FAST (Finally An SDDP Toolbox) is an easy-to-use Stochastic Dynamic Dual Programming (SDDP) toolbox for Matlab. It helps you model and solve your problem easily and quickly! The goal of SDDP is solving large-scale stochastic problems, with an algorithm based on the idea of Cutting plane method.
Three typical applications of FAST,
I partially contributed to this toolbox, by the implementation of few algorithms. The Joint Spectral Radius of a set of matrices characterizes the maximal asymptotic rate of growth of a product of matrices taken in this set, when the length of the product increases. It is known to be very hard to compute. In recent years, many different methods have been proposed to approximate it.
These methods have different advantages, depending on the application considered, the type of matrices considered, the desired accuracy or running time, etc. The goal of this toolbox is to provide the practioner with the best available methods, and propose an easy tool for the researcher to compare the different methods.