Dynamic Stochastic Optimization Problems in the Framework of Forecast and Decision Horizons
Proceedings of Optimization Days Conference, Montreal, Quebec, April 30-May 2, 1986, Advances in Optimization and Control, H.A. Eiselt and G. Pederzoli (Eds.) Lecture Notes in Economics and Mathematical Systems, 302, Springer-Verlag, 1988, 230-246
Posted: 17 Jun 2020
Date Written: 1986
Abstract
In this paper, we develop a rigorous new framework for the concepts of forecast and decision horizons. These concepts are conditional in nature and, in turn, enable us to unify the existing concepts of “strong” and “weak” horizons. Moreover, we are able to precisely state the question of existence of forecast/decision horizons. Finally, we provide some results on the existence of forecast/decision horizons in the discounted case and procedures to compute these horizons.
Keywords: Forecast and decision horizons, strong and weak horizons
JEL Classification: C61, M11, M20
Suggested Citation: Suggested Citation