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.

AuthorJuri Hinz and Jeremy Yee
Date of publication2017-01-30 21:20:58
MaintainerJeremy Yee <jeremyyee@outlook.com.au>
LicenseGPL
Version1.2
https://github.com/YeeJeremy/rcss

View on CRAN

Files

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

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