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.

AuthorJuri Hinz and Jeremy Yee
Date of publication2017-01-30 21:20:58
MaintainerJeremy Yee <jeremyyee@outlook.com.au>
LicenseGPL
Version1.2
URL https://github.com/YeeJeremy/rcss
Package repositoryView on CRAN
InstallationInstall the latest version of this package by entering the following in R:
install.packages("rcss")

Getting started

README.md

Popular man pages

Bellman: Bellman Recursion
BellmanAccelerated: Bellman Recursion Accelerated With K Nearest Neighbours
ExpectedAccelerated: Expected Value Function Using K Nearest Neighbours
FastExpected: Fast Expected Value Function
Martingale: Martingale Increments
PathPolicy: Prescribed Policy
TestPolicy: Backtesting Prescribed policy
See all...

All man pages Function index File listing

Man pages

Bellman: Bellman Recursion
BellmanAccelerated: Bellman Recursion Accelerated With K Nearest Neighbours
Duality: Primal And Dual Values
Expected: Expected Value Function
ExpectedAccelerated: Expected Value Function Using K Nearest Neighbours
FastBellman: Fast Bellman Recursion
FastExpected: Fast Expected Value Function
FastMartingale: Fast Martingale
FastMartingale2: Fast Approximate Martingales - Experimental
GetBounds: Confidence Bounds
Martingale: Martingale Increments
Path: Path Simulation
PathPolicy: Prescribed Policy
StochasticGrid: Stochastic grid
TestPolicy: Backtesting Prescribed policy
TestPolicy2: Backtesting Prescribed policy

Functions

Bellman Man page Source code
BellmanAccelerated Man page Source code
Duality Man page Source code
Expected Man page Source code
ExpectedAccelerated Man page Source code
FastBellman Man page Source code
FastExpected Man page Source code
FastMartingale Man page Source code
FastMartingale2 Man page Source code
GetBounds Man page Source code
Martingale Man page Source code
Path Man page Source code
PathPolicy Man page Source code
StochasticGrid Man page Source code
TestPolicy Man page Source code
TestPolicy2 Man page Source code

Files

inst
inst/doc
inst/doc/Practical_User_Guide.pdf.asis
inst/doc/Practical_User_Guide.pdf
inst/include
inst/include/accelerated.h
inst/include/slow.h
inst/include/fast.h
inst/include/bellman.h
src
src/Makevars
src/path.cpp
src/stochastic_grid.cpp
src/fast.cpp
src/accelerated.cpp
src/test_policy.cpp
src/bellman_optimal.cpp
src/fast_martingale2.cpp
src/fast_expected.cpp
src/expected.cpp
src/duality.cpp
src/fast_bellman.cpp
src/path_policy.cpp
src/expected_accelerated.cpp
src/bellman_optimal2.cpp
src/fast_martingale.cpp
src/bellman_accelerated.cpp
src/martingale.cpp
src/Makevars.win
src/slow.cpp
src/bellman.cpp
NAMESPACE
R
R/TestPolicy2.R
R/FastMartingale2.R
R/Martingale.R
R/StochasticGrid.R
R/Bellman.R
R/FastBellman.R
R/Expected.R
R/FastExpected.R
R/FastMartingale.R
R/PathPolicy.R
R/BellmanAccelerated.R
R/GetBounds.R
R/Path.R
R/ExpectedAccelerated.R
R/Duality.R
R/TestPolicy.R
vignettes
vignettes/Practical_User_Guide.pdf.asis
README.md
MD5
build
build/vignette.rds
DESCRIPTION
man
man/Path.Rd
man/FastBellman.Rd
man/TestPolicy2.Rd
man/ExpectedAccelerated.Rd
man/Expected.Rd
man/GetBounds.Rd
man/TestPolicy.Rd
man/StochasticGrid.Rd
man/BellmanAccelerated.Rd
man/Bellman.Rd
man/FastMartingale.Rd
man/Martingale.Rd
man/Duality.Rd
man/FastMartingale2.Rd
man/PathPolicy.Rd
man/FastExpected.Rd
rcss documentation built on May 19, 2017, 9:58 a.m.

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