Sources regarding Integrality

[HenriDeh]

Hello,

In the documentation page on integrality, it is stated that SDDP performs well with integer variables, unlike SDDiP. Since I might use this approach in an article, I will have to provide a source for this claim, do you happen to have one ?

This could be included in the documentation as well.

[odow]

it is stated that SDDP performs well with integer variables

Note the caveat: we might find a suboptimal policy.

do you happen to have one

Here are some:

@article{laraEJOR2018,
title = {Deterministic electric power infrastructure planning: Mixed-integer programming model and nested decomposition algorithm},
journal = {European Journal of Operational Research},
volume = {271},
number = {3},
pages = {1037-1054},
year = {2018},
issn = {0377-2217},
author = {Cristiana L. Lara and Dharik S. Mallapragada and Dimitri J. Papageorgiou and Aranya Venkatesh and Ignacio E. Grossmann}
}

@article{laraSDDiP2020,
    title={Electric power infrastructure planning under uncertainty: stochastic dual dynamic integer programming (SDDiP) and parallelization scheme},
    author={Lara, C.L. and Siirola, J.D. and Grossmann, I.E.},
    journal={Optim Eng},
    volume={21},
    pages={1243–1281},
    year={2020}
}

@article{colonetti2023,
  author={Colonetti, Bruno and Finardi, Erlon and Brito, Samuel and Zavala, Victor},
  journal={IEEE Transactions on Power Systems}, 
  title={Parallel Dual Dynamic Integer Programming for Large-Scale Hydrothermal Unit-Commitment}, 
  year={2023},
  volume={38},
  number={3},
  pages={2926-2938}
}

[HenriDeh]

Amazing thanks a lot.

[odow]

No problem. I'm going to close this issue. I don't think we need to suggest papers to cite in our documentation. (Happy to keep answering questions though.)