FAST

Version 1.0.0.0 (106 KB) by Léopold Cambier
FAST (Finally An SDDP Toolbox) is an SDDP toolbox for Matlab
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Updated 17 Feb 2018
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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 (2026). FAST (https://github.com/leopoldcambier/FAST), GitHub. Retrieved .

MATLAB Release Compatibility
Created with R2015a
Compatible with any release
Platform Compatibility
Windows macOS Linux
Categories
Find more on Stochastic Differential Equation (SDE) Models in Help Center and MATLAB Answers
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Version Published Release Notes
1.0.0.0

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To view or report issues in this GitHub add-on, visit the GitHub Repository.
To view or report issues in this GitHub add-on, visit the GitHub Repository.