stochasticdp

A simple implementation of backwards induction for solving 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.probability, where dp.probability[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

You only need to define probabilities and contributions for transitions that occur with positive probability.

You can use the following helper functions to populate these dictionaries:

# This sets dp.probability[m, n, t, x] = p and dp.contribution[m, n, t, x] = c
dp.add_transition(stage=t, from_state=n, decision=x, to_state=m, probability=p, contribution=c)

# This sets dp.boundary[n] = v
dp.boundary(state=n, value=v)

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 set of optimizers of value[t, n]