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

AuthorJeremy Yee and Juri Hinz
MaintainerJeremy Yee <jeremyyee@outlook.com.au>
Package repositoryView on CRAN
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rcss documentation built on May 1, 2019, 10:13 p.m.