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.

Version: 1.8
Imports: Rcpp (≥ 0.12.18), nabor (≥ 0.5.0)
LinkingTo: Rcpp, RcppArmadillo
Published: 2019-03-17
Author: Jeremy Yee and Juri Hinz
Maintainer: Jeremy Yee <jeremyyee at outlook.com.au>
License: GPL-2 | GPL-3 [expanded from: GPL]
NeedsCompilation: yes
Materials: README
CRAN checks: rcss results


Reference manual: rcss.pdf
Package source: rcss_1.8.tar.gz
Windows binaries: r-devel: rcss_1.8.zip, r-release: rcss_1.8.zip, r-oldrel: rcss_1.8.zip
OS X binaries: r-release: rcss_1.8.tgz, r-oldrel: rcss_1.8.tgz
Old sources: rcss archive


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