Dynamic Stochastic Optimization Problems in the Framework of Forecast and Decision Horizons

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 question of existence of forecast/decision horizons. Finally, we provide some results on the existence of forecast/decision horizons in the discounted case and procedures to compute these horizons