Implementing a Model with a Rolling Horizon AIMMS Language Reference

rolling horizon approach

Mathematical optimization problems including a time dimension abound. For example, logistics, process optimization and production planning tasks must often be optimized for a range of time periods. Usually, these problems incorporating time structure are very large and cannot be solved to global optimality by modern solvers within a reasonable period of time. This approach aims to solve the problem periodically, including additional information from proximately following periods.

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In this paper, we develop a theoretical framework for the common business practice of rolling horizon decision making. The main idea of our approach is that the usefulness of rolling horizon methods is, to a great extent, implied by the fact that forecasting the future is a costly activity. For this non-standard optimization problem with optimal stopping decisions, we develop a dynamic programming formulation. We also provide a careful interpretation of the dynamic programming equations and illustrate our results by a simple numerical example. Various generalizations are shown to be captured by straightforward modifications of our model.

We further demonstrate the applicability of the method to a variety of challenging optimization problems.
In this section you will find two strategies for implementing a rollinghorizon.
The algorithm to implement the rolling horizon can be outlined asfollows.
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Usually, these problems incorporating time structure are very large and cannot be solved to global optimality by modern solvers within a reasonable period of time.
It is then sufficient to make the horizon sufficiently large so as tocover the whole time range of interest.

A theory of rolling horizon decision making

As a result, the rolling horizon decomposition methodology is adjusted to enable large scale optimization problems to be solved efficiently.
This strategy, however, requires that aggregation anddisaggregation steps be performed between every two subsequent SOLVEstatements.
The term rolling horizon is used to indicate that a time-dependentmodel is solved repeatedly, and in which the planning interval is movedforward in time during each solution step.
It requires just a single aggregation step and a singledisaggregation step.
This section outlines the steps that are required toimplement a model with a rolling horizon, without going into detailregarding the contents of the underlying model.
Various generalizations are shown to be captured by straightforward modifications of our model.

The algorithm to implement the rolling horizon can be outlined asfollows. It is then sufficient to make the horizon sufficiently large so as tocover the whole time range of interest. Sorry, a shareable link is not currently available for this article.

A data-driven approach for a class of stochastic dynamic optimization problems

One is a simple strategy that will only work with certainrestrictions. It requires just a single aggregation step and a singledisaggregation step. This strategy, however, requires that aggregation anddisaggregation steps be performed between every two subsequent SOLVEstatements.

The Operating Room Scheduling Problem Based on Patient Priority

In both cases, the horizon-based solution obtained from a previous solvewill not be accurate when rolling horizon approach you move the planning interval. Thus, youshould follow a generic strategy which adds an additional disaggregationand aggregation step to every iteration. In this section you will find two strategies for implementing a rollinghorizon.