Abstract
In some dynamic problems it is possible to show that the optimal decisions during an initial positive time interval are either partially or wholly independent of the data from some future time onwards. In such cases, a forecast of the future data needs to be made only as far as that time to make optimal decisions in the initial time interval. The initial time interval is called the planning horizon and the time up to which data is required to make the optimal decisions during the planning horizon is called the forecast horizon. Whenever they exist, these horizons naturally decompose the problem into a series of smaller problems.
This report was prepared as part of the activities of the Management Sciences Research Group, Carnegie-Mellon University, under Contract N00014-75-C-0621 NR 047-048 with the U.S. Office of Naval Research, and Grant A4619 from the Natural Sciences and Engineering Research Council of Canada. Reproduction in whole or in part is permitted for any purpose of the U.S. Government.
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Sethi, S.P., Thompson, G.L. (1982). Planning and Forecast Horizons in a Simple Wheat Trading Model. In: Feichtinger, G., Kall, P. (eds) Operations Research in Progress. Theory and Decision Library, vol 32. Springer, Dordrecht. https://doi.org/10.1007/978-94-009-7901-7_16
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DOI: https://doi.org/10.1007/978-94-009-7901-7_16
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