Inequalities for Stochastic Nonlinear Programming Problems

O. L. Mangasarian and J. B. Rosen
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O. L. Mangasarian: Shell Development Company, Emeryville, California
J. B. Rosen: Shell Development Company, Emeryville, California

Operations Research, 1964, vol. 12, issue 1, 143-154

Abstract: Many actual situations can be represented in a realistic manner by the two-stage stochastic nonlinear programming problem Min x E min y [(phi)( x ) + (psi)( y )] subject to g ( x ) + h ( y ) ≧ b , where b is a random vector with a known distribution, and E denotes expectation taken with respect to the distribution of b . Madansky has obtained upper and lower bounds on the optimum solution to this two-stage problem for the completely linear case. In the present paper these results are extended, under appropriate convexity, concavity, and continuity conditions, to the two-stage nonlinear problem. In many cases of practical interest the calculation of these bounds will require only slightly more effort than two solutions of a deterministic problem of the same size, that is, a problem with a known constant value for the vector b . A small nonlinear numerical example illustrates the calculation of these bounds. For this example the bounds closely bracket the optimum solution to the two-stage problem.

Date: 1964
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