given the Bound seem not to increase any more?

Thank you for your kind help all the time!

------------------------------------------------------------------------------
          SDDP.jl (c) Oscar Dowson and SDDP.jl contributors, 2017-23

Problem
  Nodes           : 12
  State variables : 299
  Scenarios       : 4.09600e+03
  Existing cuts   : false
  Subproblem structure                      : (min, max)
    Variables                               : (994, 994)
    VariableRef in MOI.LessThan{Float64}    : (1, 1)
    VariableRef in MOI.ZeroOne              : (320, 320)
    AffExpr in MOI.LessThan{Float64}        : (407, 407)
    AffExpr in MOI.GreaterThan{Float64}     : (272, 272)
    AffExpr in MOI.EqualTo{Float64}         : (354, 354)
    VariableRef in MOI.GreaterThan{Float64} : (360, 360)
Options
  Solver          : serial mode
  Risk measure    : SDDP.Expectation()
  Sampling scheme : SDDP.InSampleMonteCarlo

Numerical stability report
  Non-zero Matrix range     [5e-05, 3e+03]
  Non-zero Objective range  [1e+00, 3e+04]
  Non-zero Bounds range     [0e+00, 0e+00]
  Non-zero RHS range        [1e+00, 1e+04]
WARNING: numerical stability issues detected
  - Matrix range contains small coefficients
Very large or small absolute values of coefficients
can cause numerical stability issues. Consider
reformulating the model.

 Iteration    Simulation       Bound         Time (s)    Proc. ID   # Solves
        1    2.367443e+07   1.876826e+06   7.160001e-01          1         36
        2    2.381984e+07   2.098343e+06   1.104000e+00          1         72
        3    2.376045e+07   2.100168e+06   1.449000e+00          1        108
        4    2.378467e+07   3.871412e+06   1.795000e+00          1        144
        5    2.387718e+07   3.871412e+06   2.255000e+00          1        180
        6    2.379044e+07   3.873307e+06   2.801000e+00          1        216
        7    2.385231e+07   4.491386e+06   3.286000e+00          1        252
        8    2.377664e+07   4.561269e+06   3.932000e+00          1        288
        9    2.383376e+07   4.561269e+06   4.480000e+00          1        324
       10    2.377919e+07   4.570083e+06   5.004000e+00          1        360
       11    2.386374e+07   4.590386e+06   5.751000e+00          1        396
       12    2.385051e+07   4.594672e+06   6.499000e+00          1        432
       13    2.392658e+07   4.597482e+06   7.382000e+00          1        468
       14    2.376412e+07   4.605299e+06   8.365000e+00          1        504
       15    2.384647e+07   4.605173e+06   9.456000e+00          1        540
       16    2.383210e+07   4.605173e+06   1.062900e+01          1        576
       17    2.382061e+07   4.605173e+06   1.186500e+01          1        612
       18    2.388906e+07   4.605173e+06   1.296700e+01          1        648
       19    2.390420e+07   4.605173e+06   1.420500e+01          1        684
       20    2.390720e+07   4.605173e+06   1.536700e+01          1        720
       21    2.378914e+07   4.605173e+06   1.682600e+01          1        756
       22    2.385449e+07   4.605173e+06   1.832600e+01          1        792
       23    2.379554e+07   4.605173e+06   1.984200e+01          1        828
       24    2.385318e+07   4.605173e+06   2.114000e+01          1        864
       25    2.391281e+07   4.605173e+06   2.234000e+01          1        900
       26    2.386491e+07   4.605425e+06   2.375900e+01          1        936
       27    2.381921e+07   4.605551e+06   2.496400e+01          1        972
       28    2.379814e+07   4.605551e+06   2.663400e+01          1       1008
       29    2.377354e+07   4.605551e+06   2.840500e+01          1       1044
       30    2.378761e+07   4.605551e+06   2.990000e+01          1       1080
       31    2.383779e+07   4.605425e+06   3.212400e+01          1       1116
       32    2.383663e+07   4.608178e+06   3.324900e+01          1       1152
       33    2.383788e+07   8.625664e+06   3.370600e+01          1       1188
       34    2.367122e+07   8.625664e+06   3.425700e+01          1       1224
       35    2.373745e+07   1.063798e+07   3.470400e+01          1       1260
       36    2.387293e+07   1.063798e+07   3.518700e+01          1       1296
       37    2.382405e+07   1.305982e+07   3.579300e+01          1       1332
       38    2.385441e+07   1.305982e+07   3.652400e+01          1       1368
       39    2.382440e+07   1.490478e+07   3.713000e+01          1       1404
       40    2.382554e+07   1.490478e+07   3.772000e+01          1       1440
       41    2.386414e+07   1.490793e+07   3.830800e+01          1       1476
       42    2.376802e+07   1.490793e+07   3.885500e+01          1       1512
       43    2.378664e+07   1.494698e+07   3.945100e+01          1       1548
       44    2.379070e+07   1.555755e+07   4.082600e+01          1       1584
       45    2.375289e+07   1.555755e+07   4.228300e+01          1       1620
       46    2.380519e+07   1.567278e+07   4.308600e+01          1       1656
       47    2.381055e+07   1.567382e+07   4.375200e+01          1       1692
       48    2.378320e+07   1.577178e+07   4.419600e+01          1       1728
       49    2.383064e+07   1.577178e+07   4.473000e+01          1       1764
       50    2.387173e+07   1.580460e+07   4.524600e+01          1       1800
       51    2.384779e+07   1.580460e+07   4.582000e+01          1       1836
       52    2.379365e+07   1.642198e+07   4.652900e+01          1       1872
       53    2.381700e+07   1.684142e+07   4.715300e+01          1       1908
       54    2.385437e+07   1.724181e+07   4.758900e+01          1       1944
       55    2.387841e+07   1.734626e+07   4.830600e+01          1       1980
       56    2.382590e+07   1.748264e+07   4.920200e+01          1       2016
       57    2.383400e+07   1.753408e+07   4.993500e+01          1       2052
       58    2.378086e+07   1.753408e+07   5.038300e+01          1       2088
       59    2.372966e+07   1.781618e+07   5.108000e+01          1       2124
       60    2.379078e+07   1.823780e+07   5.168400e+01          1       2160
       61    2.382505e+07   1.844682e+07   5.247400e+01          1       2196
       62    2.379164e+07   1.845926e+07   5.342400e+01          1       2232
       63    2.375224e+07   1.902534e+07   5.398700e+01          1       2268
       64    2.380357e+07   1.902534e+07   5.502600e+01          1       2304
       65    2.377373e+07   1.903392e+07   5.557200e+01          1       2340
       66    2.374735e+07   1.903392e+07   5.616500e+01          1       2376
       67    2.384913e+07   1.903728e+07   5.688500e+01          1       2412
       68    2.387609e+07   1.905237e+07   5.782200e+01          1       2448
       69    2.378701e+07   1.905237e+07   5.887400e+01          1       2484
┌ Warning: Attempting to recover from serious numerical issues...
└ @ SDDP C:\Users\Name\.julia\packages\SDDP\2Jypx\src\algorithm.jl:261
       70    2.377627e+07   1.916283e+07   5.976100e+01          1       2520
       71    2.377944e+07   1.916283e+07   6.047800e+01          1       2556
       72    2.375634e+07   1.916597e+07   6.116400e+01          1       2592
       73    2.376534e+07   1.918088e+07   6.176400e+01          1       2628
       74    2.379649e+07   1.920615e+07   6.301800e+01          1       2664
       75    2.367808e+07   1.920735e+07   6.458200e+01          1       2700
       76    2.382994e+07   1.921550e+07   6.571100e+01          1       2736
       77    2.385098e+07   1.921987e+07   6.684300e+01          1       2772
       78    2.382292e+07   1.922295e+07   6.790000e+01          1       2808
       79    2.386738e+07   1.922295e+07   6.890600e+01          1       2844
       80    2.386020e+07   1.922295e+07   7.000000e+01          1       2880
       81    2.384622e+07   1.922295e+07   7.097200e+01          1       2916
       82    2.379939e+07   1.922295e+07   7.205700e+01          1       2952
       83    2.373278e+07   1.922342e+07   7.348400e+01          1       2988
       84    2.385879e+07   1.922342e+07   7.514500e+01          1       3024
       85    2.375325e+07   1.922342e+07   7.694700e+01          1       3060
       86    2.372863e+07   1.922342e+07   7.868300e+01          1       3096
       87    2.372149e+07   1.922342e+07   8.027300e+01          1       3132
       88    2.378760e+07   1.922342e+07   8.174500e+01          1       3168
       89    2.378955e+07   1.922342e+07   8.308300e+01          1       3204
       90    2.372502e+07   1.922342e+07   8.456400e+01          1       3240
       91    2.373915e+07   1.922342e+07   8.628200e+01          1       3276
       92    2.379069e+07   1.922342e+07   8.788600e+01          1       3312
       93    2.371390e+07   1.922342e+07   8.949700e+01          1       3348
       94    2.376073e+07   1.922342e+07   9.115000e+01          1       3384
       95    2.375346e+07   1.922342e+07   9.289300e+01          1       3420
       96    2.382331e+07   1.922342e+07   9.467800e+01          1       3456
       97    2.378381e+07   1.922342e+07   9.660400e+01          1       3492
       98    2.375754e+07   1.922342e+07   9.847500e+01          1       3528
       99    2.369469e+07   1.922342e+07   1.003270e+02          1       3564
      100    2.375547e+07   1.922342e+07   1.023800e+02          1       3600
      101    2.375027e+07   1.922342e+07   1.044110e+02          1       3636
      102    2.373522e+07   1.922342e+07   1.063690e+02          1       3672
      103    2.377170e+07   1.922342e+07   1.084570e+02          1       3708
      104    2.377237e+07   1.922342e+07   1.104880e+02          1       3744
      105    2.373138e+07   1.922342e+07   1.126480e+02          1       3780
      106    2.376941e+07   1.922342e+07   1.143600e+02          1       3816
      107    2.377290e+07   1.922342e+07   1.161670e+02          1       3852
      108    2.375295e+07   1.922342e+07   1.180750e+02          1       3888
      109    2.367533e+07   1.922342e+07   1.203500e+02          1       3924
      110    2.374732e+07   1.922342e+07   1.226000e+02          1       3960
      111    2.374357e+07   1.922342e+07   1.248590e+02          1       3996
      112    2.373807e+07   1.922342e+07   1.271090e+02          1       4032
      113    2.374698e+07   1.922342e+07   1.290360e+02          1       4068
      114    2.376057e+07   1.922342e+07   1.311840e+02          1       4104
      115    2.373118e+07   1.922342e+07   1.332340e+02          1       4140
      116    2.375652e+07   1.922342e+07   1.354800e+02          1       4176
      117    2.373076e+07   1.922342e+07   1.377500e+02          1       4212
      118    2.376347e+07   1.922342e+07   1.402300e+02          1       4248
      119    2.373451e+07   1.922342e+07   1.425990e+02          1       4284
      120    2.376065e+07   1.922342e+07   1.447790e+02          1       4320
      121    2.371670e+07   1.922342e+07   1.468060e+02          1       4356
      122    2.371951e+07   1.922342e+07   1.487300e+02          1       4392
      123    2.374190e+07   1.922342e+07   1.507150e+02          1       4428
      124    2.374187e+07   1.922342e+07   1.524000e+02          1       4464
      125    2.373138e+07   1.922342e+07   1.540940e+02          1       4500
      126    2.376232e+07   1.922342e+07   1.558370e+02          1       4536
      127    2.376534e+07   1.922342e+07   1.578070e+02          1       4572
      128    2.374170e+07   1.922342e+07   1.593700e+02          1       4608
      129    2.376245e+07   1.922342e+07   1.619670e+02          1       4644
      130    2.374472e+07   1.922342e+07   1.641130e+02          1       4680
      131    2.376722e+07   1.922342e+07   1.660690e+02          1       4716
      132    2.372951e+07   1.922342e+07   1.678710e+02          1       4752
      133    2.374263e+07   1.922342e+07   1.698930e+02          1       4788
      134    2.370568e+07   1.922342e+07   1.716610e+02          1       4824
      135    2.375617e+07   1.922342e+07   1.733340e+02          1       4860
      136    2.374378e+07   1.922342e+07   1.752230e+02          1       4896
      137    2.372232e+07   1.922342e+07   1.770410e+02          1       4932
      138    2.374378e+07   1.922342e+07   1.789260e+02          1       4968
      139    2.370933e+07   1.922342e+07   1.806000e+02          1       5004
      140    2.373795e+07   1.922342e+07   1.824200e+02          1       5040
      141    2.377745e+07   1.922342e+07   1.842090e+02          1       5076
      142    2.372670e+07   1.922342e+07   1.862240e+02          1       5112
      143    2.374451e+07   1.922342e+07   1.881330e+02          1       5148
      144    2.376253e+07   1.922342e+07   1.900690e+02          1       5184
      145    2.374003e+07   1.922342e+07   1.918620e+02          1       5220
      146    2.371138e+07   1.922342e+07   1.938020e+02          1       5256
      147    2.372138e+07   1.922342e+07   1.957200e+02          1       5292
      148    2.371659e+07   1.922342e+07   1.978100e+02          1       5328
      149    2.373701e+07   1.922342e+07   1.997490e+02          1       5364
      150    2.372670e+07   1.922342e+07   2.016780e+02          1       5400
      151    2.375034e+07   1.922342e+07   2.035280e+02          1       5436
      152    2.372422e+07   1.922342e+07   2.051320e+02          1       5472
      153    2.374463e+07   1.922342e+07   2.067870e+02          1       5508
      154    2.371484e+07   1.922342e+07   2.084480e+02          1       5544
      155    2.378682e+07   1.922342e+07   2.105070e+02          1       5580
      156    2.376440e+07   1.922342e+07   2.123900e+02          1       5616
      157    2.375597e+07   1.922342e+07   2.142590e+02          1       5652
      158    2.375307e+07   1.922342e+07   2.163280e+02          1       5688
      159    2.375034e+07   1.922342e+07   2.184170e+02          1       5724
      160    2.375315e+07   1.922342e+07   2.204330e+02          1       5760
      161    2.371659e+07   1.922342e+07   2.223360e+02          1       5796
      162    2.377527e+07   1.922342e+07   2.241510e+02          1       5832
      163    2.375558e+07   1.922342e+07   2.260100e+02          1       5868
      164    2.372891e+07   1.922342e+07   2.277260e+02          1       5904
      165    2.373815e+07   1.922342e+07   2.297320e+02          1       5940
      166    2.376807e+07   1.922342e+07   2.316090e+02          1       5976
      167    2.376159e+07   1.922342e+07   2.335280e+02          1       6012
      168    2.373088e+07   1.922342e+07   2.353260e+02          1       6048
      169    2.373463e+07   1.922342e+07   2.369820e+02          1       6084
      170    2.377336e+07   1.922342e+07   2.387780e+02          1       6120
      171    2.364993e+07   1.922342e+07   2.404300e+02          1       6156
      172    2.374545e+07   1.922342e+07   2.422480e+02          1       6192
      173    2.371109e+07   1.922342e+07   2.439060e+02          1       6228
      174    2.371859e+07   1.922342e+07   2.454920e+02          1       6264
      175    2.376440e+07   1.922342e+07   2.474290e+02          1       6300
      176    2.370225e+07   1.922342e+07   2.492160e+02          1       6336
      177    2.377545e+07   1.922342e+07   2.509990e+02          1       6372
      178    2.373982e+07   1.922342e+07   2.528630e+02          1       6408
      179    2.374097e+07   1.922342e+07   2.547000e+02          1       6444
      180    2.376982e+07   1.922342e+07   2.565330e+02          1       6480
      181    2.371670e+07   1.922342e+07   2.584060e+02          1       6516
      182    2.373170e+07   1.922342e+07   2.602030e+02          1       6552
      183    2.375597e+07   1.922342e+07   2.621050e+02          1       6588
      184    2.375409e+07   1.922342e+07   2.642670e+02          1       6624
      185    2.373982e+07   1.922342e+07   2.670500e+02          1       6660
      186    2.378120e+07   1.922342e+07   2.687830e+02          1       6696
      187    2.372795e+07   1.922342e+07   2.710070e+02          1       6732
      188    2.373253e+07   1.922342e+07   2.728900e+02          1       6768
      189    2.372013e+07   1.922342e+07   2.749370e+02          1       6804
      190    2.373513e+07   1.922342e+07   2.767960e+02          1       6840
      191    2.369865e+07   1.922342e+07   2.786180e+02          1       6876
      192    2.375597e+07   1.922342e+07   2.803500e+02          1       6912
      193    2.369671e+07   1.922342e+07   2.822520e+02          1       6948
      194    2.374753e+07   1.922342e+07   2.839390e+02          1       6984
      195    2.375315e+07   1.922342e+07   2.858020e+02          1       7020
      196    2.375222e+07   1.922342e+07   2.875080e+02          1       7056
      197    2.374472e+07   1.922342e+07   2.893620e+02          1       7092
      198    2.369859e+07   1.922342e+07   2.910870e+02          1       7128
      199    2.369656e+07   1.922342e+07   2.929720e+02          1       7164
      200    2.374097e+07   1.922342e+07   2.948530e+02          1       7200

Terminating training
  Status         : iteration_limit
  Total time (s) : 2.948530e+02
  Total solves   : 7200
  Best bound     :  1.922342e+07
  Simulation CI  :  2.377260e+07 ± 7.222065e+03
------------------------------------------------------------------------------

WuSiren commented 3 months ago

I trained it again with iteration_limit = 250, but the output log and result are quite confusing: there is no Warning: Attempting to recover from serious numerical issues... this time, and the resulting Bound is less than that with iteration_limit = 200, how come?

------------------------------------------------------------------------------
          SDDP.jl (c) Oscar Dowson and SDDP.jl contributors, 2017-23

Problem
  Nodes           : 12
  State variables : 299
  Scenarios       : 4.09600e+03
  Existing cuts   : false
  Subproblem structure                      : (min, max)
    Variables                               : (994, 994)
    VariableRef in MOI.LessThan{Float64}    : (1, 1)
    VariableRef in MOI.ZeroOne              : (320, 320)
    AffExpr in MOI.LessThan{Float64}        : (407, 407)
    AffExpr in MOI.GreaterThan{Float64}     : (272, 272)
    AffExpr in MOI.EqualTo{Float64}         : (354, 354)
    VariableRef in MOI.GreaterThan{Float64} : (360, 360)
Options
  Solver          : serial mode
  Risk measure    : SDDP.Expectation()
  Sampling scheme : SDDP.InSampleMonteCarlo

Numerical stability report
  Non-zero Matrix range     [5e-05, 3e+03]
  Non-zero Objective range  [1e+00, 3e+04]
  Non-zero Bounds range     [0e+00, 0e+00]
  Non-zero RHS range        [1e+00, 1e+04]
WARNING: numerical stability issues detected       
  - Matrix range contains small coefficients       
Very large or small absolute values of coefficients
can cause numerical stability issues. Consider     
reformulating the model.

 Iteration    Simulation       Bound         Time (s)    Proc. ID   # Solves
        1    2.369787e+07   1.876826e+06   7.319999e-01          1         36
        2    2.379377e+07   2.098343e+06   1.142000e+00          1         72
        3    2.379640e+07   2.100168e+06   1.471000e+00          1        108
        4    2.382735e+07   3.871412e+06   1.796000e+00          1        144
        5    2.390147e+07   3.871412e+06   2.274000e+00          1        180
        6    2.377783e+07   3.873307e+06   2.757000e+00          1        216
        7    2.388537e+07   4.329638e+06   3.359000e+00          1        252
        8    2.372340e+07   4.329638e+06   4.078000e+00          1        288
        9    2.382303e+07   4.394544e+06   4.616000e+00          1        324
       10    2.389730e+07   4.394544e+06   5.022000e+00          1        360
       11    2.386338e+07   4.406783e+06   5.437000e+00          1        396
       12    2.390824e+07   4.417413e+06   6.102000e+00          1        432
       13    2.382103e+07   4.434491e+06   6.882000e+00          1        468
       14    2.390602e+07   4.437003e+06   7.642000e+00          1        504
       15    2.381047e+07   4.443378e+06   8.783000e+00          1        540
       16    2.386565e+07   4.445118e+06   9.566000e+00          1        576
       17    2.386576e+07   4.448028e+06   1.074300e+01          1        612
       18    2.390563e+07   4.452878e+06   1.192700e+01          1        648
       19    2.381704e+07   4.452984e+06   1.376200e+01          1        684
       20    2.388876e+07   4.452984e+06   1.519900e+01          1        720
       21    2.388382e+07   4.452984e+06   1.670900e+01          1        756
       22    2.390334e+07   4.452984e+06   1.831500e+01          1        792
       23    2.383347e+07   4.452984e+06   1.999300e+01          1        828
       24    2.391432e+07   4.452984e+06   2.169400e+01          1        864
       25    2.384185e+07   4.452984e+06   2.345500e+01          1        900
       26    2.379932e+07   4.452984e+06   2.523500e+01          1        936
       27    2.385432e+07   4.452984e+06   2.695400e+01          1        972
       28    2.379137e+07   4.452984e+06   2.905500e+01          1       1008
       29    2.378066e+07   4.452984e+06   3.115000e+01          1       1044
       30    2.380021e+07   4.452984e+06   3.309400e+01          1       1080
       31    2.376432e+07   4.452984e+06   3.521000e+01          1       1116
       32    2.378494e+07   4.452984e+06   3.726500e+01          1       1152
       33    2.379901e+07   4.452984e+06   3.950600e+01          1       1188
       34    2.377463e+07   4.452984e+06   4.154200e+01          1       1224
       35    2.382057e+07   4.452984e+06   4.364400e+01          1       1260
       36    2.377932e+07   4.452984e+06   4.569000e+01          1       1296
       37    2.379901e+07   4.452984e+06   4.771200e+01          1       1332
       38    2.379713e+07   4.452984e+06   4.992600e+01          1       1368
       39    2.377838e+07   4.452984e+06   5.207400e+01          1       1404
       40    2.379901e+07   4.452984e+06   5.474100e+01          1       1440
       41    2.375307e+07   4.452984e+06   5.680000e+01          1       1476
       42    2.378119e+07   4.452984e+06   5.891700e+01          1       1512
       43    2.375682e+07   4.452984e+06   6.109500e+01          1       1548
       44    2.373016e+07   4.452984e+06   6.308300e+01          1       1584
       45    2.377276e+07   4.452984e+06   6.509300e+01          1       1620
       46    2.376151e+07   4.452984e+06   6.727400e+01          1       1656
       47    2.381494e+07   4.452984e+06   6.939500e+01          1       1692
       48    2.379338e+07   4.452984e+06   7.147600e+01          1       1728
       49    2.380932e+07   4.452984e+06   7.369100e+01          1       1764
       50    2.375119e+07   4.452984e+06   7.590100e+01          1       1800
       51    2.379151e+07   4.452984e+06   7.799300e+01          1       1836
       52    2.382151e+07   4.452984e+06   8.018100e+01          1       1872
       53    2.376526e+07   4.452984e+06   8.221600e+01          1       1908
       54    2.376807e+07   4.452984e+06   8.441600e+01          1       1944
       55    2.374932e+07   4.452984e+06   8.649800e+01          1       1980
       56    2.377557e+07   4.452984e+06   8.841400e+01          1       2016
       57    2.376526e+07   4.452984e+06   9.047800e+01          1       2052
       58    2.377838e+07   4.452984e+06   9.260800e+01          1       2088
       59    2.376338e+07   4.452984e+06   9.506100e+01          1       2124
       60    2.377182e+07   4.452984e+06   9.737500e+01          1       2160
       61    2.381026e+07   4.452984e+06   9.964200e+01          1       2196
       62    2.376713e+07   4.452984e+06   1.030800e+02          1       2232
       63    2.379526e+07   4.452984e+06   1.059680e+02          1       2268
       64    2.378119e+07   4.452984e+06   1.085710e+02          1       2304
       65    2.380088e+07   4.452984e+06   1.111690e+02          1       2340
       66    2.378588e+07   4.452984e+06   1.137830e+02          1       2376
       67    2.376244e+07   4.452984e+06   1.161290e+02          1       2412
       68    2.375776e+07   4.452984e+06   1.186120e+02          1       2448
       69    2.379619e+07   4.452984e+06   1.209730e+02          1       2484
       70    2.376994e+07   4.452984e+06   1.233290e+02          1       2520
       71    2.379151e+07   4.452984e+06   1.257700e+02          1       2556
       72    2.374276e+07   4.452984e+06   1.281480e+02          1       2592
       73    2.380838e+07   4.452984e+06   1.304790e+02          1       2628
       74    2.375682e+07   4.452984e+06   1.322880e+02          1       2664
       75    2.378588e+07   4.452984e+06   1.343340e+02          1       2700
       76    2.380276e+07   4.452984e+06   1.363550e+02          1       2736
       77    2.377838e+07   4.452984e+06   1.380870e+02          1       2772
       78    2.375682e+07   4.452984e+06   1.399790e+02          1       2808
       79    2.380463e+07   4.452984e+06   1.421050e+02          1       2844
       80    2.378869e+07   4.452984e+06   1.440720e+02          1       2880
       81    2.376807e+07   4.452984e+06   1.461430e+02          1       2916
       82    2.380088e+07   4.452984e+06   1.481140e+02          1       2952
       83    2.380088e+07   4.452984e+06   1.501580e+02          1       2988
       84    2.374651e+07   4.452984e+06   1.522530e+02          1       3024
       85    2.381869e+07   4.452984e+06   1.545020e+02          1       3060
       86    2.376901e+07   4.452984e+06   1.563910e+02          1       3096
       87    2.380619e+07   4.452984e+06   1.585480e+02          1       3132
       88    2.376901e+07   4.452984e+06   1.608610e+02          1       3168
       89    2.372637e+07   4.452984e+06   1.627510e+02          1       3204
       90    2.373574e+07   4.452984e+06   1.644520e+02          1       3240
       91    2.379901e+07   4.452984e+06   1.665710e+02          1       3276
       92    2.379151e+07   4.452984e+06   1.687620e+02          1       3312
       93    2.377557e+07   4.452984e+06   1.709910e+02          1       3348
       94    2.378026e+07   4.452984e+06   1.731310e+02          1       3384
       95    2.381307e+07   4.452984e+06   1.751680e+02          1       3420
       96    2.376151e+07   4.452984e+06   1.778440e+02          1       3456
       97    2.377088e+07   4.452984e+06   1.809620e+02          1       3492
       98    2.377463e+07   4.452984e+06   1.829470e+02          1       3528
       99    2.375119e+07   4.452984e+06   1.850930e+02          1       3564
      100    2.373901e+07   4.452984e+06   1.870780e+02          1       3600
      101    2.381119e+07   4.452984e+06   1.890530e+02          1       3636
      102    2.377932e+07   4.452984e+06   1.911410e+02          1       3672
      103    2.380369e+07   4.452984e+06   1.931900e+02          1       3708
      104    2.376151e+07   4.452984e+06   1.951260e+02          1       3744
      105    2.375682e+07   4.452984e+06   1.970500e+02          1       3780
      106    2.374651e+07   4.452984e+06   1.989940e+02          1       3816
      107    2.380737e+07   4.452984e+06   2.010660e+02          1       3852
      108    2.376057e+07   4.452984e+06   2.029790e+02          1       3888
      109    2.380182e+07   4.452984e+06   2.048830e+02          1       3924
      110    2.374369e+07   4.452984e+06   2.069070e+02          1       3960
      111    2.376619e+07   4.452984e+06   2.089280e+02          1       3996
      112    2.379338e+07   4.452984e+06   2.111120e+02          1       4032
      113    2.381026e+07   4.452984e+06   2.133710e+02          1       4068
      114    2.375307e+07   4.452984e+06   2.153910e+02          1       4104
      115    2.374838e+07   4.452984e+06   2.173510e+02          1       4140
      116    2.382151e+07   4.452984e+06   2.195500e+02          1       4176
      117    2.380838e+07   4.452984e+06   2.218220e+02          1       4212
      118    2.378869e+07   4.452984e+06   2.239920e+02          1       4248
      119    2.378682e+07   4.452984e+06   2.258730e+02          1       4284
      120    2.375776e+07   4.452984e+06   2.279980e+02          1       4320
      121    2.378776e+07   4.452984e+06   2.300910e+02          1       4356
      122    2.378869e+07   4.452984e+06   2.322880e+02          1       4392
      123    2.378119e+07   4.452984e+06   2.345310e+02          1       4428
      124    2.378026e+07   4.452984e+06   2.366490e+02          1       4464
      125    2.381401e+07   4.452984e+06   2.388910e+02          1       4500
      126    2.375588e+07   4.452984e+06   2.409240e+02          1       4536
      127    2.375682e+07   4.452984e+06   2.428120e+02          1       4572
      128    2.378682e+07   4.452984e+06   2.448350e+02          1       4608
      129    2.378963e+07   4.452984e+06   2.468080e+02          1       4644
      130    2.377838e+07   4.452984e+06   2.487290e+02          1       4680
      131    2.382331e+07   4.452984e+06   2.503470e+02          1       4716
      132    2.378581e+07   4.452984e+06   2.520430e+02          1       4752
      133    2.377268e+07   4.452984e+06   2.537030e+02          1       4788
      134    2.379901e+07   4.452984e+06   2.556780e+02          1       4824
      135    2.376799e+07   4.452984e+06   2.575130e+02          1       4860
      136    2.378768e+07   4.452984e+06   2.593420e+02          1       4896
      137    2.373893e+07   4.452984e+06   2.612500e+02          1       4932
      138    2.376612e+07   4.452984e+06   2.631060e+02          1       4968
      139    2.377362e+07   4.452984e+06   2.648490e+02          1       5004
      140    2.376987e+07   4.452984e+06   2.667090e+02          1       5040
      141    2.374456e+07   4.452984e+06   2.686440e+02          1       5076
      142    2.378206e+07   4.452984e+06   2.705360e+02          1       5112
      143    2.379518e+07   4.452984e+06   2.724490e+02          1       5148
      144    2.379612e+07   4.452984e+06   2.743310e+02          1       5184
      145    2.379612e+07   4.452984e+06   2.761670e+02          1       5220
      146    2.379143e+07   4.452984e+06   2.783910e+02          1       5256
      147    2.380831e+07   4.452984e+06   2.806920e+02          1       5292
      148    2.377456e+07   4.452984e+06   2.827930e+02          1       5328
      149    2.378299e+07   4.452984e+06   2.847130e+02          1       5364
      150    2.377174e+07   4.452984e+06   2.866880e+02          1       5400
      151    2.376432e+07   4.452984e+06   2.889590e+02          1       5436
      152    2.380362e+07   4.452984e+06   2.908740e+02          1       5472
      153    2.377643e+07   4.452984e+06   2.927800e+02          1       5508
      154    2.378018e+07   4.452984e+06   2.946370e+02          1       5544
      155    2.372236e+07   4.452984e+06   2.964630e+02          1       5580
      156    2.377737e+07   4.452984e+06   2.982070e+02          1       5616
      157    2.378768e+07   4.452984e+06   3.000260e+02          1       5652
      158    2.376049e+07   4.452984e+06   3.018050e+02          1       5688
      159    2.373927e+07   4.452984e+06   3.037880e+02          1       5724
      160    2.378206e+07   4.452984e+06   3.055250e+02          1       5760
      161    2.380549e+07   4.452984e+06   3.072750e+02          1       5796
      162    2.379237e+07   4.452984e+06   3.090890e+02          1       5832
      163    2.379987e+07   4.452984e+06   3.110360e+02          1       5868
      164    2.382424e+07   4.452984e+06   3.129230e+02          1       5904
      165    2.377643e+07   4.452984e+06   3.148640e+02          1       5940
      166    2.377549e+07   4.452984e+06   3.168860e+02          1       5976
      167    2.380276e+07   4.452984e+06   3.189340e+02          1       6012
      168    2.378018e+07   4.452984e+06   3.209080e+02          1       6048
      169    2.380643e+07   4.452984e+06   3.227530e+02          1       6084
      170    2.377174e+07   4.452984e+06   3.246110e+02          1       6120
      171    2.376049e+07   4.452984e+06   3.268860e+02          1       6156
      172    2.375206e+07   4.452984e+06   3.285570e+02          1       6192
      173    2.378018e+07   4.452984e+06   3.304490e+02          1       6228
      174    2.376987e+07   4.452984e+06   3.322020e+02          1       6264
      175    2.380268e+07   4.452984e+06   3.339360e+02          1       6300
      176    2.378768e+07   4.452984e+06   3.357250e+02          1       6336
      177    2.375862e+07   4.452984e+06   3.375990e+02          1       6372
      178    2.381768e+07   4.452984e+06   3.394200e+02          1       6408
      179    2.376331e+07   4.452984e+06   3.412640e+02          1       6444
      180    2.376049e+07   4.452984e+06   3.431570e+02          1       6480
      181    2.382151e+07   4.452984e+06   3.450270e+02          1       6516
      182    2.380557e+07   4.452984e+06   3.478820e+02          1       6552
      183    2.377369e+07   4.452984e+06   3.498570e+02          1       6588
      184    2.374924e+07   4.452984e+06   3.516580e+02          1       6624
      185    2.377088e+07   4.452984e+06   3.536170e+02          1       6660
      186    2.378018e+07   4.452984e+06   3.555170e+02          1       6696
      187    2.379057e+07   4.452984e+06   3.574500e+02          1       6732
      188    2.381956e+07   4.452984e+06   3.593050e+02          1       6768
      189    2.382424e+07   4.452984e+06   3.611180e+02          1       6804
      190    2.377456e+07   4.452984e+06   3.630090e+02          1       6840
      191    2.380369e+07   4.452984e+06   3.649170e+02          1       6876
      192    2.379706e+07   4.452984e+06   3.668020e+02          1       6912
      193    2.378588e+07   4.452984e+06   3.686650e+02          1       6948
      194    2.376799e+07   4.452984e+06   3.703680e+02          1       6984
      195    2.381299e+07   4.452984e+06   3.721670e+02          1       7020
      196    2.378674e+07   4.452984e+06   3.738970e+02          1       7056
      197    2.379893e+07   4.452984e+06   3.757200e+02          1       7092
      198    2.381862e+07   4.452984e+06   3.775930e+02          1       7128
      199    2.375112e+07   4.452984e+06   3.794940e+02          1       7164
      200    2.381299e+07   4.452984e+06   3.815080e+02          1       7200
      201    2.378862e+07   4.452984e+06   3.834440e+02          1       7236
      202    2.374362e+07   4.452984e+06   3.852670e+02          1       7272
      203    2.376901e+07   4.452984e+06   3.873270e+02          1       7308
      204    2.377268e+07   4.452984e+06   3.890710e+02          1       7344
      205    2.378299e+07   4.452984e+06   3.909840e+02          1       7380
      206    2.371703e+07   4.452984e+06   3.928960e+02          1       7416
      207    2.380924e+07   4.452984e+06   3.946760e+02          1       7452
      208    2.378768e+07   4.452984e+06   3.965790e+02          1       7488
      209    2.380831e+07   4.452984e+06   3.986590e+02          1       7524
      210    2.379526e+07   4.452984e+06   4.005400e+02          1       7560
      211    2.381682e+07   4.452984e+06   4.025520e+02          1       7596
      212    2.373807e+07   4.452984e+06   4.044770e+02          1       7632
      213    2.377737e+07   4.452984e+06   4.062890e+02          1       7668
      214    2.381112e+07   4.452984e+06   4.082820e+02          1       7704
      215    2.377831e+07   4.452984e+06   4.101250e+02          1       7740
      216    2.377549e+07   4.452984e+06   4.121200e+02          1       7776
      217    2.376518e+07   4.452984e+06   4.139790e+02          1       7812
      218    2.378112e+07   4.452984e+06   4.158620e+02          1       7848
      219    2.380838e+07   4.452984e+06   4.178840e+02          1       7884
      220    2.378487e+07   4.452984e+06   4.198890e+02          1       7920
      221    2.378487e+07   4.452984e+06   4.217020e+02          1       7956
      222    2.378213e+07   4.452984e+06   4.236990e+02          1       7992
      223    2.380276e+07   4.452984e+06   4.256580e+02          1       8028
      224    2.374234e+07   4.452984e+06   4.276140e+02          1       8064
      225    2.380932e+07   4.452984e+06   4.296180e+02          1       8100
      226    2.379244e+07   4.452984e+06   4.317130e+02          1       8136
      227    2.376143e+07   4.452984e+06   4.335540e+02          1       8172
      228    2.377088e+07   4.452984e+06   4.355240e+02          1       8208
      229    2.378487e+07   4.452984e+06   4.373640e+02          1       8244
      230    2.377081e+07   4.452984e+06   4.393480e+02          1       8280
      231    2.378682e+07   4.452984e+06   4.413320e+02          1       8316
      232    2.378206e+07   4.452984e+06   4.432710e+02          1       8352
      233    2.374182e+07   4.452984e+06   4.452340e+02          1       8388
      234    2.378206e+07   4.452984e+06   4.470540e+02          1       8424
      235    2.374643e+07   4.452984e+06   4.488870e+02          1       8460
      236    2.379237e+07   4.452984e+06   4.507490e+02          1       8496
      237    2.380831e+07   4.452984e+06   4.527240e+02          1       8532
      238    2.376893e+07   4.452984e+06   4.547580e+02          1       8568
      239    2.379049e+07   4.452984e+06   4.567510e+02          1       8604
      240    2.382619e+07   4.452984e+06   4.587780e+02          1       8640
      241    2.379143e+07   4.452984e+06   4.606410e+02          1       8676
      242    2.378393e+07   4.452984e+06   4.627240e+02          1       8712
      243    2.379237e+07   4.452984e+06   4.647980e+02          1       8748
      244    2.379237e+07   4.452984e+06   4.667840e+02          1       8784
      245    2.375674e+07   4.452984e+06   4.690750e+02          1       8820
      246    2.379338e+07   4.452984e+06   4.712540e+02          1       8856
      247    2.378018e+07   4.452984e+06   4.732150e+02          1       8892
      248    2.381768e+07   4.452984e+06   4.754760e+02          1       8928
      249    2.380088e+07   4.452984e+06   4.773950e+02          1       8964
      250    2.377737e+07   4.452984e+06   4.795650e+02          1       9000

Terminating training
  Status         : iteration_limit
  Total time (s) : 4.795650e+02
  Total solves   : 9000
  Best bound     :  4.452984e+06
  Simulation CI  :  2.378839e+07 ± 4.238939e+03
------------------------------------------------------------------------------

odow commented 3 months ago

See https://sddp.dev/stable/tutorial/markov_uncertainty/ You can use the index of the node to chooses a different sample space or probability vector, or in the SDDP.parameterize function you can have if t == 1 #=do something=# else #=do something else=# end
Yes. But as with all code, you should always debug your model on small instances, plot the solution with a spaghetti plot, etc. You should always assume that there is the risk of a bug (in your code, SDDP.jl, or the solver), and never assume that just because you used a library that it is "correct".
So I ignored it sure, you can ignore it. It is a warning, not an error, but it often means that there is a "better" way to reformulate your problem, or that you expect too much precision. I like to think of 5e-5 as "does a millionaire know when they spend $50?"
It looks like you used a different random seed between the runs. Since there are VariableRef in MOI.ZeroOne constraints, you have a mixed-integer problem. SDDP.jl is not guaranteed to find a global solution. It may find only a locally feasible policy.

You should also try updating to the latest version of SDDP.jl. I improved a few numerical things, so the warning shouldn't appear like that in the most recent version.

WuSiren commented 3 months ago

Thank you, Professor! Every time I see your reply, I realize how stupid my questions are! Please forgive me!

BTW, now my SDDP is v1.1.2. Is it the latest version? I found the latest version here is v1.7.0 but I was not able to update to it throgh ] up SDDP.

odow commented 3 months ago

Try ] add SDDP@1.7. You probably have some other packages that are holding you back.

(We've changed 106 things since 1.1.2! https://github.com/odow/SDDP.jl/compare/v1.1.2...v1.7.0)

WuSiren commented 3 months ago

But there even isn't an update symbol ^, why?

(test) pkg> st
Status `D:\test\Project.toml`
  [87dc4568] HiGHS v1.5.0
  [4076af6c] JuMP v1.9.0
  [f4570300] SDDP v1.1.2

This is the result after I run ] add SDDP@1.7:

(test) pkg>  add SDDP@1.7
   Resolving package versions...
ERROR: Unsatisfiable requirements detected for package SDDP [f4570300]:
 SDDP [f4570300] log:
 ├─possible versions are: 0.1.0-1.1.2 or uninstalled
 └─restricted to versions 1.7 by an explicit requirement — no versions left

odow commented 3 months ago

] update? How did you install Julia? It doesn't appear that you have access to the latest version of the General registry.

WuSiren commented 3 months ago

It's solved! Thank you! 🤝

odow / SDDP.jl

Some questions on parameterizing the subproblem and numerical issues #753