Hi Marc,
this list speaks English please.
For all others: Marc wants to implement the algorithm of
Langstaff/Schwartz via dynamic programming. He asks whether this could be
done in R and whether there are good examples for existing dynamic
programming functions in R.
First, this fortune holds:
R> fortune("Yoda")
Evelyn Hall: I would like to know how (if) I can extract some of the
information from the summary of my nlme.
Simon Blomberg: This is R. There is no if. Only how.
-- Evelyn Hall and Simon 'Yoda' Blomberg
R-help (April 2005)
So, yes, you can do dynamic programming. There are also examples for this,
for example the breakpoints() function (or rather its "formula" method).
However, the function is very specific to the problem of breakpoint
estimation and probably not suitable as a role model for general dynamic
programming.
hth,
Z
On Fri, 30 Apr 2010, Marc Hanfeld wrote:
Guten Tag,
ich bin ein Neuanwender von R und m?chte im Rahmen meiner Forschung den
Algorithmus von Longstaff/Schwartz in R umsetzen. Hierf?r m?chte ich in
Erfahrung bringen, ob in R das Prinzip der dynamischen Programmierung
umsetzbar ist und ob es daf?r vielleicht schon ?hnliche Programme gibt, auf
denen ich aufbauen k?nnte.
F?r eine R?ckantwort w?re ich sehr dankbar.
Freundliche Gr??e,
Marc
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