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)

v1.9.0

SDDP v1.9.0

Diff since v1.8.1

Merged pull requests:

• Skip threading tests if running in serial (#770) (@odow)
• Fix here-and-now typo (#771) (@joaquimg)
• Update simulate_using_a_different_sampling_scheme.md (#772) (@Thuener)
• Fix failing doctest because of JuMP's printing (#773) (@odow)
• Change BanditDuality to use a prior and softmax to randomize arms (#779) (@odow)
• Cut selection flags for write and read cuts functions (#781) (@Thuener)
• Add simple cut selection flags test (#784) (@Thuener)
• Improve error for lagged state variables in MSPFormat (#786) (@odow)
• Support publication plot with replications of different lengths (#788) (@odow)
• Use disable_sigint to allow interrupts only between iterations (#789) (@odow)
• Add a callback to modify the subproblem on numerical difficulty (#790) (@odow)
• Prep for v1.9.0 (#793) (@odow)

Closed issues:

• Pass non-SDDP related decision rules (#696)
• Central Path Cutting Plane (#755)
• Manually stopping training SIGINT Gurobi (#767)
• Add a callback to let the user modify a subproblem when numerical difficulties found (#774)
• Correct Modeling Technique for Capacity Expansion (#775)
• Question regarding calculate_bound with Bin variables. (#776)
• Getting out of local optimal SDDiP (#777)
• Performance Improvement on read/write cuts (#778)
• the solver encountered numerical issues (#782)
• [MSPFormat] Can't read Problem Instance 10 (Inventory Problem with Lead Time) from MSPLib-Library (#785)
• Counting the number of cuts (#787)
• Recording primal/dual iterates (#791)

v1.8.1

SDDP v1.8.1

Diff since v1.8.0

Merged pull requests:

• DNM: Fix various Threading() bugs (#761) (@odow)
• Update copyright year (#762) (@odow)
• Fix deprecation warning for sort(::Dict) (#763) (@odow)
• Add separate_kwargs_with_semicolon = true to .JuliaFormatter.toml (#764) (@odow)
• Prep for v1.8.1 (#769) (@odow)

Closed issues:

• TTFX (#685)
• Which would be the correct way to model the uncertainty from historical data? (#765)
• Performance enhance (Direct Model) (#768)

v1.8.0

SDDP v1.8.0

Diff since v1.7.0

Merged pull requests:

• [docs] clarify monotonicity of bound in first_steps.jl (#747) (@odow)
• Add Threaded parallel scheme (#758) (@odow)
• Misc maintenance fixes and updates (#759) (@odow)
• Prep for v1.8.0 (#760) (@odow)

Closed issues:

• Multithreading parallelism (#599)
• Multiplying random variables will result in an error. This is related to nonlinear programming. (#739)
• Multiply two variables (#744)
• Does SDDP.jl support modeling with endogenous uncertainty and custom decision rules? (#745)
• Clarify documentation of non monotonic bound (#746)
• Cuts with really small coefficents (#748)
• Can I define a constraint that correlates state variables from multiple nodes? (#749)
• Does SDDP.jl support polytopic uncertainty? (#750)
• UnicyclicGraph with Integer variables (#751)
• Runtime specified variable naming (#752)
• Some questions on parameterizing the subproblem and numerical issues (#753)
• ERROR: TypeError: in keyword argument incoming_state, expected Dict{Symbol, Float64}, got a value of type Dict{Symbol, Any} (#754)
• Some questions about model debugging (#756)
• How to save a trained model? (#757)