[UPD] update stock-example

Author: Vincent Leclere

examples/stock-example.jl

@@ -14,7 +14,7 @@ push!(LOAD_PATH, "../src")
 using StochDynamicProgramming, JuMP, Clp, Distributions
 println("library loaded")
 
-run_sddp = false
+run_sddp = true
 run_sdp = true
 
 ######## Optimization parameters  ########
@@ -82,14 +82,13 @@ if run_sdp
 end
 
 ######### Comparing the solution
-scenarios = StochDynamicProgramming.simulate_scenarios(xi_laws,2)
+scenarios = StochDynamicProgramming.simulate_scenarios(xi_laws,1000)
 if run_sddp
-    costs, stocks = forward_simulations(spmodel, paramSDDP, V, pbs, scenarios)
+    costsddp, stocks = forward_simulations(spmodel, paramSDDP, V, pbs, scenarios)
 end
 if run_sdp
-    costs, states, stocks =sdp_forward_simulation(spmodel,paramSDP,scenarios,Vs)
+    costsdp, states, stocks =sdp_forward_simulation(spmodel,paramSDP,scenarios,Vs)
+end
+if run_sddp && run_sdp
+    println(mean(costsddp-costsdp))
 end
-println(costs)
-
-
-

src/SDPoptimize.jl

@@ -463,7 +463,7 @@ Simulation of optimal trajectories given model and Bellman functions
 
 Parameters:
 - model (SPmodel)
-    the DPSPmodel of our problem
+    the SPmodel of our problem
 
 - param (SDPparameters)
     the parameters for the SDP algorithm
@@ -501,13 +501,16 @@ function sdp_forward_simulation(model::SPModel,
     nb_scenarios = size(scenarios)[2] 
 
     costs = zeros(nb_scenarios)
-    controls = zeros(TF,nb_scenarios)
-    states = zeros(TF-1,nb_scenarios)
+    states = zeros(TF,nb_scenarios)
+    controls = zeros(TF-1,nb_scenarios)
+    
 
     for k = 1:nb_scenarios
-        costs[k],states[:,k], controls[:,k]= sdp_forward_simulation(SDPmodel,
+        #println(k)
+        costs[k],states[:,k], controls[:,k] = sdp_forward_single_simulation(SDPmodel,
                   param,scenarios[:,k],model.initialState,value,display)
     end
+
     return costs, controls, states
 end
 
@@ -546,7 +549,7 @@ Returns :
     the controls applied to the system at each time step
 
 """
-function sdp_forward_simulation(model::StochDynProgModel,
+function sdp_forward_single_simulation(model::StochDynProgModel,
                   param::SDPparameters,
                   scenario::Array,
                   X0::Array,