rcss: R package for optimal convex stochastic switching

Abstract

The R package rcss provides users with a tool to approximate the value functions in the Bellman recursion under certain assumptions that guarantee desirable convergence properties. This R package represents the first software implementation of these methods using matrices and nearest neighbors. This package also employs a pathwise dynamic method to gauge the quality of these value function approximations. Statistical analysis can be performed on the results to obtain other useful practical insights. This paper describes rcss version 1.6.