diff --git a/src/rlai/gpi/monte_carlo/iteration.py b/src/rlai/gpi/monte_carlo/iteration.py
index cc721431..bbc54998 100644
--- a/src/rlai/gpi/monte_carlo/iteration.py
+++ b/src/rlai/gpi/monte_carlo/iteration.py
@@ -142,6 +142,7 @@ def iterate_value_q_pi(
 
             checkpoint_path_with_index = insert_index_into_path(checkpoint_path, i)
             final_checkpoint_path = checkpoint_path_with_index
+            os.makedirs(os.path.dirname(final_checkpoint_path), exist_ok=True)
             with open(checkpoint_path_with_index, 'wb') as checkpoint_file:
                 pickle.dump(resume_args, checkpoint_file)
 
diff --git a/src/rlai/gpi/temporal_difference/iteration.py b/src/rlai/gpi/temporal_difference/iteration.py
index 83ff068f..992f2004 100644
--- a/src/rlai/gpi/temporal_difference/iteration.py
+++ b/src/rlai/gpi/temporal_difference/iteration.py
@@ -178,6 +178,7 @@ def iterate_value_q_pi(
 
             checkpoint_path_with_index = insert_index_into_path(checkpoint_path, i)
             final_checkpoint_path = checkpoint_path_with_index
+            os.makedirs(os.path.dirname(final_checkpoint_path), exist_ok=True)
             with open(checkpoint_path_with_index, 'wb') as checkpoint_file:
                 pickle.dump(resume_args, checkpoint_file)
 
diff --git a/src/rlai/policy_gradient/monte_carlo/reinforce.py b/src/rlai/policy_gradient/monte_carlo/reinforce.py
index 27c2e9cd..57d32c76 100644
--- a/src/rlai/policy_gradient/monte_carlo/reinforce.py
+++ b/src/rlai/policy_gradient/monte_carlo/reinforce.py
@@ -182,6 +182,7 @@ def improve(
 
             checkpoint_path_with_index = insert_index_into_path(checkpoint_path, episodes_finished)
             final_checkpoint_path = checkpoint_path_with_index
+            os.makedirs(os.path.dirname(final_checkpoint_path), exist_ok=True)
             with open(checkpoint_path_with_index, 'wb') as checkpoint_file:
                 pickle.dump(resume_args, checkpoint_file)