I am dealing with a multi-stage mixed-integer stochastic global supply chain optimization problem. In this regard, I want to determine whether the burn-in period (for the random sampling process) is already incorporated in the implementation of SDDP.jl. I want to ask this because I am receiving inc…

SDDP.jl does not have the concept of a burn in time. We measure the cost from the root node using a discounted expected cost. If you want to drop some of the initial periods thats up to you, but I don’t plan to add it as a feature.

For a training iteration or the evaluation simulation (after training), is burn-in period implemented in SDDP.jl?

Specific Domains Optimization (Mathematical)

Engr_Moiz_Ahmad June 6, 2025, 9:35pm 5

Got it, thanks.

Topic		Replies	Views
Finding the minimum of the Bellman operator inside SDDP iterations Optimization (Mathematical)	5	76	April 13, 2025
SDDP simulation command Optimization (Mathematical) question , optimization	5	250	April 8, 2023
Is there a way to extract the number of mixed-integer iterations during a particular iteration or solve in the SDDP.jl? Optimization (Mathematical)	2	81	May 5, 2025
Best way to train and evaluate SDDP with constraints including product of control and states variables? Optimization (Mathematical) question , jump , sddp	1	75	May 10, 2025
Historical data - SDDP.jl Optimization (Mathematical) sddp	6	250	August 6, 2024

For a training iteration or the evaluation simulation (after training), is burn-in period implemented in SDDP.jl?

Related topics