The deal with WrapHistorical

[odow]

I think WrapHistorical is just:

• Historical ForwardPass sampling scheme odow/SDDP.jl#414
• Allow Historical to sample sequentially odow/SDDP.jl#420

[adow031]

I think that the reason I kept using WrapHistorical was so that I could create a custom sample_scenario function that would set terminated_due_to_cycle = true.

JADE.jl/src/sddp_modifications.jl

Lines 265 to 291 in b705880

	"""
	SDDP.sample_scenario(
	graph::SDDP.PolicyGraph{T},
	sampling_scheme::WrapHistorical{T,NoiseTerm};
	kwargs...,
	) where {T,NoiseTerm}
	A method to sample a scenario using historical data, that returns `true`
	for `terminated_due_to_cycle`. This is used with a custom forward pass:
	`JADEForwardPass`.
	"""
	function SDDP.sample_scenario(
	graph::SDDP.PolicyGraph{T},
	sampling_scheme::WrapHistorical{T,NoiseTerm};
	# Ignore the other kwargs because the user is giving
	# us the full scenario.
	kwargs...,
	) where {T,NoiseTerm}
	if sampling_scheme.sequential
	sampling_scheme.counter += 1
	if sampling_scheme.counter > length(sampling_scheme.scenarios)
	sampling_scheme.counter = 1
	end
	return sampling_scheme.scenarios[sampling_scheme.counter].term, true
	end
	return SDDP.sample_noise(sampling_scheme.scenarios), true
	end

[odow]

We could add that as an option. Or at the very least, simplify this implementation.

[odow]

Closed by #27