Multithreading parallelism

[odow]

The asynchronous solver currently uses multiprocessing. This causes a lot of excess RAM usage because we need N copies of the full problem.

If we introduced a lock to every subproblem, then we could have the asynchronous threads operating in parallel over a single PolicyGraph. We'd just need to be careful to always obtain a lock whenever we modified data inside a node. And potentially avoid some of the plugins that have state, like PSRSamplingScheme.

I don't have plans to implement this, just noting so that I can come back to this in future.

[odow]

This will be easier to test and benchmark on some of the upcoming MSPFormat problems, in which SDDP.jl performs poorly compared with QUASAR. (A Markovian graph with 22,000+ nodes.)

[odow]

One blocker is

SDDP.jl/src/plugins/duality_handlers.jl

Lines 64 to 80 in e631d22

	function prepare_backward_pass(
	model::PolicyGraph,
	duality_handler::AbstractDualityHandler,
	options::Options,
	)
	undo = Function[]
	for (_, node) in model.nodes
	push!(undo, prepare_backward_pass(node, duality_handler, options))
	end
	function undo_relax()
	for f in undo
	f()
	end
	return
	end
	return undo_relax
	end

. We'd need to change this so that we did it node-by-node, instead of all in one go.

[odow]

I have something in #758 that seems to work well.