Concepts of Forecast and Decision Horizons: Applications to Dynamic Stochastic Optimization Problems
Mathematics of Operations Research, Vol. 13, No. 2, pp. 295-310, 1988
16 Pages Posted: 28 Feb 2008 Last revised: 7 Nov 2015
Date Written: December 15, 1986
Abstract
Focuses on a study which developed a framework for forecast and decision horizons. Definition of finite and infinite horizon stochastic optimization problems for a given forecast; Description of the general framework; Conditions for the existence of a solution horizon; Development of sufficient conditions for the existence of a finite forecast horizon.
Keywords: Forecast horizons, decision Horizons, planning horizons, dynamic stochastic optimization, solution horizon
JEL Classification: C61, M11
Suggested Citation: Suggested Citation
Bes, Christian and Sethi, Suresh, Concepts of Forecast and Decision Horizons: Applications to Dynamic Stochastic Optimization Problems (December 15, 1986). Mathematics of Operations Research, Vol. 13, No. 2, pp. 295-310, 1988, Available at SSRN: https://ssrn.com/abstract=1097466
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