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README.md

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**Latest release:** 0.1.2
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[![Build Status](https://travis-ci.org/leclere/StochDynamicProgramming.jl.svg?branch=master)](https://travis-ci.org/leclere/StochDynamicProgramming.jl)
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[![codecov.io](https://codecov.io/github/leclere/StochDynamicProgramming.jl/coverage.svg?branch=master)](https://codecov.io/github/leclere/StochDynamicProgramming.jl?branch=master)
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[![Build Status](https://travis-ci.org/leclere/StochDynamicProgramming.jl.svg?branch=master)](https://travis-ci.org/JuliaOpt/StochDynamicProgramming.jl)
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[![codecov.io](https://codecov.io/github/leclere/StochDynamicProgramming.jl/coverage.svg?branch=master)](https://codecov.io/github/JuliaOpt/StochDynamicProgramming.jl?branch=master)
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This is a Julia package for optimizing controlled stochastic dynamic system (in discrete time). It offers three methods of resolution :
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- Extensive formulation
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- *Extensive formulation*.
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- *Stochastic Dynamic Programming*.
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- *Stochastic Dual Dynamic Programming* (SDDP) algorithm.
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- Linear dynamics
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- Linear or convex piecewise linear cost
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Extension to non-linear formulation are under development.
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Extension to non-linear formulation are under development.
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Extension to more complex alea dependance are under developpment.
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## Why Extensive formulation ?
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An extensive formulation approach consists in representing the problem in a linear
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problem solved by an external linear solver. Complexity is exponential in number of stages.
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An extensive formulation approach consists in representing the stochastic problem as a deterministic
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one with more variable and call a standard deterministic solver. Mainly usable in a linear
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setting. Computational complexity is exponential in the number of stages.
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## Why Stochastic Dynamic Programming ?
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## Installation
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Installing StochDynamicProgramming is an easy process. Open Julia and enter
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```julia
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julia> Pkg.add("https://github.com/leclere/StochDynamicProgramming.jl.git")
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julia> Pkg.update()
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julia> Pkg.add("StochDynamicProgramming")
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```
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## Usage
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IJulia Notebooks will be provided to explain how this package work.

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