FAST

版本 1.0.0.0 (106.5 KB) 作者: Léopold Cambier
FAST (Finally An SDDP Toolbox) is an SDDP toolbox for Matlab
444.0 次下载
更新时间 2018/2/17

FAST is a Matlab toolbox designed to solve Multi-stage Stochastic Linear Programs; i.e. sequence of nested linear program where the right-hand side can be time dependent (more here http://baemerick.be/fast/tuto.php).
The toolbox can accommodate almost any kind of random scenarios, up to a time-dependent Markov chain.
FAST uses the SDDP algorithm to tackle the curse of dimensionally by using Monte-Carlo simulations; solving the linear subproblems is done internally using either linprog (from the optimization toolbox) or one of the following commercial solver: Gurobi, Mosek of Cplex.
More information on the Github repository (https://github.com/leopoldcambier/FAST) and the website (https://web.stanford.edu/~lcambier/fast/).
Content is distributed under the open-source license GNU GPL v3 (see https://github.com/leopoldcambier/FAST/blob/master/LICENSE).

引用格式

Léopold Cambier (2024). FAST (https://github.com/leopoldcambier/FAST), GitHub. 检索来源 .

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demo

examples/hydro thermal

examples/hydro thermal AR

examples/optimize stock

examples/production management 2 stages

examples/production management multiple markovian stages

examples/production management multiple stages

src

src/auxprobs

src/modeling

src/modeling/example

src/modeling/tests

src/modeling/utils/forwardMapping

src/modeling/utils/mergeCells

src/modeling/utils/plusScalarFast

src/subroutine/convergence

src/subroutine/fullpath

src/subroutine/fullpath/example

src/subroutine/sddpaux

src/subroutine/solvers

src/subroutine/utils

tests

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