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A class of stochastic programs withdecision dependent random elements

Author

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  • Tore Jonsbråten
  • Roger Wets
  • David Woodruff

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

Suggested Citation

  • Tore Jonsbråten & Roger Wets & David Woodruff, 1998. "A class of stochastic programs withdecision dependent random elements," Annals of Operations Research, Springer, vol. 82(0), pages 83-106, August.
    • Handle: RePEc:spr:annopr:v:82:y:1998:i:0:p:83-106:10.1023/a:1018943626786
    DOI: 10.1023/A:1018943626786
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