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Infinite Horizon Problems

  1. Archis Ghate

Published Online: 14 JAN 2011

DOI: 10.1002/9780470400531.eorms0403

Wiley Encyclopedia of Operations Research and Management Science

Wiley Encyclopedia of Operations Research and Management Science

How to Cite

Ghate, A. 2011. Infinite Horizon Problems. Wiley Encyclopedia of Operations Research and Management Science. .

Author Information

  1. University of Washington, Seattle

Publication History

  1. Published Online: 14 JAN 2011

Abstract

The systems under consideration in (discrete-time) sequential decision problems in operations research and the management sciences often do not have a predetermined time of extinction. Incorporating an arbitrary finite horizon can therefore introduce end-of-study distortions in early decisions. Such problems are therefore typically modeled over an unbounded horizon. A majority of the work in this area focuses on stationary models, which assume that the problem data do not change over time. There is also a considerable body of research on nonstationary problems. We briefly review some of the key concepts in nonstationary infinite horizon sequential decision making problems.

Keywords:

  • stationary infinite horizon;
  • nonstationary infinite horizon;
  • forecast horizon;
  • policy monotonicity;
  • closed-form formulas