rcss: Subgradient and duality approach for dynamic programming

01/18/2018

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by   Juri Hinz, et al.

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This short paper gives an introduction to the rcss package. The R package 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.