Out of Sample Simulation for the infinite horizon problem.
mcwaga opened this issue · comments
Hello SDDP.jl Team,
I'm working with an infinite horizon problem in SDDP.jl and facing a challenge regarding the length of the simulations. In my current setup, each simulation yields scenarios of varying lengths since the transition probabilities do not sum up to 1.
Objective: I aim to ensure that all simulations generated are of a fixed, predefined length.
I would really appreciate any advice or suggestions on strategies or modifications within SDDP.jl that could help achieve uniform-length simulations in this context. Is there a way to adjust the graph and probabilities or use a specific feature of SDDP.jl to maintain a consistent scenario length across simulations?
Thank you for your assistance
Best Regards,
Thanks!