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Last updated May 12, 2016
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One of the use of the package is to allow easy benchmarking of different approaches and choice in SDDP.
So part of the project should be devoted to easily benchmark different choices of SDDP.

  • For a given SPmodel, use a fixed list of noise scenarios for the forward phases allowing
    -- comparison of solvers (parameters) efficiency
    -- benchmarking of cut-selection methods in term of time / memory
    -- benchmarking of approximate-solution efficiency in term of time
    -- comparison of the quality of the solution obtained with different choices of SDDP parameters

  • For a given SPmodel and SDDPparameters keep in memory lower bounds (and maybe upper-bounds)

  • For a given problem compare different risk-aversion choices

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