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Is there a possibility of skipping one step of a loop if in this step there appears an error like NIntegrate::eincr? After skipping, the loop should go to the next step and continue evaluation.

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    $\begingroup$ Have you looked at Check and Continue in the documentation? $\endgroup$ – rm -rf Oct 5 '12 at 15:50
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As rm-rf remarks, this can be done with Check and Abort (and Quiet to keep things tidy):

Mathematica graphics

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