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.
|Author||Juri Hinz and Jeremy Yee|
|Date of publication||2017-01-30 21:20:58|
|Maintainer||Jeremy Yee <email@example.com>|
|Package repository||View on CRAN|
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