Release notes

This release contains a number of minor code changes, but it has a large impact on the content that is printed to screen. In particular, we now log periodically, instead of each iteration, and a "good" stopping rule is used as the default if none are specified. Try using SDDP.train(model) to see the difference.

Other

Fixed various typos in the documentation (#617)
Fixed printing test after changes in JuMP (#618)
Set SimulationStoppingRule as the default stopping rule (#619)
Changed the default logging frequency. Pass log_every_seconds = 0.0 to train to revert to the old behavior. (#620)
Added example usage with Distributions.jl (@slwu89) (#622)
Removed the numerical issue @warn (#627)
Improved the quality of docstrings (#630)

v1.5.0 (May 14, 2023)

Added

Added the ability to use a different model for the forward pass. This is a novel feature that lets you train better policies when the model is non-convex or does not have a well-defined dual. See the Alternative forward models tutorial in which we train convex and non-convex formulations of the optimal power flow problem. (#611)

Other

Updated missing changelog entries (#608)
Removed global variables (#610)
Converted the Options struct to keyword arguments. This struct was a private implementation detail, but the change is breaking if you developed an extension to SDDP that touched these internals. (#612)
Fixed some typos (#613)

v1.4.0 (May 8, 2023)

Added

Added SDDP.SimulationStoppingRule (#598)
Added sampling_scheme argument to SDDP.write_to_file (#607)

Fixed

Fixed parsing of some MSPFormat files (#602) (#604)
Fixed printing in header (#605)

v1.3.0 (May 3, 2023)

Added

Added experimental support for SDDP.MSPFormat.read_from_file (#593)

Other

Updated to StochOptFormat v0.3 (#600)

v1.2.1 (May 1, 2023)

Fixed

Fixed log_every_seconds (#597)

v1.2.0 (May 1, 2023)

Added

Added SDDP.SimulatorSamplingScheme (#594)
Added log_every_seconds argument to SDDP.train (#595)

Other

Tweaked how the log is printed (#588)
Updated to StochOptFormat v0.2 (#592)

v1.1.4 (April 10, 2023)

Fixed

Logs are now flushed every iteration (#584)

Other

Added docstrings to various functions (#581)
Minor documentation updates (#580)
Clarified integrality documentation (#582)
Updated the README (#585)
Number of numerical issues is now printed to the log (#586)

v1.1.3 (April 2, 2023)

Other

Fixed typo in Example: deterministic to stochastic tutorial (#578)
Fixed typo in documentation of SDDP.simulate (#577)

v1.1.2 (March 18, 2023)

Other

Added Example: deterministic to stochastic tutorial (#572)

v1.1.1 (March 16, 2023)

Other

Fixed email in Project.toml
Added notebook to documentation tutorials (#571)

v1.1.0 (January 12, 2023)

Added

Added the node_name_parser argument to SDDP.write_cuts_to_file and added the option to skip nodes in SDDP.read_cuts_from_file (#565)

v1.0.0 (January 3, 2023)

Although we're bumping MAJOR version, this is a non-breaking release. Going forward:

New features will bump the MINOR version
Bug fixes, maintenance, and documentation updates will bump the PATCH version
We will support only the Long Term Support (currently v1.6.7) and the latest patch (currently v1.8.4) releases of Julia. Updates to the LTS version will bump the MINOR version
Updates to the compat bounds of package dependencies will bump the PATCH version.

We do not intend any breaking changes to the public API, which would require a new MAJOR release. The public API is everything defined in the documentation. Anything not in the documentation is considered private and may change in any PATCH release.

Added

Added num_nodes argument to SDDP.UnicyclicGraph (#562)
Added support for passing an optimizer to SDDP.Asynchronous (#545)

Other

Updated Plotting tools to use live plots (#563)
Added vale as a linter (#565)
Improved documentation for initializing a parallel scheme (#566)

v0.4.9 (January 3, 2023)

Added

Added SDDP.UnicyclicGraph (#556)

Other

Added tutorial on Markov Decision Processes (#556)
Added two-stage newsvendor tutorial (#557)
Refactored the layout of the documentation (#554) (#555)
Updated copyright to 2023 (#558)
Fixed errors in the documentation (#561)

v0.4.8 (December 19, 2022)

Added

Added terminate_on_cycle option to SDDP.Historical (#549)
Added include_last_node option to SDDP.DefaultForwardPass (#547)

Fixed

Reverted then fixed (#531) because it failed to account for problems with integer variables (#546) (#551)

v0.4.7 (December 17, 2022)

Added

Added initial_node support to InSampleMonteCarlo and OutOfSampleMonteCarlo (#535)

Fixed

Rethrow InterruptException when solver is interrupted (#534)
Fixed numerical recovery when we need dual solutions (#531) (Thanks @bfpc)
Fixed re-using the dashboard = true option between solves (#538)
Fixed bug when no @stageobjective is set (now defaults to 0.0) (#539)
Fixed errors thrown when invalid inputs are provided to add_objective_state (#540)

Other

Drop support for Julia versions prior to 1.6 (#533)
Updated versions of dependencies (#522) (#533)
Switched to HiGHS in the documentation and tests (#533)
Added license headers (#519)
Fixed link in air conditioning example (#521) (Thanks @conema)
Clarified variable naming in deterministic equivalent (#525) (Thanks @lucasprocessi)
Added this change log (#536)
Cuts are now written to model.cuts.json when numerical instability is discovered. This can aid debugging because it allows to you reload the cuts as of the iteration that caused the numerical issue (#537)

v0.4.6 (March 25, 2022)

Other

Updated to JuMP v1.0 (#517)

v0.4.5 (March 9, 2022)

Fixed

Fixed issue with set_silent in a subproblem (#510)

Other

Fixed many typos (#500) (#501) (#506) (#511) (Thanks @bfpc)
Update to JuMP v0.23 (#514)
Added auto-regressive tutorial (#507)

v0.4.4 (December 11, 2021)

Added

Added BanditDuality (#471)
Added benchmark scripts (#475) (#476) (#490)
write_cuts_to_file now saves visited states (#468)

Fixed

Fixed BoundStalling in a deterministic policy (#470) (#474)
Fixed magnitude warning with zero coefficients (#483)

Other

Improvements to LagrangianDuality (#481) (#482) (#487)
Improvements to StrengthenedConicDuality (#486)
Switch to functional form for the tests (#478)
Fixed typos (#472) (Thanks @vfdev-5)
Update to JuMP v0.22 (#498)

v0.4.3 (August 31, 2021)

Added

Added biobjective solver (#462)
Added forward_pass_callback (#466)

Other

Update tutorials and documentation (#459) (#465)
Organize how paper materials are stored (#464)

v0.4.2 (August 24, 2021)

Fixed

Fixed a bug in Lagrangian duality (#457)

v0.4.1 (August 23, 2021)

Other

Minor changes to our implementation of LagrangianDuality (#454) (#455)

v0.4.0 (August 17, 2021)

Breaking

A large refactoring for how we handle stochastic integer programs. This added support for things like SDDP.ContinuousConicDuality and SDDP.LagrangianDuality. It was breaking because we removed the integrality_handler argument to PolicyGraph. (#449) (#453)

Other

Documentation improvements (#447) (#448) (#450)

v0.3.17 (July 6, 2021)

Added

Added SDDP.PSRSamplingScheme (#426)

Other

Display more model attributes (#438)
Documentation improvements (#433) (#437) (#439)

v0.3.16 (June 17, 2021)

Added

Added SDDP.RiskAdjustedForwardPass (#413)
Allow SDDP.Historical to sample sequentially (#420)

Other

Update risk measure docstrings (#418)

v0.3.15 (June 1, 2021)

Added

Added SDDP.StoppingChain

Fixed

Fixed scoping bug in SDDP.@stageobjective (#407)
Fixed a bug when the initial point is infeasible (#411)
Set subproblems to silent by default (#409)

Other

Add JuliaFormatter (#412)
Documentation improvements (#406) (#408)

v0.3.14 (March 30, 2021)

Fixed

Fixed O(N^2) behavior in get_same_children (#393)

v0.3.13 (March 27, 2021)

Fixed

Fixed bug in print.jl
Fixed compat of Reexport (#388)

v0.3.12 (March 22, 2021)

Added

Added problem statistics to header (#385) (#386)

Fixed

Fixed subtypes in visualization (#384)

v0.3.11 (March 22, 2021)

Fixed

Fixed constructor in direct mode (#383)

Other

Fix documentation (#379)

v0.3.10 (February 23, 2021)

Fixed

Fixed seriescolor in publication plot (#376)

v0.3.9 (February 20, 2021)

Added

Add option to simulate with different incoming state (#372)
Added warning for cuts with high dynamic range (#373)

Fixed

Fixed seriesalpha in publication plot (#375)

v0.3.8 (January 19, 2021)

Other

Documentation improvements (#367) (#369) (#370)

v0.3.7 (January 8, 2021)

Other

Documentation improvements (#362) (#363) (#365) (#366)
Bump copyright (#364)

v0.3.6 (December 17, 2020)

Other

Fix typos (#358)
Collapse navigation bar in docs (#359)
Update TagBot.yml (#361)

v0.3.5 (November 18, 2020)

Other

Update citations (#348)
Switch to GitHub actions (#355)

v0.3.4 (August 25, 2020)

Added

Added non-uniform distributionally robust risk measure (#328)
Added numerical recovery functions (#330)
Added experimental StochOptFormat (#332) (#336) (#337) (#341) (#343) (#344)
Added entropic risk measure (#347)

Other

Documentation improvements (#327) (#333) (#339) (#340)

v0.3.3 (June 19, 2020)

Added

Added asynchronous support for price and belief states (#325)
Added ForwardPass plug-in system (#320)

Fixed

Fix check for probabilities in Markovian graph (#322)

v0.3.2 (April 6, 2020)

Added

Added log_frequency argument to SDDP.train (#307)

Other

Improve error message in deterministic equivalent (#312)
Update to RecipesBase 1.0 (#313)

v0.3.1 (February 26, 2020)

Fixed

Fixed filename in integrality_handlers.jl (#304)

v0.3.0 (February 20, 2020)

Breaking

Breaking changes to update to JuMP v0.21 (#300).

v0.2.4 (February 7, 2020)

Added

Added a counter for the number of total subproblem solves (#301)

Other

Update formatter (#298)
Added tests (#299)

v0.2.3 (January 24, 2020)

Added

Added support for convex risk measures (#294)

Fixed

Fixed bug when subproblem is infeasible (#296)
Fixed bug in deterministic equivalent (#297)

Other

Added example from IJOC paper (#293)

v0.2.2 (January 10, 2020)

Fixed

Fixed flakey time limit in tests (#291)

Other

Removed MathOptFormat.jl (#289)
Update copyright (#290)

v0.2.1 (December 19, 2019)

Added

Added support for approximating a Markov lattice (#282) (#285)
Add tools for visualizing the value function (#272) (#286)
Write .mof.json files on error (#284)

Other

Improve documentation (#281) (#283)
Update tests for Julia 1.3 (#287)

v0.2.0 (December 16, 2019)

This version added the asynchronous parallel implementation with a few minor breaking changes in how we iterated internally. It didn't break basic user-facing models, only implementations that implemented some of the extension features. It probably could have been a v1.1 release.

Added

Added asynchronous parallel implementation (#277)
Added roll-out algorithm for cyclic graphs (#279)

Other

Improved error messages in PolicyGraph (#271)
Added JuliaFormatter (#273) (#276)
Fixed compat bounds (#274) (#278)
Added documentation for simulating non-standard graphs (#280)

v0.1.0 (October 17, 2019)

A complete rewrite of SDDP.jl based on the policy graph framework. This was essentially a new package. It has minimal code in common with the previous implementation.

Development started on September 28, 2018 in Kokako.jl, and the code was merged into SDDP.jl on March 14, 2019.

The pull request SDDP.jl#180 lists the 29 issues that the rewrite closed.

v0.0.1 (April 18, 2018)

Initial release. Development had been underway since January 22, 2016 in the StochDualDynamicProgram.jl repository. The last development commit there was April 5, 2017. Work then continued in this repository for a year before the first tagged release.