A Class of Variance-Constrained Problems

Moshe Sniedovich
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Moshe Sniedovich: National Research Institute for Mathematical Sciences, Pretoria, South Africa

Operations Research, 1983, vol. 31, issue 2, 338-353

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.

Keywords: 111; variance; constrained; dynamic; programming; problems (search for similar items in EconPapers)
Date: 1983
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Persistent link: https://EconPapers.repec.org/RePEc:inm:oropre:v:31:y:1983:i:2:p:338-353

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