swMATH ID: 2108
Software Authors: Fathi, Yahya
Description: 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.
Homepage: http://www.ise.ncsu.edu/people/faculty/fathi.php
Programming Languages: None
Operating Systems: None
Dependencies: None
Keywords: successive approximation; successive quadratic variance approximation method; nonlinear function of several random variables
Related Software: GLIM; GQTPAR; Excel; LINDO
Cited in: 7 Publications

Standard Articles

1 Publication describing the Software, including 1 Publication in zbMATH Year
SQVAM: A variance minimizing algorithm. Zbl 0739.90061
Fathi, Yahya

Citations by Year