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A class of stochastic programs withdecision dependent random elements

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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.

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Authors
  1. Tore W. Jonsbråten
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  2. Roger J-B Wets
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  3. David L. Woodruff
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Jonsbråten, T.W., Wets, R.JB. & Woodruff, D.L. A class of stochastic programs withdecision dependent random elements. Annals of Operations Research 82, 83–106 (1998). https://doi.org/10.1023/A:1018943626786

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