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Expected value iterations #740

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odow opened this issue May 7, 2024 · 0 comments
Open

Expected value iterations #740

odow opened this issue May 7, 2024 · 0 comments

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@odow
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odow commented May 7, 2024

Talking to Gabriel: we should add an option to run some expected values cuts (off by default).

This might be very useful in cyclic problems to cheaply get the value function to a place where it is the right height before adding more cuts.

We could do this by averaging the noise terms. We probably need an API like:

SDDP.train(
    model;
    average_value_iterations = SDDP.AverageValueIterator(; num_iterations = 50) do P, Ω
        return sum(p * ω for (p, ω) in zip(P, Ω))
    end,
)
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