rcss (1.8)

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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.

Maintainer: Jeremy Yee
Author(s): Jeremy Yee and Juri Hinz

License: GPL

Uses: Rcpp

Released 8 months ago.

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