Solving nonstationary infinite horizon stochastic production planning problems

Forecast horizons are de ned as long enough planning horizons that ensure agreement of rst period optimal production decisions of nite and in nite horizon problems regardless of changes in future demand. In this paper, we prove forecast horizon existence and provide computational procedures for production planning problems that satisfy the following monotonicity property: for any xed nite planning horizon, there exist rst period optimal solutions that are monotone with respect to monotone changes in stochastic demand. c © 2000 Elsevier Science B.V. All rights reserved.