-

 

 

 




Optimization Online





 

SDDP.jl: a Julia package for Stochastic Dual Dynamic Programming

Oscar Dowson (o.dowson***at***auckland.ac.nz)
Lea Kapelevich (lkap***at***mit.edu)

Abstract: In this paper we present SDDP.jl, an open-source library for solving multistage stochastic optimization problems using the Stochastic Dual Dynamic Programming algorithm. SDDP.jl is built upon JuMP, an algebraic modelling language in Julia. This enables a high-level interface for the user, while simultaneously providing performance that is similar to implementations in low-level languages. We benchmark the performance of SDDP.jl against a C++ implementation of SDDP for the New Zealand Hydro-Thermal Scheduling Problem. On the benchmark problem, SDDP.jl is approximately 30% slower than the C++ implementation. However, this performance penalty is small when viewed in context of the generic nature of the SDDP.jl library compared to the single purpose C++ implementation.

Keywords: SDDP; Julia; Stochastic Dual Dynamic Programming; DOASA

Category 1: Stochastic Programming

Category 2: Optimization Software and Modeling Systems

Citation:

Download: [PDF]

Entry Submitted: 12/21/2017
Entry Accepted: 12/22/2017
Entry Last Modified: 04/23/2018

Modify/Update this entry


  Visitors Authors More about us Links
  Subscribe, Unsubscribe
Digest Archive
Search, Browse the Repository

 

Submit
Update
Policies
Coordinator's Board
Classification Scheme
Credits
Give us feedback
Optimization Journals, Sites, Societies
Mathematical Optimization Society