Concepts of Forecast and Decision Horizons: Applications to Dynamic Stochastic Optimization Problems

In this paper, we develop a rigorous new framework for the concepts of forecast and decision horizons. These concepts are conditional in nature and, in turn, enable us to unify the existing concepts of “strong” and “weak” horizons. Moreover, we are able to precisely state the questions of existence of forecast/decision horizons. Finally, we are able to further develop the theory of existence of forecast/decision horizons in the discounted case and procedures to compute these horizons.