Merge pull request #57 from leclere/sdp_speedup

[UPD] Add control iterators speedup to sdp_optimize + adapt benchmark…

Author: leclere

examples/benchmark.jl

@@ -306,8 +306,7 @@ function benchmark_sdp()
 
     x0 = [20., 22.]
 
-    modelSDP = StochDynProgModel(N_STAGES-1, N_CONTROLS,
-                        N_STATES, N_NOISES,
+    modelSDP = StochDynProgModel(N_STAGES-1,
                         x_bounds, u_bounds,
                         x0, cost_t,
                         finalCostFunction, dynamic,
@@ -319,8 +318,8 @@ function benchmark_sdp()
 
     paramsSDP = StochDynamicProgramming.SDPparameters(modelSDP, stateSteps,
                                                      controlSteps,
-                                                     monteCarloSize,
-                                                     infoStruct);
+                                                     infoStruct,
+                                                     "Exact");
 
 	print("Problem size (T*X*U*W): ")
 	println(paramsSDP.totalStateSpaceSize*paramsSDP.totalControlSpaceSize)

examples/stock-example.jl

@@ -42,7 +42,7 @@ const S0 = 0.5
 proba = 1/N_XI*ones(N_XI) # uniform probabilities
 xi_support = collect(linspace(XI_MIN,XI_MAX,N_XI))
 xi_law = NoiseLaw(xi_support, proba)
-xi_laws = NoiseLaw[xi_law for t in 1:N_STAGES-1] 
+xi_laws = NoiseLaw[xi_law for t in 1:N_STAGES-1]
 
 # Define dynamic of the stock:
 function dynamic(t, x, u, xi)
@@ -59,7 +59,7 @@ end
     u_bounds = [(CONTROL_MIN, CONTROL_MAX)]
     spmodel = LinearDynamicLinearCostSPmodel(N_STAGES,u_bounds,[S0],cost_t,dynamic,xi_laws)
     set_state_bounds(spmodel, s_bounds)
-    
+
 
 ######### Solving the problem via SDDP
 if run_sddp

src/SDPoptimize.jl

@@ -237,6 +237,8 @@ function sdp_solve_DH(model::StochDynProgModel,
     #Compute cartesian product spaces
     product_states, product_controls = generate_grid(model, param)
 
+    product_controls = collect(product_controls)
+
     V = zeros(Float64, param.stateVariablesSizes..., TF)
 
     #Compute final value functions
@@ -359,6 +361,8 @@ function sdp_solve_HD(model::StochDynProgModel,
     #Compute cartesian product spaces
     product_states, product_controls = generate_grid(model, param)
 
+    product_controls = collect(product_controls)
+
     V = zeros(Float64, param.stateVariablesSizes..., TF)
 
     #Compute final value functions