| 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.