Hello everybody.
I have to solve a problem similar to an economicd dispatch or unit commitment and I have seen that a good alternative is the Stochastic Dual Dynamic Programming and I was thinking about using SDDP.jl.
However my objective to maximize is a quatratic objective, of the style (x-Param)^2 and the rest of constraints are linear
My doubt is if SDDP.jl guarantees convergence for this kind of problems.
I think the problem is convex, but I am not sure.
Thank you very much and best regards