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Finite horizon approximations of infinite horizon linear programs

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Abstract

This paper describes the class of infinite horizon linear programs that have finite optimal values. A sequence of finite horizon (T period) problems is shown to approximate the infinite horizon problems in the following sense: the optimal values of theT period problems converge monotonically to the optimal value of the infinite problem and the limit of any convergent subsequence of initialT period optimal decisions is an optimal decision for the infinite horizon problem.

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Authors and Affiliations

  1. University of California, Berkeley, CA, USA

    Richard C. Grinold

  2. CORE, Louvain, Belgium

    Richard C. Grinold

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  1. Richard C. Grinold
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Grinold, R.C. Finite horizon approximations of infinite horizon linear programs. Mathematical Programming 12, 1–17 (1977). https://doi.org/10.1007/BF01593765

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  • DOI: https://doi.org/10.1007/BF01593765

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