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.

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

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