Cyclic policy graph with fix number of cycles - SDDP.jl

Specific Domains Optimization (Mathematical)
,
1

Hi everyone,

Can we design a cyclic linear policy graph in SDDP.jl with a fixed number of cycles? Let’s assume there are 4 nodes, where node 4 transitions to node 1 with a probability of 1. However, this cycle should repeat only for a fixed number of times, for example, 2 cycles, and then it terminates.
P.S: I know we can model infinite horizon, but here I want something like finite cyclic modeling.

Thank you!

2

See API Reference · SDDP.jl

You can do something like:

SDDP.train(
    model,
    sampling_scheme = SDDP.InSampleMonteCarlo(;
        max_depth = 8,
        terminate_on_dummy_leaf = true,
    ),
)

But note that this is not the same as a finite graph with 8 nodes.

1 Like