odow / SDDP.jl

Stochastic Dual Dynamic Programming in Julia

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Probability of Noise depending on Control Variable

ThutF opened this issue · comments

Hello,

Is there a way to have the probability of the random variable/noise be dependent on the control variable.

Right now, in the parameterize function the parameter for probability::Vector{Float64} is enforced to be Floats. Is there a work around for that?

Hello,

Hi there!

Is there a way to have the probability of the random variable/noise be dependent on the control variable.

No. The random variable must be independent. There is no work-around. You must reformulate your model.

Cool. Thanks a lot for the quick reply.

No problem. Feel free to open more issues if you have any other questions.