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JOURNALS // Izvestiya of Saratov University. Mathematics. Mechanics. Informatics // Archive
Izv. Saratov Univ. Math. Mech. Inform., 2012 Volume 12, Issue 4, Pages 11–14 (Mi isu325)
Mathematics

A direct method of stochastic optimization

V. V. Kolbin, M. V. Svishchikova

Saint-Petersburg State University

Abstract: A direct method is proposed for stochastic programming. On each step the method uses solving of the linear program which is the linear approximation of input stochastic programs.

Key words: stochastic programming, convex, direct methods.

UDC: 519.6

DOI: 10.18500/1816-9791-2012-12-4-11-14



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