Degeneracy in infinite horizon optimization (Q1123819): Difference between revisions

The paper considers a deterministic sequential decision problem and studies the possibility of replacing the true infinite horizon by an approximating finite so-called forecast horizon when computing the optimal first decision. A sufficient condition is the uniqueness of the latter. For the so-called degenerate case where uniqueness does not hold firstly a perturbation of the cost is proposed to obtain uniqueness and secondly a condition for a so-called \(\epsilon\)-forecast horizon is given leading to \(\epsilon\)-optimal decisions.