A Note on Duality Theorem for a Nonlinear Programming Problem

S. M. Sinha has formulated a stochastic linear programming problem as a deterministic non linear program, and has shown how to solve this program by solving its dual [1]. Our note extends Sinha's result, by dropping the restriction that the primal constraint set be bounded, and simplifies some of his proofs.

• 저널Management Science · 16(9) · 604–606
• 토픽Risk and Portfolio Optimization · Management Science and Operations Research
• DOI10.1287/mnsc.16.9.604
• 저자Davinder Bhatia