Fix thread safety of RegularizedForwardPass

[odow]

Closes #791

[codecov]

Codecov Report

All modified and coverable lines are covered by tests ✅

Project coverage is 93.56%. Comparing base (aa0cf1b) to head (e4764ea).
Report is 1 commits behind head on master.

Additional details and impacted files

@@            Coverage Diff             @@
##           master     #806      +/-   ##
==========================================
- Coverage   93.58%   93.56%   -0.02%     
==========================================
  Files          26       26              
  Lines        3521     3528       +7     
==========================================
+ Hits         3295     3301       +6     
- Misses        226      227       +1     

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[odow]

@FSchmidtDIW try with this branch:

] add SDDP#od/thread-safety

[FSchmidtDIW]

@odow Thank you for implementing this!

I guess you also need to get rid of this part of algorithm.jl, right?

SDDP.jl/src/algorithm.jl

Lines 1138 to 1142 in aa0cf1b

	if forward_pass isa AlternativeForwardPass ||
	forward_pass isa RegularizedForwardPass
	# FIXME(odow): Threaded is broken for these forward passes
	parallel_scheme = Serial()
	end

I have added a PR to that effect: #807

Works fine for my problem now!