A Class of Variance-Constrained Problems

DOI10.1287/OPRE.31.2.338MaRDI QIDQ4745616zbMATH OpenOpenAlexFDO

Authors Moshe Sniedovich

Publication date 1983

Published in Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/opre.31.2.338

zbMATH Keywords

adaptive strategiesgeneralized variance operatorLagrange multiplier solution procedurevariance-constrained problems

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Dynamic programming (90C39) Stochastic programming (90C15)

Cited in

(4)

• Multi-objective discounted Markov decision processes with expectation and variance criteria
• Nonnormal deterministic equivalents and a transformation in stochastic mathematical programming
• Mean, variance and probabilistic criteria in finite Markov decision processes: A review
• Solution strategies for variance minimization problems

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