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# Stochastic Dual Dynamic Programming | ||
# Stochastic Dual Dynamic Programming (SDDP) | ||
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[![Build Status](https://travis-ci.org/blegat/StochasticDualDynamicProgramming.jl.svg?branch=master)](https://travis-ci.org/blegat/StochasticDualDynamicProgramming.jl) | ||
[![Coverage Status](https://coveralls.io/repos/github/blegat/StochasticDualDynamicProgramming.jl/badge.svg)](https://coveralls.io/github/blegat/StochasticDualDynamicProgramming.jl) | ||
[![codecov](https://codecov.io/gh/blegat/StochasticDualDynamicProgramming.jl/branch/master/graph/badge.svg)](https://codecov.io/gh/blegat/StochasticDualDynamicProgramming.jl) | ||
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Implementation of [Stochastic Dual Dynamic Programming](http://www.optimization-online.org/DB_FILE/2009/12/2509.pdf). | ||
Implementation of [Stochastic Dual Dynamic Programming (SDDP)](http://www.optimization-online.org/DB_FILE/2009/12/2509.pdf). | ||
The problem can either be provided using the [StructJuMP](https://github.com/joehuchette/StructJuMP.jl) modeling interface or using a lower level interface. | ||
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This package is used by the [Entropic Cone](https://github.com/blegat/EntropicCone.jl) package. | ||
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# Installation | ||
To use this package you will need Julia v0.5 and the latest version of [StructJuMP](https://github.com/joehuchette/StructJuMP.jl). | ||
Neither [StructJuMP](https://github.com/joehuchette/StructJuMP.jl) nor this package are currently registered so you will need to use `Pkg.clone` to use them: | ||
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``` | ||
> Pkg.checkout("StructJuMP") | ||
> Pkg.clone("https://github.com/StructJuMP/StructJuMP.jl") | ||
> Pkg.clone("https://github.com/blegat/StochasticDualDynamicProgramming.jl") | ||
``` |