Stochastic Dynamic Programming in Java

We provide an example-driven short introduction to Stochastic Dynamic Programming in Java.

Key Java 8 features: lambda calculus, streams and MapReduce

Applications

Inventory control

Gambler's ruin

public GamblersRuin(double targetWealth, int betHorizon, double[][] pmf) { this.targetWealth = targetWealth; this.betHorizon = betHorizon; this.pmf = pmf; }