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rcss

swMATH ID: 26844
Software Authors: Jeremy Yee; Juri Hinz
Description: R package 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.
Homepage: https://cran.r-project.org/web/packages/rcss/index.html
Dependencies: R
Related Software: R
Referenced in: 3 Publications

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