OpenDP is an Open Source library written by Olivier Teytaud, Sylvain Gelly and Jérémie Mary.

It is devoted to stochastic dynamic programming (approximate control in discrete time). It also includes a preliminar implementation of RTDP.

Main other features are (1) many non-linear optimization tools (2) many learning tools (3) various quasi-monte-carlo sequences (4) multiples tools.

All details, sources, etc are available through the official page on Source Forge.