(1) Department of Industrial Engineering, University of Pittsburgh, 15261 Pittsburgh, PA, USA;(2) Department of Industrial and Operations Engineering, University of Michigan, 48109 Ann Arbor, MI, USA
Abstract:
We 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. We show that multiple optimal initial decisions can exist in general and refer to their existence as degeneracy. We then present a conceptual cost perturbation algorithm for resolving degeneracy and identifying a forecast horizon. We also present a general near-optimal forecast horizon.This material is based on work supported by the National Science Foundation under Grants ECS-8409682 and ECS-8700836.