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Start InSampleMonteCarlo at a given node #532

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odow opened this issue Dec 14, 2022 · 0 comments · Fixed by #535
Closed

Start InSampleMonteCarlo at a given node #532

odow opened this issue Dec 14, 2022 · 0 comments · Fixed by #535
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Project: JADE

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@odow
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odow commented Dec 14, 2022

JADE's InSampleMonteCarlo2 allows the sample to start from an arbitrary node. This shouldn't be too hard to add to SDDP.jl.

https://github.com/EPOC-NZ/JADE.jl/blob/b705880bfb472cb433c385b95d23f782404ded07/src/sddp_modifications.jl#L401-L409
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Add support for initial_node in InSampleMonteCarlo and OutOfSampleMonteCarlo odow/SDDP.jl
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@odow