rcss: Convex Switching Systems
Version 1.2

The numerical treatment of optimal switching problems in a finite time setting when the state evolves as a controlled Markov chain consisting of a uncontrolled continuous component following linear dynamics and a controlled Markov chain taking values in a finite set. The reward functions are assumed to be convex and Lipschitz continuous in the continuous state. The action set is finite.

Getting started

Package details

AuthorJuri Hinz and Jeremy Yee
Date of publication2017-01-30 21:20:58
MaintainerJeremy Yee <jeremyyee@outlook.com.au>
URL https://github.com/YeeJeremy/rcss
Package repositoryView on CRAN
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rcss documentation built on May 29, 2017, 12:08 p.m.