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.

R package for approximating the value functions in Markov decision processes (under linear state dynamics, convex reward and convex scrap functions) using convex piecewise linear functions.


Reference manual

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1.7 by Jeremy Yee, 2 months ago

Browse source code at

Authors: Jeremy Yee and Juri Hinz

Documentation:   PDF Manual  

GPL license

Imports Rcpp, nabor

Linking to Rcpp, RcppArmadillo

See at CRAN