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rolling horizon optimization

Post by bigakrim » 2 weeks ago

I want to implement a rolling horizon optimization in gams.
In the considered system, updated forecasted data over a prediction horizon are provided periodically and input to the model to update the decisions.
So, I consider at each rolling horizon iteration, a submodel optimization problem to solve over the prediction horizon with the current forecasted data. Then, the results from the submodel optimization will be stored into a file which will be used for the next iteration and updated for the coming iterations.
At this stage, I don't know how to code this method in gams.
Can someone help me?

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Re: rolling horizon optimization

Post by Renger » 2 weeks ago

You could do this with a loop (see for example this post).
Enjoy modeling even more: Read my blog on modeling at The lazy economist

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