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A small package for solving finite-horizon, finite-space stochastic dynamic programs.

Project description

This package solves finite-horizon, finite-space stochastic dynamic programs.

Installation

stochasticdp is available on PyPI:

pip install stochasticdp

Usage

To initialize a stochastic dynamic program:

dp = StochasticDP(number_of_stages, states, decisions, minimize)

where

  • number_of_stages is an integer
  • states is a list
  • decisions is a list
  • minimize is a boolean

This results in a stochastic dynamic program with stages numbered 0, ..., number_of_stages - 1, and initializes the following dictionaries:

  • dp.transition, where dp.transition[m, n, t, x] is the probability of moving from state n to state m in stage t under decision x
  • dp.contribution, where dp.contribution[m, n, t, x] is the immediate contribution of resulting from moving from state n to state m in stage t under decision x
  • dp.boundary, where dp.boundary[n] is the boundary condition for the value-to-go function at state n

To solve the stochastic dynamic program:

value, policy = dp.solve()

where

  • value is a dictionary: value[t, n] is the value-to-go function at stage t and state n
  • policy is a dictionary: policy[t, n] is the optimizer of value[t, n]

Project details


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