main.jl

################################################################################
# CERMICS, ENPC
# SDDP dual
# main code
################################################################################

using Random
Random.seed!(1111)

include("src/dualSDDP.jl")

# params
SAVE   = false
# 1: Primal SDDP   2: Dual SDDP    3: Mix primal / dual
# 4: computing Philpott's upper bound
ALGO = 4

# define a production transport problem MPTS
mpts = MPTS([:FRA, :GER, :ESP, :UK, :PT, :ITA, :SUI, :BEL], 36, 10)
#= mpts = MPTS([:FRA, :GER], 12, 10) =#

# Init SDDP interface
sddpprimal = initprimal(mpts)

if ALGO == 1
    ubp, stdp = runprimal!(sddpprimal)
elseif ALGO == 2
    sddpdual = initdual(mpts, sddpprimal)
    lbdual, timedual = rundual!(sddpdual, sddpprimal)
elseif ALGO == 3
    sddpdual = initdual(mpts, sddpprimal)
    lbdual, timedual, ubp, stdp = runjoint!(sddpprimal, sddpdual, maxiterations=100)
    # recalibrate dual time
    timedual -= sddpprimal.stats.exectime
elseif ALGO == 4
    ubp, stdp, trajs = runprimal!(sddpprimal, maxiterations=100)
    ubphilpott = []
    for n in [50, 100, 200, 300, 400, 500, 600, 700, 800, 900, 1000]
        println(n)
        ub_p =  solvedp!(sddpprimal.spmodel, trajs[1:n])[1,1]
        println(ub_p)
        push!(ubphilpott , ub_p )
    end
end