Dual SDDP

This repository stores the original code implementing the dual SDDP method.

To run the code from the command line:

julia main.jl

Installation instructions

Code works with Julia 0.6 and Gurobi v7.0.2.

The code runs with the following packages:

• StochDynamicProgramming cd57a17 (branch fp/refact)
• JuMP v0.18.1
• Gurobi v0.4.0
• Clustering v0.8.0