3 years ago

rcss: Subgradient and duality approach for dynamic programming.

Juri Hinz, Jeremy Yee

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.

Publisher URL: http://arxiv.org/abs/1801.06029

DOI: arXiv:1801.06029v1

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