Degeneracy in infinite horizon optimization

Degeneracy in infinite horizon optimization

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Article ID: iaor19881206
Country: Netherlands
Volume: 43
Issue: 3
Start Page Number: 305
End Page Number: 316
Publication Date: Apr 1989
Journal: Mathematical Programming (Series A)
Authors: ,
Abstract:

The authors consider sequential decision problems over an infinite horizon. The forecast or solution horizon approach to solving such problems requires that the optimal initial decision be unique. They show that multiple optimal initial decisions can exist in general and refer to their existence as degeneracy. The authors then present a conceptual cost perturbation algorithm for resolving degeneracy and identifying a forecast horizon. They also present a general near-optimal forecast horizon.

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