A theory of rolling horizon decision making (Q809976)
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scientific article; zbMATH DE number 4211954
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| English | A theory of rolling horizon decision making |
scientific article; zbMATH DE number 4211954 |
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A theory of rolling horizon decision making (English)
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1991
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A discrete time, stochastic optimization problem is considered where the decision maker can obtain information on the uncertain future at a given cost. A dynamic programming approach is used to solve both finite and infinite horizon problems. An elementary numerical example is given for the method.
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stochastic optimization problem
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dynamic programming approach
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horizon problems
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numerical example
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0.8212444186210632
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0.8045571446418762
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0.7874397039413452
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0.787196934223175
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