v0.4.0

SDDP v0.4.0

Diff since v0.3.17

Closed issues:

• Decision-Hazard variables (#238)
• Add a callback to modify data over the iterations (#416)
• Use integer forward pass (#431)
• Documentation feedback (#432)
• Document how to access individual subproblems (#435)
• Add better documentation on relatively complete recourse (#436)
• Historical Simulation - BoundsError (#440)
• Integer variables when constructing a PolicyGraph (#441)
• Fix $ escaping in documentation (#442)
• Objective state with state-dependent Ω (#444)
• Fix docs of historical sampling scheme (#446)
• Installation issue (#451)

Merged pull requests:

• Fix dollar escaping in docs (#447) (@odow)
• [docs] add relatively complete recourse section (#448) (@odow)
• [breaking] Large refactoring of stochastic integer programs (#449) (@odow)
• [docs] fix documentation of Historical sampling scheme (#450) (@odow)
• Rename ConicDuality and relax_integrality (#453) (@odow)

v0.3.17

SDDP v0.3.17

Diff since v0.3.16

Closed issues:

• Forward sample with risk-adjusted probabilities (#323)
• Tests are flakey (#427)
• Add more problem descriptors (#430)

Merged pull requests:

• Add PSRSamplingScheme (#426) (@odow)
• Various small improvements to the documentation (#433) (@odow)
• Restructure the tutorials (#437) (@odow)
• Display more attributes of a model (#438) (@odow)
• Rewrite intro tutorial to add uncertainty (#439) (@odow)

v0.3.16

SDDP v0.3.16

Diff since v0.3.15

Closed issues:

• Add a warning if you try to train a model with existing cuts (#305)
• Historical ForwardPass sampling scheme (#414)
• Function to add back all cuts (#415)
• Add example using Gurobi in parallel (#417)

Merged pull requests:

• Add RiskAdjustedForwardPass (#413) (@odow)
• Update risk measure docstrings (#418) (@odow)
• Allow Historical to sample sequentially (#420) (@odow)
• Add warning when training with existing cuts (#421) (@odow)
• Add add_all_cuts (#422) (@odow)
• Update improve_computational_performance.md (#423) (@odow)
• Update docs to build on 1.6 (#425) (@odow)

v0.3.15

SDDP v0.3.15

Diff since v0.3.14

Closed issues:

• Check that the initial root state respects variable bounds (#387)
• Don't bound stall in initial iterations if no progress and Simulation is != Bound (#394)
• Unable to access water values in multi storage SDDP calculation (#398)
• MathOptFormat for SDDP.jl (#399)
• Sanitize stageobjective macro (#404)

Merged pull requests:

• Add docs on accessing previous stage (#406) (@odow)
• Sanitize inputs to stageobjective macro (#407) (@odow)
• Expand docs for water values (#408) (@odow)
• Silent by default (#409) (@odow)
• Add StoppingChain (#410) (@odow)
• Check feasibility of initial point (#411) (@odow)
• Add JuliaFormatter (#412) (@odow)

v0.3.14

SDDP v0.3.14

Diff since v0.3.13

Closed issues:

• Add guidance to documentation to solve large model (#392)

Merged pull requests:

• Fix O(n^2) function in algorithm.jl (#393) (@odow)

v0.3.13

SDDP v0.3.13

Diff since v0.3.12

Merged pull requests:

• Update Project.toml (#388) (@jd-lara)

v0.3.12

SDDP v0.3.12

Diff since v0.3.11

Closed issues:

• Print description of the model in the header (#380)
• Relax plotting code to allow Dict{String,Any} dicts to be passed (#381)

Merged pull requests:

• Relax visualization requirements (#384) (@odow)
• Add problem statistics in header (#385) (@odow)
• Add a count of scenarios to the header (#386) (@odow)

v0.3.11

SDDP v0.3.11

Diff since v0.3.10

Closed issues:

• Reusing the Gurobi environment (#377)
• Can I have the max function in the objective cost function? (#378)

Merged pull requests:

• Update 01_first_steps.jl (#379) (@odow)
• Update user_interface.jl (#383) (@odow)

v0.3.10

SDDP v0.3.10

Diff since v0.3.9

Merged pull requests:

• Update publication_plot.jl (#376) (@odow)

v0.3.9

SDDP v0.3.9

Diff since v0.3.8

Closed issues:

• Modify constraint coefficients in-place during cut selection (#68)
• Create a hybrid method for price interpolation (#97)
• Proposal: Iteration Schemes (#116)
• Parallel optimization of RHS Noises (#159)
• Implement average cost infinite horizon (#179)
• SMPS reader (#241)
• Add cut patterns to SDDiP (#257)
• SDDiP doesn't respect tolerances (#264)
• Numerical stability II (#269)
• New cut_type: Stochastic cutting plane (#275)
• Add option to start simulation at arbitrary state (#331)
• how parallelize the simulations (#342)
• Can you use MC homogenies and non-homogenies? (#350)
• Minor warning annoyance when using Publication Plots (#374)

Merged pull requests:

• Add option to simulate with different incoming state (#372) (@odow)
• Add warning when adding cuts with high dynamic range (#373) (@odow)
• Update publication_plot.jl (#375) (@odow)