StochDynamicProgramming: the stock problem
This tutorial was generated using Literate.jl. Download the source as a .jl file. Download the source as a .ipynb file.
This example comes from StochDynamicProgramming.jl.
using SDDP, HiGHS, Testfunction stock_example() model = SDDP.PolicyGraph( SDDP.LinearGraph(5); lower_bound = -2, optimizer = HiGHS.Optimizer, ) do sp, stage @variable(sp, 0 <= state <= 1, SDDP.State, initial_value = 0.5) @variable(sp, 0 <= control <= 0.5) @variable(sp, ξ) @constraint(sp, state.out == state.in - control + ξ) SDDP.parameterize(sp, 0.0:1/30:0.3) do ω fix(ξ, ω) return end @stageobjective(sp, (sin(3 * stage) - 1) * control) end SDDP.train(model; log_frequency = 10) @test SDDP.calculate_bound(model) ≈ -1.471 atol = 0.001 simulation_results = SDDP.simulate(model, 1_000) @test length(simulation_results) == 1_000 μ = SDDP.Statistics.mean( sum(data[:stage_objective] for data in simulation) for simulation in simulation_results ) @test μ ≈ -1.471 atol = 0.05 returnendstock_example()-------------------------------------------------------------------
SDDP.jl (c) Oscar Dowson and contributors, 2017-26
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problem
nodes : 5
state variables : 1
scenarios : 1.00000e+05
existing cuts : false
options
solver : serial mode
risk measure : SDDP.Expectation()
sampling scheme : SDDP.InSampleMonteCarlo
subproblem structure
VariableRef : [5, 5]
AffExpr in MOI.EqualTo{Float64} : [1, 1]
VariableRef in MOI.GreaterThan{Float64} : [3, 3]
VariableRef in MOI.LessThan{Float64} : [2, 3]
numerical stability report
matrix range [1e+00, 1e+00]
objective range [3e-01, 2e+00]
bounds range [5e-01, 2e+00]
rhs range [0e+00, 0e+00]
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iteration simulation bound time (s) solves pid
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10 -1.573154e+00 -1.474247e+00 3.123188e-02 1050 1
20 -1.346690e+00 -1.471483e+00 4.740882e-02 1600 1
30 -1.308031e+00 -1.471307e+00 8.122492e-02 2650 1
40 -1.401200e+00 -1.471167e+00 9.805083e-02 3200 1
50 -1.557483e+00 -1.471097e+00 1.340678e-01 4250 1
60 -1.534169e+00 -1.471075e+00 1.523919e-01 4800 1
65 -1.689864e+00 -1.471075e+00 1.618848e-01 5075 1
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status : simulation_stopping
total time (s) : 1.618848e-01
total solves : 5075
best bound : -1.471075e+00
numeric issues : 0
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