A class of stochastic programs withdecision dependent random elements

Tore Jonsbråten, Roger Wets and David Woodruff

Annals of Operations Research, 1998, vol. 82, issue 0, 83-106

Abstract: In the “standard” formulation of a stochastic program with recourse, the distribution ofthe random parameters is independent of the decisions. When this is not the case, the problemis significantly more difficult to solve. This paper identifies a class of problems that are“manageable” and proposes an algorithmic procedure for solving problems of this type. Wegive bounds and algorithms for the case where the distributions and the variables controllinginformation discovery are discrete. Computational experience is reported. Copyright Kluwer Academic Publishers 1998

Date: 1998
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DOI: 10.1023/A:1018943626786

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