The root directory for the project is the folder OS

There are 4 run files corresponding to the four experiments in the paper.

1) OS/pipelines/bc_training.py runs the Bermudan max-call option experiment

2) OS/pipelines/ac_mc_training.py runs the American geometric-call option experiment

3) OS/pipelines/fbm_training.py runs the fractional Brownian motion experiment

4) OS/pipelines/ec_training.py runs the stopping sequential multi-class classifier experiment

To use DNN-FQI and DNN-OSPG set use_DNN:True in corresponding config dictionaries in the run files
To use RNN-FQI and RNN-OSPG set use_DNN:False in corresponding config dictionaries in the run files


Additional libraries/packages used:
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numpy 1.18.3
pandas 1.0.3
tensorflow 2.1.0
scikit-learn 0.22.1
tslearn 0.5.3.2
fbm package by Christopher Flynn (from https://github.com/crflynn/fbm) 
