rcss: R package for optimal convex stochastic switching

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.

Juri Hinz , Jeremy Yee

Supplementary materials

Supplementary materials are available in addition to this article. It can be downloaded at RJ-2018-054.zip

CRAN packages used

rcss, Rcpp, OpenMp

CRAN Task Views implied by cited packages

HighPerformanceComputing, NumericalMathematics


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For attribution, please cite this work as

Hinz & Yee, "The R Journal: rcss: R package for optimal convex stochastic switching", The R Journal, 2018

BibTeX citation

  author = {Hinz, Juri and Yee, Jeremy},
  title = {The R Journal: rcss: R package for optimal convex stochastic switching},
  journal = {The R Journal},
  year = {2018},
  note = {https://doi.org/10.32614/RJ-2018-054},
  doi = {10.32614/RJ-2018-054},
  volume = {10},
  issue = {2},
  issn = {2073-4859},
  pages = {38-54}