Central Path Cutting Plane

[FSchmidtDIW]

Hi Oscar,

I was wondering if anyone has implemented the Central Path Cutting Plane algorithm based on Chebyshev centres by Beltran et al. for SDDP.jl. I was going to have a go at a new ForwardPass but wanted to make sure that it is not implemented anywhere yet.

Thanks a lot

Felix

[odow]

I have not implemented it. All code for SDDP.jl is contained in this repo.

[odow]

Hi @FSchmidtDIW, how'd you get on?

Here's a place that might be useful to start

SDDP.jl/src/plugins/forward_passes.jl

Lines 323 to 372 in 3b2570b

	mutable struct RegularizedForwardPass{T<:AbstractForwardPass} <:
	AbstractForwardPass
	forward_pass::T
	trial_centre::Dict{Symbol,Float64}
	ρ::Float64
	function RegularizedForwardPass(;
	rho::Float64 = 0.05,
	forward_pass::AbstractForwardPass = DefaultForwardPass(),
	)
	centre = Dict{Symbol,Float64}()
	return new{typeof(forward_pass)}(forward_pass, centre, rho)
	end
	end
	function forward_pass(
	model::PolicyGraph,
	options::Options,
	fp::RegularizedForwardPass,
	)
	if length(model.root_children) != 1
	error(
	"RegularizedForwardPass cannot be applied because first-stage is " *
	"not deterministic",
	)
	end
	node = model[model.root_children[1].term]
	if length(node.noise_terms) > 1
	error(
	"RegularizedForwardPass cannot be applied because first-stage is " *
	"not deterministic",
	)
	end
	old_bounds = Dict{Symbol,Tuple{Float64,Float64}}()
	for (k, v) in node.states
	if has_lower_bound(v.out) && has_upper_bound(v.out)
	old_bounds[k] = (l, u) = (lower_bound(v.out), upper_bound(v.out))
	x = get(fp.trial_centre, k, model.initial_root_state[k])
	set_lower_bound(v.out, max(l, x - fp.ρ * (u - l)))
	set_upper_bound(v.out, min(u, x + fp.ρ * (u - l)))
	end
	end
	pass = forward_pass(model, options, fp.forward_pass)
	for (k, (l, u)) in old_bounds
	fp.trial_centre[k] = pass.sampled_states[1][k]
	set_lower_bound(node.states[k].out, l)
	set_upper_bound(node.states[k].out, u)
	end
	return pass
	end