Events
AdONE Seminar: Prof. Giovanni Pantuso (University of Copenhagen)
In this talk we discuss stochastic programs with decision-dependent uncertainty. Unlike classical stochastic programs, here the distribution of the uncertain parameters depends on the decision vector through an arbitrary distribution map. Problems of this type are notoriously challenging. We show that solutions to such problems, within arbitrary precision, can be obtained by means of (sequences of) piecewise-constant approximations constructed on partitions of the feasibility set. In particular, optimal objective values and solutions emerge in the limit as the resolution of the partition is refined. The concept is illustrated through numerical examples.