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I am running a fairly complex and dynamic(multi-period) model, and as a result of the complexity, solvers are not able to solve the problem in a reasonable time frame. I have since discovered the rolling-horizon method which could help to alleviate the time that it takes to get to a solution. My supervisor has advised me to not use a rolling-horizon method specifically because the model is dynamic, and after a brief conversation about the rolling-horizon optimization approach, I left more confused.

I am hoping that somebody might be able to explain why the rolling-horizon algorithm is not suitable for a dynamic model so that I can try and get a different perspective on why the approach is not good to use in the case of dynamic systems.

GrayLiterature
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  • Is your supervisor using "dynamic" to mean something other than "multiperiod"? – prubin Apr 28 '20 at 17:20
  • By "dynamic", I just mean to say multi-period. – GrayLiterature Apr 28 '20 at 17:35
  • What I understand to be the rolling-horizon approach is by definition intended for multiperiod models, so I have to assume your supervisor had some other reason for recommending you not use it. – prubin Apr 29 '20 at 19:44

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