MDPSolver (mdpsolver) is a Python package for large Markov Decision Processes (MDPs) with infinite horizons. This wiki includes details about the documentation of MDPSolver and other information, such as performance tests.

• Fast solver: Our C++-based solver is substantially faster than other MDP packages available for Python, depending on the problem size and parameters. See the Performance tests section in this wiki.
• Available on PyPI.
• Two optimality criteria: Discounted and Average reward.
• Three optimization algorithms: Value iteration, Policy iteration, and Modified policy iteration.
• Three value-update methods: Standard, Gauss–Seidel, and Successive over-relaxation.
• Uses span norm or supremum norm stopping criterion depending on the selected update method.
• Supports sparse matrices and parallel computing.
• Operating systems: Linux and Windows.

Install directly from PyPI with:

pip install mdpsolver

MDPSolver works out of the box on Linux.

Requires Visual Studio 2022 (17.9) with MSVC C++ compiler and libraries installed (see below).

After installing Visual Studio (incl. MSVC C++ compiler and libraries), install directly from PyPI with:

pip install mdpsolver