A note on the differentiability in two-stage stochastic nonlinear programming problems. (English) Zbl 0654.90062

Ka\unková, Vlasta

Kybernetika 24, No. 3, 207-215 (1988).

The differentiability of the objective function in two-stage stochastic nonlinear programming problems is investigated. Sufficient conditions are presented which assure that the form of the gradient can be derived from the supergradient in the corresponding (deterministic) parametric optimization problem.

Reviewer: J.Pinter

MSC:

90C15

Stochastic programming

Keywords:

differentiability; two-stage stochastic nonlinear programming; supergradient; parametric optimization

References:

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