SDDP.jl: A Julia Package for Stochastic Dual Dynamic Programming
INFORMS Journal on Computing · 2021 · Volume 33 · Issue 1
Abstract
We present SDDP.jl , an open-source library for solving multistage stochastic programming problems using the stochastic dual dynamic programming algorithm. SDDP.jl is built on JuMP, an algebraic modeling language in Julia. JuMP provides SDDP.jl with a solver-agnostic, user-friendly interface. In addition, we leverage unique features of Julia, such as multiple dispatch, to provide an extensible framework for practitioners to build on our work. SDDP.jl is well tested, and accessible documentation is available at https://github.com/odow/SDDP.jl .
Keywords
Julia, JuMP, stochastic dual dynamic programming
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