SQVAM: A variance minimizing algorithm

Authors:
Yahya Fathi
Affiliations:
Department of IE and Graduate Program in OR, North Carolina State University, Raleigh, NC 27695-7906, USA
Venue:
Operations Research Letters
Year:
1991

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Abstract

We present an algorithm for minimizing the variance of a nonlinear function of several random variables. Mean values of these random variables are the decision variables, and we allow the variance of each random variable to be a function of its mean value. Potential applications of this algorithm are discussed, and a numerical example is presented.