scholarly journals Efficient Parallelization of the Stochastic Dual Dynamic Programming Algorithm Applied to Hydropower Scheduling

Energies ◽  
2015 ◽  
Vol 8 (12) ◽  
pp. 14287-14297 ◽  
Author(s):  
Arild Helseth ◽  
Hallvard Braaten
Keyword(s):  
Dynamic Programming ◽  
Dynamic Programming Algorithm ◽  
Programming Algorithm ◽  
Stochastic Dual Dynamic Programming ◽  
Hydropower Scheduling ◽  
Dual Dynamic Programming ◽  
Efficient Parallelization

SDDP.jl: A Julia Package for Stochastic Dual Dynamic Programming

2020 ◽  
Author(s):  
Oscar Dowson ◽  
Lea Kapelevich
Keyword(s):  
Dynamic Programming ◽  
Dynamic Programming Algorithm ◽  
Programming Algorithm ◽  
Modeling Language ◽  
Multistage Stochastic Programming ◽  
Stochastic Dual Dynamic Programming ◽  
Multiple Dispatch ◽  
Algebraic Modeling Language ◽  
User Friendly ◽  
Dual Dynamic Programming

We present SDDP.jl, an open-source library for solving multistage stochastic programming problems using the stochastic dual dynamic programming algorithm. SDDP.jl is built on JuMP, an algebraic modeling language in Julia. JuMP provides SDDP.jl with a solver-agnostic, user-friendly interface. In addition, we leverage unique features of Julia, such as multiple dispatch, to provide an extensible framework for practitioners to build on our work. SDDP.jl is well tested, and accessible documentation is available at https://github.com/odow/SDDP.jl .

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