You can use cmd + ; for Mac or Ctrl + Alt + Shift + S for Windows/Linux to pull up the Project Structure dialog. In there, you can set the JDK location as well as the Android SDK location.
To get your JDK location, run /usr/libexec/java_home -v 11 in terminal. Send 1.7 for Java 7, 1.8 for Java 8, or 11 for Java 11.