File Exchange

image thumbnail

FAST

version 1.0.0.0 (106 KB) by Léopold Cambier
FAST (Finally An SDDP Toolbox) is an SDDP toolbox for Matlab

4 Downloads

Updated 17 Feb 2018

From GitHub

View license on GitHub

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).

Cite As

Léopold Cambier (2021). FAST (https://github.com/leopoldcambier/FAST), GitHub. Retrieved .

Comments and Ratings (3)

Hussein Sharadga

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.

Hussein Sharadga

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?

Md Alamgir Hossain

MATLAB Release Compatibility
Created with R2015a
Compatible with any release
Platform Compatibility
Windows macOS Linux

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

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