Conditions for the existence of decision horizons for discounted problems in a stochastic environment: A note |
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| Authors: | Suresh Sethi Sita Bhaskaran |
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| Affiliation: | Faculty of Management Studies, University of Toronto, Canada;Graduate School of Business, University of Pittsburgh, USA |
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| Abstract: | In this note, we extend the sufficiency conditions obtained by Bean and Smith for the existence of decision and forecast horizons in discounted deterministic problems to a stochastic environment. Also developed are some examples for illustration of the results and the need for the development of necessary and sufficient conditions for undiscounted problems. |
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| Keywords: | horizons discounting stochastic optimization |
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