A Duality Theorem for Nonlinear Programming

S. M. Sinha
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S. M. Sinha: University of Delhi, India

Management Science, 1966, vol. 12, issue 5, 385-390

Abstract: One reasonable formulation of stochastic linear programming problem leads to a deterministic nonlinear programming problem where the non-linearity occurs in the objective function as the sum of square roots of positive semi-definite quadratic forms. It may, however, be difficult to solve this problem directly because of the nondifferentiability of the terms in the objective function. The present paper establishes a dual to the nonlinear programming problem of which a solution may be easily obtained. A solution of the dual then helps to obtain a solution of the original problem.

Date: 1966
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