rcss: Subgradient and duality approach for dynamic programming
Mathematical Software
2018-01-19 v1
Abstract
This short paper gives an introduction to the \emph{rcss} package. The R package \emph{rcss} provides users with a tool to approximate the value functions in the Bellman recursion using convex piecewise linear functions formed using operations on tangents. A pathwise method is then used to gauge the quality of the numerical results.
Keywords
Cite
@article{arxiv.1801.06029,
title = {rcss: Subgradient and duality approach for dynamic programming},
author = {Juri Hinz and Jeremy Yee},
journal= {arXiv preprint arXiv:1801.06029},
year = {2018}
}
Comments
13 pages