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SDDP.jl example #101

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merged 6 commits into from
May 10, 2023
Merged

SDDP.jl example #101

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20969b1
working on SDDP tutorial; deterministic version seems to solve now
slwu89 May 2, 2023
b18fc65
get rid of extra files
slwu89 May 2, 2023
8f22bc6
work on SDDP notebook
slwu89 May 10, 2023
09f4666
weave sddp
slwu89 May 10, 2023
d6486d3
Merge branch 'epirecipes:master' into slwu89/sddp
slwu89 May 10, 2023
03199da
less printing
slwu89 May 10, 2023
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3 changes: 3 additions & 0 deletions Project.toml
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Original file line number Diff line number Diff line change
Expand Up @@ -20,6 +20,8 @@ DynamicalSystems = "61744808-ddfa-5f27-97ff-6e42cc95d634"
ForwardDiff = "f6369f11-7733-5829-9624-2563aa707210"
GpABC = "e850a1a4-d859-11e8-3d54-a195e6d045d3"
IJulia = "7073ff75-c697-5162-941a-fcdaad2a7d2a"
Ipopt = "b6b21f68-93f8-5de0-b562-5493be1d77c9"
JuMP = "4076af6c-e467-56ae-b986-b466b2749572"
LabelledArrays = "2ee39098-c373-598a-b85f-a56591580800"
Latexify = "23fbe1c1-3f47-55db-b15f-69d7ec21a316"
LinearAlgebra = "37e2e46d-f89d-539d-b4ee-838fcccc9c8e"
Expand All @@ -34,6 +36,7 @@ Plots = "91a5bcdd-55d7-5caf-9e0b-520d859cae80"
PyCall = "438e738f-606a-5dbb-bf0a-cddfbfd45ab0"
Random = "9a3f8284-a2c9-5f02-9a11-845980a1fd5c"
ResumableFunctions = "c5292f4c-5179-55e1-98c5-05642aab7184"
SDDP = "f4570300-c277-11e8-125c-4912f86ce65d"
SimJulia = "428bdadb-6287-5aa5-874b-9969638295fd"
SimpleDiffEq = "05bca326-078c-5bf0-a5bf-ce7c7982d7fd"
Soss = "8ce77f84-9b61-11e8-39ff-d17a774bf41c"
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243 changes: 243 additions & 0 deletions html/sddp/SDDP.log
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Original file line number Diff line number Diff line change
@@ -0,0 +1,243 @@
------------------------------------------------------------------------------
SDDP.jl (c) Oscar Dowson, 2017-21

Problem
Nodes : 100
State variables : 4
Scenarios : 1.00000e+00
Existing cuts : false
Subproblem structure : (min, max)
Variables : (10, 10)
JuMP.VariableRef in MOI.GreaterThan{Float64} : (6, 6)
JuMP.AffExpr in MOI.LessThan{Float64} : (1, 1)
JuMP.VariableRef in MOI.LessThan{Float64} : (1, 2)
JuMP.AffExpr in MOI.EqualTo{Float64} : (1, 1)
Options
Solver : serial mode
Risk measure : SDDP.Expectation()
Sampling scheme : SDDP.InSampleMonteCarlo

Numerical stability report
Non-zero Matrix range [1e+00, 1e+00]
Non-zero Objective range [1e+00, 4e+01]
Non-zero Bounds range [5e-01, 5e-01]
Non-zero RHS range [1e+01, 1e+01]
No problems detected

Iteration Simulation Bound Time (s) Proc. ID # Solves
------------------------------------------------------------------------------
SDDP.jl (c) Oscar Dowson, 2017-21

Problem
Nodes : 100
State variables : 4
Scenarios : 1.00000e+00
Existing cuts : false
Subproblem structure : (min, max)
Variables : (10, 10)
JuMP.VariableRef in MOI.GreaterThan{Float64} : (6, 6)
JuMP.AffExpr in MOI.LessThan{Float64} : (1, 1)
JuMP.VariableRef in MOI.LessThan{Float64} : (1, 2)
JuMP.AffExpr in MOI.EqualTo{Float64} : (1, 1)
Options
Solver : serial mode
Risk measure : SDDP.Expectation()
Sampling scheme : SDDP.InSampleMonteCarlo

Numerical stability report
Non-zero Matrix range [1e+00, 1e+00]
Non-zero Objective range [1e+00, 4e+01]
Non-zero Bounds range [5e-01, 5e-01]
Non-zero RHS range [1e+01, 1e+01]
No problems detected

Iteration Simulation Bound Time (s) Proc. ID # Solves
------------------------------------------------------------------------------
SDDP.jl (c) Oscar Dowson, 2017-21

Problem
Nodes : 100
State variables : 4
Scenarios : 1.00000e+00
Existing cuts : false
Subproblem structure : (min, max)
Variables : (10, 10)
JuMP.VariableRef in MOI.GreaterThan{Float64} : (6, 6)
JuMP.AffExpr in MOI.LessThan{Float64} : (1, 1)
JuMP.VariableRef in MOI.LessThan{Float64} : (1, 2)
JuMP.AffExpr in MOI.EqualTo{Float64} : (1, 1)
Options
Solver : serial mode
Risk measure : SDDP.Expectation()
Sampling scheme : SDDP.InSampleMonteCarlo

Numerical stability report
Non-zero Matrix range [1e+00, 1e+00]
Non-zero Objective range [1e+00, 4e+01]
Non-zero Bounds range [5e-01, 5e-01]
Non-zero RHS range [1e+01, 1e+01]
No problems detected

Iteration Simulation Bound Time (s) Proc. ID # Solves
------------------------------------------------------------------------------
SDDP.jl (c) Oscar Dowson, 2017-21

Problem
Nodes : 100
State variables : 4
Scenarios : 1.00000e+00
Existing cuts : false
Subproblem structure : (min, max)
Variables : (10, 10)
JuMP.VariableRef in MOI.GreaterThan{Float64} : (6, 6)
JuMP.AffExpr in MOI.LessThan{Float64} : (1, 1)
JuMP.VariableRef in MOI.LessThan{Float64} : (1, 2)
JuMP.AffExpr in MOI.EqualTo{Float64} : (1, 1)
Options
Solver : serial mode
Risk measure : SDDP.Expectation()
Sampling scheme : SDDP.InSampleMonteCarlo

Numerical stability report
Non-zero Matrix range [1e+00, 1e+00]
Non-zero Objective range [1e+00, 4e+01]
Non-zero Bounds range [5e-01, 5e-01]
Non-zero RHS range [1e+01, 1e+01]
No problems detected

Iteration Simulation Bound Time (s) Proc. ID # Solves
------------------------------------------------------------------------------
SDDP.jl (c) Oscar Dowson, 2017-21

Problem
Nodes : 100
State variables : 4
Scenarios : 1.00000e+00
Existing cuts : false
Subproblem structure : (min, max)
Variables : (10, 10)
JuMP.VariableRef in MOI.GreaterThan{Float64} : (6, 6)
JuMP.AffExpr in MOI.LessThan{Float64} : (1, 1)
JuMP.VariableRef in MOI.LessThan{Float64} : (1, 2)
JuMP.AffExpr in MOI.EqualTo{Float64} : (1, 1)
Options
Solver : serial mode
Risk measure : SDDP.Expectation()
Sampling scheme : SDDP.InSampleMonteCarlo

Numerical stability report
Non-zero Matrix range [1e+00, 1e+00]
Non-zero Objective range [1e+00, 4e+01]
Non-zero Bounds range [5e-01, 5e-01]
Non-zero RHS range [1e+01, 1e+01]
No problems detected

Iteration Simulation Bound Time (s) Proc. ID # Solves
1 2.897411e+03 2.897409e+03 8.079396e+00 1 200
2 2.897411e+03 2.897409e+03 9.222930e+00 1 400
3 2.897411e+03 2.897409e+03 1.004957e+01 1 600
4 2.897411e+03 2.897409e+03 1.087828e+01 1 800
5 2.897411e+03 2.897409e+03 1.170767e+01 1 1000
6 2.897411e+03 2.897409e+03 1.253584e+01 1 1200
7 2.897411e+03 2.897409e+03 1.336112e+01 1 1400
8 2.897411e+03 2.897409e+03 1.446783e+01 1 1600
9 2.897411e+03 2.897409e+03 1.530596e+01 1 1800
10 2.897411e+03 2.897409e+03 1.614023e+01 1 2000
11 2.897411e+03 2.897409e+03 1.697151e+01 1 2200
12 2.897411e+03 2.897409e+03 1.779227e+01 1 2400
13 2.897411e+03 2.897409e+03 1.860991e+01 1 2600
14 2.897411e+03 2.897409e+03 1.942506e+01 1 2800
15 2.897411e+03 2.897409e+03 2.024949e+01 1 3000
16 2.897411e+03 2.897409e+03 2.107883e+01 1 3200
17 2.897411e+03 2.897409e+03 2.190585e+01 1 3400
18 2.897411e+03 2.897409e+03 2.273359e+01 1 3600
19 2.897411e+03 2.897409e+03 2.399334e+01 1 3800
20 2.897411e+03 2.897409e+03 2.486836e+01 1 4000
21 2.897411e+03 2.897409e+03 2.573134e+01 1 4200
22 2.897411e+03 2.897409e+03 2.658936e+01 1 4400
23 2.897411e+03 2.897409e+03 2.744467e+01 1 4600
24 2.897411e+03 2.897409e+03 2.830441e+01 1 4800
25 2.897411e+03 2.897409e+03 2.915639e+01 1 5000
26 2.897411e+03 2.897409e+03 3.000761e+01 1 5200
27 2.897411e+03 2.897409e+03 3.085304e+01 1 5400
28 2.897411e+03 2.897409e+03 3.169464e+01 1 5600
29 2.897411e+03 2.897409e+03 3.253129e+01 1 5800
30 2.897411e+03 2.897409e+03 3.379317e+01 1 6000
31 2.897411e+03 2.897409e+03 3.465502e+01 1 6200
32 2.897411e+03 2.897409e+03 3.549709e+01 1 6400
33 2.897411e+03 2.897409e+03 3.633334e+01 1 6600
34 2.897411e+03 2.897409e+03 3.716646e+01 1 6800
35 2.897411e+03 2.897409e+03 3.800077e+01 1 7000
36 2.897411e+03 2.897409e+03 3.882881e+01 1 7200
37 2.897411e+03 2.897409e+03 3.964429e+01 1 7400
38 2.897411e+03 2.897409e+03 4.044924e+01 1 7600
39 2.897411e+03 2.897409e+03 4.124932e+01 1 7800
40 2.897411e+03 2.897409e+03 4.204284e+01 1 8000
41 2.897411e+03 2.897409e+03 4.321238e+01 1 8200
42 2.897411e+03 2.897409e+03 4.404035e+01 1 8400
43 2.897411e+03 2.897409e+03 4.485826e+01 1 8600
44 2.897411e+03 2.897409e+03 4.567835e+01 1 8800
45 2.897411e+03 2.897409e+03 4.649883e+01 1 9000
46 2.897411e+03 2.897409e+03 4.731715e+01 1 9200
47 2.897411e+03 2.897409e+03 4.813704e+01 1 9400
48 2.897411e+03 2.897409e+03 4.894786e+01 1 9600
49 2.897411e+03 2.897409e+03 4.974854e+01 1 9800
50 2.897411e+03 2.897409e+03 5.054310e+01 1 10000
51 2.897411e+03 2.897409e+03 5.133637e+01 1 10200
52 2.897411e+03 2.897409e+03 5.215636e+01 1 10400
53 2.897411e+03 2.897409e+03 5.341487e+01 1 10600
54 2.897411e+03 2.897409e+03 5.427715e+01 1 10800
55 2.897411e+03 2.897409e+03 5.514105e+01 1 11000
56 2.897411e+03 2.897409e+03 5.600350e+01 1 11200
57 2.897411e+03 2.897409e+03 5.686561e+01 1 11400
58 2.897411e+03 2.897409e+03 5.772624e+01 1 11600
59 2.897411e+03 2.897409e+03 5.858012e+01 1 11800
60 2.897411e+03 2.897409e+03 5.941935e+01 1 12000
61 2.897411e+03 2.897409e+03 6.025041e+01 1 12200
62 2.897411e+03 2.897409e+03 6.107377e+01 1 12400
63 2.897411e+03 2.897409e+03 6.189305e+01 1 12600
64 2.897411e+03 2.897409e+03 6.313037e+01 1 12800
65 2.897411e+03 2.897409e+03 6.397509e+01 1 13000
66 2.897411e+03 2.897409e+03 6.481954e+01 1 13200
67 2.897411e+03 2.897409e+03 6.566416e+01 1 13400
68 2.897411e+03 2.897409e+03 6.650618e+01 1 13600
69 2.897411e+03 2.897409e+03 6.734905e+01 1 13800
70 2.897411e+03 2.897409e+03 6.819474e+01 1 14000
71 2.897411e+03 2.897409e+03 6.903100e+01 1 14200
72 2.897411e+03 2.897409e+03 6.985254e+01 1 14400
73 2.897411e+03 2.897409e+03 7.067057e+01 1 14600
74 2.897411e+03 2.897409e+03 7.148867e+01 1 14800
75 2.897411e+03 2.897409e+03 7.270562e+01 1 15000
76 2.897411e+03 2.897409e+03 7.356868e+01 1 15200
77 2.897411e+03 2.897409e+03 7.442087e+01 1 15400
78 2.897411e+03 2.897409e+03 7.527980e+01 1 15600
79 2.897411e+03 2.897409e+03 7.613230e+01 1 15800
80 2.897411e+03 2.897409e+03 7.698707e+01 1 16000
81 2.897411e+03 2.897409e+03 7.784426e+01 1 16200
82 2.897411e+03 2.897409e+03 7.869395e+01 1 16400
83 2.897411e+03 2.897409e+03 7.953160e+01 1 16600
84 2.897411e+03 2.897409e+03 8.036015e+01 1 16800
85 2.897411e+03 2.897409e+03 8.118395e+01 1 17000
86 2.897411e+03 2.897409e+03 8.200480e+01 1 17200
87 2.897411e+03 2.897409e+03 8.324986e+01 1 17400
88 2.897411e+03 2.897409e+03 8.409562e+01 1 17600
89 2.897411e+03 2.897409e+03 8.494179e+01 1 17800
90 2.897411e+03 2.897409e+03 8.578925e+01 1 18000
91 2.897411e+03 2.897409e+03 8.663248e+01 1 18200
92 2.897411e+03 2.897409e+03 8.748678e+01 1 18400
93 2.897411e+03 2.897409e+03 8.834682e+01 1 18600
94 2.897411e+03 2.897409e+03 8.919799e+01 1 18800
95 2.897411e+03 2.897409e+03 9.003820e+01 1 19000
96 2.897411e+03 2.897409e+03 9.086665e+01 1 19200
97 2.897411e+03 2.897409e+03 9.168848e+01 1 19400
98 2.897411e+03 2.897409e+03 9.292885e+01 1 19600
99 2.897411e+03 2.897409e+03 9.378979e+01 1 19800
100 2.897411e+03 2.897409e+03 9.464339e+01 1 20000

Terminating training
Status : iteration_limit
Total time (s) : 9.464339e+01
Total solves : 20000
Best bound : 2.897409e+03
Simulation CI : 2.897411e+03 ± 8.335862e-09
------------------------------------------------------------------------------
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