SQVAM: A variance minimizing algorithm

SQVAM: A variance minimizing algorithm

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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:
Abstract:

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.

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