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rcss: Convex Switching Systems
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.
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Package details |
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| Author | Jeremy Yee and Juri Hinz |
| Maintainer | Jeremy Yee <jeremyyee@outlook.com.au> |
| License | GPL |
| Version | 1.8 |
| Package repository | View on CRAN |
| Installation |
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