Add sample_backward_noise_terms_with_state

[arthur-brigatto]

Closes #735.

[andrewrosemberg]

A simple test would be great to see if it works!

[odow]

You can add a new test as a function just after this one:

SDDP.jl/test/plugins/backward_sampling_schemes.jl

Lines 66 to 90 in 8ed2e30

	function test_MonteCarloSampler_100()
	model = SDDP.LinearPolicyGraph(
	stages = 1,
	lower_bound = 0.0,
	direct_mode = false,
	) do node, stage
	@variable(node, 0 <= x <= 1)
	SDDP.parameterize(node, [1, 3], [0.9, 0.1]) do ω
	return JuMP.set_upper_bound(x, ω)
	end
	end
	terms =
	SDDP.sample_backward_noise_terms(SDDP.MonteCarloSampler(100), model[1])
	term_count = 0
	for term in terms
	@test term.probability == 0.01
	if term.term == model[1].noise_terms[1].term
	term_count += 1
	else
	term_count -= 1
	end
	end
	@test term_count > 20
	return
	end

[odow]

Okay, so:

I want two methods:

1. the existing sample_backward_noise_terms
2. a new sample_backward_noise_terms_with_state

as well as a fallback

function sample_backward_noise_terms_with_state(
    sampler::AbstractBackwardSamplingScheme,
    node::Node,
    state::Dict{Symbol,Float64},
)
    return sample_backward_noise_terms(sampler, node)
end

The reason for this is to maintain backwards compatibility: we want all existing code to continue to work, but we want the ability for new code to use sample_backward_noise_terms_with_state instead.

[arthur-brigatto]

Alright, I had the wrong idea. I will correct it.

[arthur-brigatto]

You can add a new test as a function just after this one:

SDDP.jl/test/plugins/backward_sampling_schemes.jl

Lines 66 to 90 in 8ed2e30

	function test_MonteCarloSampler_100()
	model = SDDP.LinearPolicyGraph(
	stages = 1,
	lower_bound = 0.0,
	direct_mode = false,
	) do node, stage
	@variable(node, 0 <= x <= 1)
	SDDP.parameterize(node, [1, 3], [0.9, 0.1]) do ω
	return JuMP.set_upper_bound(x, ω)
	end
	end
	terms =
	SDDP.sample_backward_noise_terms(SDDP.MonteCarloSampler(100), model[1])
	term_count = 0
	for term in terms
	@test term.probability == 0.01
	if term.term == model[1].noise_terms[1].term
	term_count += 1
	else
	term_count -= 1
	end
	end
	@test term_count > 20
	return
	end

Working on it!

[codecov]

Codecov Report

All modified and coverable lines are covered by tests ✅

Project coverage is 93.44%. Comparing base (8ed2e30) to head (dff9395).

Additional details and impacted files

@@            Coverage Diff             @@
##           master     #742      +/-   ##
==========================================
+ Coverage   93.40%   93.44%   +0.03%     
==========================================
  Files          27       27              
  Lines        3414     3416       +2     
==========================================
+ Hits         3189     3192       +3     
+ Misses        225      224       -1     

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[arthur-brigatto]

@odow I have added a test function. The idea is: Firstly a sequence of 0.1 or 0.9 values for $\epsilon$ is sampled in the forward step. Then, the backward sampler sets $\epsilon = 0.9$ if 0.1 was sampled in the forward step or it sets $\epsilon = 0.1$ if 0.9 was sampled in the forward step.

Let me know if that works!