IJPAM: Volume 112, No. 4 (2017)

Title

ONE METHOD TO SOLVE A PROBLEM OF NONLINEAR
TWO-STAGE PERSPECTIVE STOCHASTIC PLANNING

Authors

Marina Volkova
Saint-Petersburg State University
199034, Universitetskaya nab., 7-9
Saint-Petersburg, RUSSIA

Abstract

The two-stage problem of perspective stochastic programming is considered. The sufficient conditions for the existence of the finite solution to the problem and simple sufficient conditions for the uniqueness of the solution are found. The effective direct method of stochastic programming based on step by step calculation of solutions of deterministic nonlinear programs appearing when random variables are fixed is proposed.

History

Received: January 31, 2017
Revised: February 11, 2017
Published: February 19, 2017

AMS Classification, Key Words

AMS Subject Classification: 90C15, 90C30, 49M37
Key Words and Phrases: stochastic programming, iterative method, decision rule, planning, convex

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How to Cite?

DOI: 10.12732/ijpam.v112i4.12 How to cite this paper?

Source: International Journal of Pure and Applied Mathematics
ISSN printed version: 1311-8080
ISSN on-line version: 1314-3395
Year: 2017
Volume: 112
Issue: 4
Pages: 817 - 826


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