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: | Ryan Sarah M., Bean James C. |
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.