Degeneracy in infinite horizon optimization
Ryan, Sarah McAllister; Bean, James C.
1989-01
Citation
Ryan, Sarah M.; Bean, James C.; (1989). "Degeneracy in infinite horizon optimization." Mathematical Programming 43 (1-3): 305-316. <http://hdl.handle.net/2027.42/47919>
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.Publisher
Springer-Verlag; The Mathematical Programming Society, Inc.
ISSN
0025-5610 1436-4646
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