I am trying to figure out how one could write a rolling horizon algorithm in PYOMO to speed up the solution of a model that I am building. My understanding of the Rolling Horizon Algorithm is that you simply want to update your model each time period with the values from the previous period, but I have also read that there needs to be some type of overlap in the model runs.

I do not have any code to share at the moment because using the Rolling Horizon Approach was meant to be something of a last resort for my model. Even a basic script just to illustrate how the algorithm would work would probably be a huge help.


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