StructJuMP with Monte Carlo sampling and benders decomposition

UserMorocco · August 14, 2017, 1:44pm

Hello Julia community,

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

Thank you !

blegat · August 15, 2017, 11:39am

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
Note that this kind of problem can also be modeled with StochDynamicProgramming or SDDP.

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StructJuMP with Monte Carlo sampling and benders decomposition

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