FAST: the quickstart problem

This tutorial was generated using Literate.jl. Download the source as a .jl file. Download the source as a .ipynb file.

An implementation of the QuickStart example from FAST

using SDDP, HiGHS, Test

function fast_quickstart()
    model = SDDP.PolicyGraph(
        SDDP.LinearGraph(2),
        lower_bound = -5,
        optimizer = HiGHS.Optimizer,
    ) do sp, t
        @variable(sp, x >= 0, SDDP.State, initial_value = 0.0)
        if t == 1
            @stageobjective(sp, x.out)
        else
            @variable(sp, s >= 0)
            @constraint(sp, s <= x.in)
            SDDP.parameterize(sp, [2, 3]) do ω
                return JuMP.set_upper_bound(s, ω)
            end
            @stageobjective(sp, -2s)
        end
    end

    det = SDDP.deterministic_equivalent(model, HiGHS.Optimizer)
    set_silent(det)
    JuMP.optimize!(det)
    @test JuMP.objective_value(det) == -2

    SDDP.train(model; log_every_iteration = true)
    @test SDDP.calculate_bound(model) == -2
end

fast_quickstart()

Test Passed