Asynchronous cuts with price states

[adow031]

I've written a model using price states, and I'm trying to use the asynchronous cut generation, however, it throws the following error.

The error is being thrown at this section of the code:
for (y, μ) in zip(cut.obj_y, V.objective_states)
JuMP.add_to_expression!(yᵀμ, y, μ)
end

I don't get any error if price states are not present. The documentation on these asynchronous cuts is a bit limited. Is this not supported yet?

MethodError: no method matching iterate(::Nothing)
Closest candidates are:
  iterate(!Matched::Core.SimpleVector) at essentials.jl:600
  iterate(!Matched::Core.SimpleVector, !Matched::Any) at essentials.jl:600
  iterate(!Matched::ExponentialBackOff) at error.jl:218
  ...
in top-level scope at FINAL INFINITE HORIZON MULTIDIMENSIONAL.jl:45
in  at base\none
in #train#49 at SDDP\ytro1\src\algorithm.jl:874
in master_loop at SDDP\ytro1\src\plugins\parallel_schemes.jl:223
in slave_update at SDDP\ytro1\src\plugins\parallel_schemes.jl:104
in  at base\none
in #_add_cut#92 at SDDP\ytro1\src\plugins\bellman_functions.jl:69
in add_cut_constraint_to_model at SDDP\ytro1\src\plugins\bellman_functions.jl:80
in iterate at base\iterators.jl:332 
in _zip_iterate_all at base\iterators.jl:342
in _zip_iterate_some at base\iterators.jl:350 

[odow]

It's not implemented, but I thought I threw a nicer error:

SDDP.jl/src/plugins/parallel_schemes.jl

Lines 99 to 102 in a5033c2

	error(
	"This model uses features that are not suppored in async " *
	"mode. Use `parallel_scheme = Serial()` instead.",
	)

I'll take a look.

[odow]

Do you have a reproducible example? Are you using multi-cut as well? Found one.

[adow031]

I just tested my code with the change you've made, and it's working. Should I take this to mean that this is a supported feature, or should I use it 'at my own risk'?

[odow]

This will be a supported feature, but for now it's "at your own risk."

[adow031]

Great thanks for this; my infinite horizon objective-state model, might finally be able to converge.

[odow]

What's the discount factor?

[adow031]

48 stages, and it wraps around with a discount factor of 0.9

[odow]

That shouldn't be a problem then. The real issue with the objective state is that I still haven't implemented cut selection, so it's going to hit issues with lots of cuts.

[adow031]

I've previously done manual cut selection on objective state models, where I discard cuts that no longer bind for any visited states, but that was in the Julia 0.6 version.

Anyways, we're getting off topic!

[odow]

Just to confirm, this is now "official supported."