A CLASS OF STOCHASTIC PROGRAMS WITH DECISION DEPENDENT RANDOM ELEMENTS

In the ''standard'' formulation of a stochastic program with recourse, the distribution of the random parameters is independent of the decis ions. When this is not the case, the problem is significantly more dif ficult to solve. This paper identifies;I class of problems that are '' manageable'' and proposes an algorithmic procedure for solving problem s of this type. We give bounds and algorithms for the case where the d istributions and the variables controlling information discovery are d iscrete. Computational experience is reported.