Article ID: | iaor19921543 |
Country: | Netherlands |
Volume: | 10 |
Issue: | 8 |
Start Page Number: | 461 |
End Page Number: | 466 |
Publication Date: | Nov 1991 |
Journal: | Operations Research Letters |
Authors: | Fathi Yahya |
The paper presents 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 the variance of each random variable is allowed to be a function of its mean value. Potential applications of this algorithm are discussed, and a numerical example is presented.