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StoDynProg

StoDynProg is a Python tool to help solving stochastic optimal control problems, also called dynamic optimization.

It implements some algorithms of Dynamic Programming to solve such problems (Value Iteration, Policy Iteration algorithms) and most importantly provides an API to describe the optimization problem. (see doc/ for more details and examples)

Source code

Source code is available at https://github.com/pierre-haessig/stodynprog

The source tree contains interpolation code from the dolo project by Pablo Winant (https://github.com/albop/dolo).

Usage

First a few Cython files must be compiled. For testing, it's easier to build them "inplace":

$ make inplace

Then, the path to the code repositery can be added to the $PYTHONPATH variable. For examples, the following lines can be added to the ~/.bashrc file (for Linux users).

# Add stodynprog to the PYTHONPATH
export PYTHONPATH='/path/to/stodynprog/git-repositery':$PYTHONPATH

other option is to manipulate the $PYTHONPATH by creating a path configuration file that python loads always at start up:

# find the configuration directory
SITEDIR=$(python -m site --user-site)

# create if it doesn't exist
mkdir -p $SITEDIR

# create new .pth file with our path
echo "/path/to/stodynprog/git-repositery" > $SITEDIR/stodynprog.pth

To see if the code is properly running, run the tests (requires nose):

$ make test

About

StoDynProg is a tool to help solving (stochastic) optimal control problems, also called dynamic optimization.

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