[FIX] Fix bugs in cuts concatenation

Problem occured when final cost was quadratic

Author: frapac

src/SDDPoptimize.jl

@@ -318,6 +318,8 @@ function initialize_value_functions(model::SPModel,
         V[end] = model.finalCost
         build_terminal_cost!(model, solverProblems[end], V[end])
     elseif isa(model.finalCost, Function)
+        # In this case, define a trivial value functions for final cost to avoid problem:
+        V[end] = PolyhedralFunction(zeros(1), zeros(1, model.dimStates), 1)
         model.finalCost(model, solverProblems[end])
     end
 

src/utils.jl

@@ -90,7 +90,9 @@ end
 function catcutsarray(polyfunarray::Vector{StochDynamicProgramming.PolyhedralFunction}...)
     assert(length(polyfunarray) > 0)
     ntimes = length(polyfunarray[1])
-    return StochDynamicProgramming.PolyhedralFunction[catcuts([V[t] for V in polyfunarray]...) for t in 1:ntimes]
+    # Concatenate cuts in polyfunarray, and discard final time as we do not add cuts at final time:
+    concatcuts = StochDynamicProgramming.PolyhedralFunction[catcuts([V[t] for V in polyfunarray]...) for t in 1:ntimes-1]
+    return vcat(concatcuts, polyfunarray[1][end])
 end