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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