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A Class of Variance-Constrained Problems

Author

Listed:
  • Moshe Sniedovich

    (National Research Institute for Mathematical Sciences, Pretoria, South Africa)

Abstract

A Lagrange multiplier solution procedure is developed for a class of variance-constrained problems. The method, based on the separation of the variance and an algorithm for determining the optimal value of the mean, relies on the availability of a method of solving a modified problem in which the variance operation is replaced by the generalized variance operator. It is indicated that the procedure can be used in conjunction with dynamic programming to solve a variety of variance-constrained problems which allow the consideration of adaptive strategies. The procedure is demonstrated by a simple numerical example.

Suggested Citation

  • Moshe Sniedovich, 1983. "A Class of Variance-Constrained Problems," Operations Research, INFORMS, vol. 31(2), pages 338-353, April.
    • Handle: RePEc:inm:oropre:v:31:y:1983:i:2:p:338-353
    DOI: 10.1287/opre.31.2.338
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