Thuener
commented
3 weeks ago I have changed the BanditDuality code for this strategy to change the duality handler if the bound stops moving. It would be something like this:
mutable struct _Stab{T}
handler::T
end
mutable struct StabDuality <: SDDP.AbstractDualityHandler
dual_handlers::Vector{_Stab}
last_dual_handlers_index::Int
function StabDuality(args::SDDP.AbstractDualityHandler...)
return new(_Stab[_Stab(arg) for arg in args], 1)
end
end
function Base.show(io::IO, handler::StabDuality)
print(io, "StabDuality with multiple dual_handlers:")
for dual_handler in handler.dual_handlers
print(io, "\n * ", dual_handler.handler)
end
return
end
function StabDuality()
return StabDuality(SDDP.ContinuousConicDuality(), SDDP.StrengthenedConicDuality(), SDDP.LagrangianDuality())
end
function SDDP.prepare_backward_pass(
node::SDDP.Node,
handler::StabDuality,
options::SDDP.Options,
)
if length(options.log) > 2 && isapprox(options.log[end-1].bound, options.log[end].bound; atol = 1e-6)
handler.last_dual_handlers_index = handler.last_dual_handlers_index % length(handler.dual_handlers) +1
end
return SDDP.prepare_backward_pass(node, handler.dual_handlers[handler.last_dual_handlers_index].handler, options)
end
function SDDP.get_dual_solution(node::SDDP.Node, handler::StabDuality)
return SDDP.get_dual_solution(node, handler.dual_handlers[handler.last_dual_handlers_index].handler)
end
function SDDP.duality_log_key(handler::StabDuality)
return SDDP.duality_log_key(handler.dual_handlers[handler.last_dual_handlers_index].handler)
end
odow
Hi Oscar,
now with SDDiP, we actually have a heuristic to solve the model. We don't proved convergence anymore. I can see that on several occasions, the model is stuck on a local optimal. I have been using BanditDuality to help the model to get out of those local optimal. Using different cuts helps get out of the local optimal. However, StrengthenedConicDuality can make much slower progress.
Any ideas on how to get out of the local optimal? Is there any way to use different duality_handlers depending on the bound stalling?
PS: I also get an issue with BanditDuality when trying to start back the train, it gets stuck with just one type of duality. Example:
Starting back training as I don't think we achieved convergence:
Then I'm stuck in local optimal and the StrengthenedConicDuality is never used again.