StructJuMP with Monte Carlo sampling and benders decomposition

Specific Domains Optimization (Mathematical)
1

Hello Julia community,

Can we implement Monte Carlo sampling within a benders decomposition algorithm for stochastic linear programs in Julia package StructJuMP ?

Thank you !

2

Hello @UserMorocco,

You can solve a StructJuMP model with Monte Carlo sampling using StructDualDynProg. You can find examples here and here. Please let me know if something is not clear or if you need more info :wink:
Note that this kind of problem can also be modeled with StochDynamicProgramming or SDDP.