How to add noise in the constraint matrix

SDDP.jl supports coefficients in the constraint matrix through the JuMP.set_normalized_coefficient function.

julia> model = SDDP.LinearPolicyGraph(               stages=3, lower_bound = 0, optimizer = HiGHS.Optimizer               ) do subproblem, t           @variable(subproblem, x, SDDP.State, initial_value = 0.0)           @constraint(subproblem, emissions, 1 * x.out <= 1)           SDDP.parameterize(subproblem, [0.2, 0.5, 1.0]) do ω               ## rewrite 1 * x.out <= 1 to ω * x.out <= 1               set_normalized_coefficient(emissions, x.out, ω)               return           end           @stageobjective(subproblem, -x.out)       endA policy graph with 3 nodes. Node indices: 1, 2, 3

Note

JuMP will normalize constraints by moving all variables to the left-hand side. Thus, @constraint(model, 0 <= 1 - x.out) becomes x.out <= 1. set_normalized_coefficient sets the coefficient on the normalized constraint.