FAST

FAST (Finally An SDDP Toolbox) is an SDDP toolbox for Matlab

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).