we learn a lot about finite and infinite horizon control in dynamic programming. but I was wondering if we want to minimize the cost per time(discrete time) is there any work to find the optimum size of the horizon. Specially in the case of stochastic control with stochastic demand where we sample from the demand distribution to build the controller?

  • $\begingroup$ I would appreciate your help on articulating the question. please dont downvote. $\endgroup$ – Amir Jun 8 '15 at 20:02

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