This code implements a special version of stochastic dual dynamic programming (SDDP) and is based on (an earlier version of) SDDP.jl from Oscar Dowson.
The special version of SDDP, which we refer to as loglinearSDDP, is tailored to solve multistage stochastic linear problems with log-linear autoregressive uncertainty in the right-hand side. By this we mean that the uncertain data in the right-hand side is stagewise dependent and described by an autoregressive process that is linear in the natural logarithm of its lagged variables.
LogLinearSDDP.jl is licensed under the MPL 2.0 license.
You can find the documentation at https://chrisfuelor.github.io/LogLinearSDDP.jl/.
If you need help, please open a GitHub issue.