What part do you interpret as an error?
You can create a single Gurobi environment to re-use between subproblems GitHub - jump-dev/Gurobi.jl: A Julia interface to the Gurobi Optimizer
using SDDP, Gurobi
GRB_ENV = Gurobi.Env()
SDDP.LinearPolicyGraph(;
optimizer = () -> Gurobi.Optimizer(GRB_ENV)
) do sp, t
return
end