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).
Léopold Cambier (2021). FAST (https://github.com/leopoldcambier/FAST), GitHub. Retrieved .
I cannot use the max function. I am still getting the following issue:
Error using max
Invalid data type. The first argument must be numeric or logical.
I am looking for your help! 1) Why the lattice.randomPath() assumes for the first stage that the selected node is node 1. Let me explain it: in my problem, I assume that I have 3 stages and for each stage, I have 3 nodes. My question: Why this function take random nodes for stage 2 and stage 3 while it assumes the selected node for stage 1 is node number 1.
Question 2: If my problem got solved How can I get the solution that would lead to the best objective function with the highest probability?
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