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fix bad spelling #333

Merged
merged 1 commit into from Jul 16, 2020
Merged

fix bad spelling #333

merged 1 commit into from Jul 16, 2020

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lkapelevich
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@odow
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odow commented Jul 16, 2020

Hilarious. I have a local branch on my computer where I was playing with some improvements to SDDiP. I think we have some good ideas.

@lkapelevich
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I won't mind if you want to share :-)

@odow
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odow commented Jul 16, 2020

I need to finish it and tidy it up, but basically we combine trust-region with Kelley's. Start with tight bounds on the duals (e.g., -1e3 <= pi <= 1e3). If Kelley's converges, a pi is at the boundary, and the state variables are violated, loosen the bound.

I think I'm also going to remove the special case integrality handlers and the binarization of the states. If users want to binarize their states; they should do it manually. We shouldn't encourage them.

I was doing this, then https://odow.github.io/StochOptFormat/ got in the way. Once we have that, we can run some proper benchmarks to test ideas.

@odow odow merged commit 6eeb2bd into odow:master Jul 16, 2020
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2 participants