A Theory of Rolling Horizon Decision Making

摘要: In this paper, we develop a theoretical framework for the common business practice of rolling horizon decision making. The main idea our approach is that usefulness methods is, to great extent, implied by fact forecasting future costly activity. We, therefore, consider general, discrete-time, stochastic dynamic optimization problem in which maker has possibility obtain information on uncertain at given cost. For non-standard with optimal stopping decisions, programming formulation. We treat both finite and infinite cases. also provide careful interpretation equations illustrate results simple numerical example. Various generalizations are shown be captured straightforward modifications model.