v1.13.1

SDDP v1.13.1

Diff since v1.13.0

Merged pull requests:

• Update inventory cost parameter from 15 to 35 (#877) (@odow)
• Update to JSON@1 (#878) (@odow)
• Initialize incoming_state_bounds when preparing LagrangianDuality (#882) (@odow)
• Prep for v1.13.1 (#883) (@odow)

Closed issues:

• Very small correction in the inventory example (#876)
• Problems calling parametrize when building the PolicyGraph (#880)

v1.13.0

SDDP v1.13.0

Diff since v1.12.0

Merged pull requests:

• Inner approximations (#830) (@bfpc)
• Add ImportanceSamplingForwardPass (#848) (@odow)
• Add tutorial on the different duality handlers (#860) (@odow)
• Remove near zeros in LagrangianDuality (#861) (@odow)
• Complete code coverage for fpc/inner (#864) (@rjmalves)
• Fix FixedDiscreteDuality to be globally valid (#865) (@odow)
• Remove unnecessary SDDP. prefix (#866) (@odow)
• Fix log_frequency=1 to override log_every_seconds (#867) (@odow)
• Add .optimizer to FixedDiscreteDuality (#868) (@odow)
• Improve performance of computing the stage objective value (#870) (@odow)
• Prep for v1.13.0 (#873) (@odow)

Closed issues:

• Gurobi solver with multitreading (#859)
• "Strengthen" FixedDiscreteDuality (#862)
• Querying the stage objective value in the backward pass can be slow (#869)
• Bilinear product of State variable with random variable (#872)

v1.12.0

SDDP v1.12.0

Diff since v1.11.0

Merged pull requests:

• [docs] add batteries tutorial from winter school (#849) (@odow)
• Revert changes to work-around a bug in HiGHS (#850) (@odow)
• Improve the docstring of duality handlers (#851) (@odow)
• Skip failing test on i686 (#853) (@odow)
• Fix typo in local_improvement_search.jl (#855) (@odow)
• Add FixedDiscreteDuality (#856) (@odow)
• Add Part IV report from 2014 (#857) (@odow)
• Prep for v1.12.0 (#858) (@odow)

Closed issues:

• Tracking upstream bug in HiGHS (#838)

v1.11.0

SDDP v1.11.0

Diff since v1.10.5

Merged pull requests:

• Improving user interfaces and test coverage in fpc/inner (#831) (@rjmalves)
• Update papers with improved citations (#841) (@odow)
• Fix environment loading in parallel_schemes.jl (#842) (@odow)
• Prices are for different deficit "depths" (#843) (@bfpc)
• [docs] rotate DOCUMENTER_KEY (#845) (@odow)
• Add a fallback optimizer in duality handlers (#846) (@odow)
• Prep for v1.11.0 (#847) (@odow)

Closed issues:

• Which solver can solve a MINLP and produce duals (#844)

v1.10.5

SDDP v1.10.5

Diff since v1.10.4

Merged pull requests:

• [docs] add Add a custom cut guide (#832) (@odow)
• [docs] add guide on multithreading (#833) (@odow)
• Keep Markovian structure when parsing lattice from MSPFormat (#834) (@ChrisFuelOR)
• Update risk.jl (#835) (@besp-kt)
• Fix docs by pinning HiGHS_jll to v1.9.0 (#836) (@odow)
• Add test/Project.toml (#837) (@odow)
• Free HiGHS_jll and work-around bug (#839) (@odow)
• Prep for v1.10.5 (#840) (@odow)

v1.10.4

SDDP v1.10.4

Diff since v1.10.3

Merged pull requests:

• Throw warning if fewer nodes than threads (#823) (@odow)
• Fix Threaded simulate to thread over chunks instead of replications (#824) (@odow)
• Change test/plugins/threaded.jl to a module (#825) (@odow)
• Update copyright year to 2025 (#826) (@odow)
• Prep for v1.10.4 (#827) (@odow)
• Fix chunk splitting in Threaded simulate (#828) (@odow)
• Fix test of threaded simulate (#829) (@odow)

Closed issues:

• Interpolating between nodes in the graph (#820)

v1.10.3

SDDP v1.10.3

Diff since v1.10.2

Merged pull requests:

• Add variable bounds to incoming states in LagrangianDuality (#819) (@odow)
• [docs] document how to use the Threaded parallel scheme (#821) (@odow)
• Prep for v1.10.3 (#822) (@odow)

Closed issues:

• Example problem with a random number of stages (#792)
• Domain of incoming states in the Lagrangian dual (#818)

v1.10.2

SDDP v1.10.2

Diff since v1.10.1

Merged pull requests:

• Improve test coverage (#810) (@odow)
• Improve test coverage (#811) (@odow)
• [docs] improve documentation for risk measures (#813) (@odow)
• [docs] update API reference style (#814) (@odow)
• Fix ConvexCombination risk measure with intercept term (#815) (@odow)
• Fix badge for GitHub actions (#816) (@odow)
• Prep for v1.10.2 (#817) (@odow)

Closed issues:

• Principled forward model for uniformly converged cost to go (#766)
• Improve documentation for risk measures, including Wasserstein (#812)

v1.10.1

SDDP v1.10.1

Diff since v1.10.0

Merged pull requests:

• Update air conditioning example (#801) (@Thuener)
• Fix thread safety of RegularizedForwardPass (#806) (@odow)
• Drop exception for regularized forward pass in algorithm.jl (#807) (@FSchmidtDIW)
• Fix thread safety of AlternativeForwardPass (#808) (@odow)
• Prep for v1.10.1 (#809) (@odow)

Closed issues:

• Recording primal/dual iterates (#791)
• Restructure the examples in the documentation (#798)

v1.10.0

SDDP v1.10.0

Diff since v1.9.0

Merged pull requests:

• Add tutorial Example: inventory management (#795) (@odow)
• Fix cut sharing in a graph with zero-probability arcs (#797) (@odow)
• Add stochastic lead times example to docs (#800) (@Thuener)
• Add root_node_risk_measure kwarg to SDDP.train (#804) (@odow)
• Prep for v1.10 (#805) (@odow)

Closed issues:

• Help with Visualizing Cuts (#794)
• Cut sharing with Markov policy graph (#796)
• Cycle policy condition on t (#799)
• Periodical SDDP (#802)
• Value of bound output during training with risk aversion and first stage uncertainty (#803)