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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.
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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