Comments (1)
odow
commented on June 1, 2024
Do you want to use this sampling strategy in the cutting phase of the algorithm or the simulation phase?
If it is the simulation phase, there is a way to do historical simulations although this isn't the easiest to use (see #10).
If it is the iteration phase, then unfortunately there is not a way to do it. At various points, we have discussed some sort of sampling oracle that enabled different sampling strategies to be used (for example, it would be nice to sample with the risk-adjusted probabilities #29). This should be implemented at some point.
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Related Issues (20)
- Multithreading parallelism HOT 2
- MSPFormat issues HOT 16
- Implement MIDAS on SDDP.jl HOT 5
- Document how to use Distributions.jl to create sample space HOT 11
- documentation fix HOT 1
- Regularization for deterministic first-stage HOT 2
- Debugging the model HOT 4
- Attempting to recover from serious numerical issues... HOT 16
- Comparing DH vs HD problem HOT 6
- First-stage stopping rule
- Running into some error (MSPFormat reader) HOT 1
- stochastic variables make the SDDP model infeasible HOT 5
- multistage process simulation HOT 8
- Gurobi out of memory error on HPC HOT 7
- Defining by nature "control" variables as "state" variable on the scenario tree HOT 4
- Numerical stability issues HOT 15
- Unclear tutorial: introductory theory HOT 5
- Two uncorrelated uncertainties HOT 4
- SDDP.Asynchronous for MSPFormat HOT 12
- How to debug unbounded models HOT 11
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