Computational psychiatry is a rapidly growing field attempting to translate advances in computational neuroscience and machine learning into improved outcomes for patients suffering from mental illness. It encompasses both data-driven and theory-driven efforts. Here, recent advances in theory-driven work are reviewed. We argue that the brain is a computational organ. As such, an understanding of the illnesses arising from it will require a computational framework. The review divides work up into three theoretical approaches that have deep mathematical connections: dynamical systems, Bayesian inference and reinforcement learning. We discuss both general and specific challenges for the field, and suggest ways forward.