SQVAM: A variance minimizing algorithm 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.
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References in zbMATH (referenced in 6 articles , 1 standard article )
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