[FIX] move computation of upperbound in solve_SDDP

Author: frapac

examples/damsvalley.jl

@@ -84,7 +84,7 @@ end
 const FORWARD_PASS = 10.
 const EPSILON = .05
 # Maximum number of iterations
-const MAX_ITER = 50
+const MAX_ITER = 10
 ##################################################
 
 """Build probability distribution at each timestep.
@@ -121,11 +121,17 @@ function init_problem()
     params = SDDPparameters(solver,
                             passnumber=FORWARD_PASS,
                             gap=EPSILON,
-                            max_iterations=MAX_ITER)
+                            pruning_algo="exact",
+                            max_iterations=20,
+                            prune_cuts=10)
     return model, params
 end
 
 # Solve the problem:
 model, params = init_problem()
-V, pbs = solve_SDDP(model, params, 1)
+V, pbs = @time solve_SDDP(model, params, 1)
+aleas = simulate_scenarios(model.noises, 100)
+c, x, u = forward_simulations(model, params, pbs, aleas);
 
+xx = reshape(x[5, :, :], 100, 5)
+v = V[5]

src/SDDPoptimize.jl

@@ -135,32 +135,27 @@ function run_SDDP!(model::SPModel,
         callsolver_backward = backward_pass!(model, param, V, problems, stockTrajectories, model.noises)
 
         ####################
-        # cut pruning
-        prune_cuts!(model, param, V, stockTrajectories, territory, stats.niterations, verbose)
-        ####################
-        # Cut pruning
-        #= prune_cuts!(model, param, V, stockTrajectories, territory, iteration_count, verbose) =#
-        #= if (param.pruning[:period] > 0) && (iteration_count%param.pruning[:period]==0) =#
-        #=     problems = hotstart_SDDP(model, param, V) =#
-        #= end =#
-
+        # Update stats
+        lwb = get_bellman_value(model, param, 1, V[1], model.initialState)
+        updateSDDPStat!(stats, callsolver_forward+callsolver_backward, lwb, upb, toq())
+        print_current_stats(stats,verbose)
 
+        ####################
+        # cut pruning
+        (param.pruning[:pruning]) && prune_cuts!(model, param, V, stockTrajectories, territory, stats.niterations, verbose)
+        if param.pruning[:pruning] && (stats.niterations%param.pruning[:period]==0)
+            problems = hotstart_SDDP(model, param, V)
+        end
 
         ####################
         # In iteration upper bound estimation
         upb = in_iteration_upb_estimation(model, param, stats.niterations, verbose,
                                           upperbound_scenarios, upb, problems)
 
-        ####################
-        # Update stats
-        lwb = get_bellman_value(model, param, 1, V[1], model.initialState)
-        updateSDDPStat!(stats, callsolver_forward+callsolver_backward, lwb, upb, toq())
 
-        print_current_stats(stats,verbose)
         ####################
         # Stopping test
         stopping_test = test_stopping_criterion(param,stats)
-        stats.niterations += 1
     end
 
     ##########

src/objects.jl

@@ -278,6 +278,7 @@ Update the SDDPStat object with the results of current iterations.
 """
 function updateSDDPStat!(stats::SDDPStat,callsolver_at_it::Int64,lwb::Float64,upb::Float64,time)
     stats.ncallsolver += callsolver_at_it
+    stats.niterations += 1
     push!(stats.lower_bounds, lwb)
     push!(stats.upper_bounds, upb)
     push!(stats.exectime, time)