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One Problem of Nonlinear Stochastic Programming

M. V. Svishchikova


The two-stage problem of stochastic programming is considered. Sufficient conditions of bounded solution existence is determined for the problem. Numerical algorithm for solving the problem based on step-by-step calculation of deterministic programs generated by fixing random variables is proposed. This process is more simple for calculations than the classical direct method based on finding the generalized gradient and its projection on the admissible set.


stochastic programming, direct methods, nonlinear programming.

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