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 decisions. When this is not the case, the problem is 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. We give bounds and algorithms for the case where the distributions and the variables controlling information discovery are discrete. Computational experience is reported.