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.

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install.packages("rcss")

1.8 by Jeremy Yee, 2 months ago


Browse source code at https://github.com/cran/rcss


Authors: Jeremy Yee and Juri Hinz


Documentation:   PDF Manual  


GPL license


Imports Rcpp, nabor

Linking to Rcpp, RcppArmadillo


See at CRAN