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Questions tagged [variance]

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16 votes
1 answer

Convexity of Variance Minimization

$X$ is a discrete random variable taking value $x_n$ with probability $1/N$ for $n=1, \ldots,N$. I would like to set the $x_n$ values in an optimization problem. My objective is to minimize the ...
independentvariable's user avatar
11 votes
1 answer

Why is the sample variance of a Sample Average Approximation calculated in this way?

I am going through the great tutorial on Stochastic Programming by Shapiro and Philpott. When talking about Monte Carlo techniques, I get confused by the way they calculate the sample variance (page ...
k88074's user avatar
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5 votes
1 answer

Use of variance in job ordering

For a job-shop-like problem I have some constraints of this form: $$ c_i \geq s_i + d_{iom} z_{iom} $$ $z_{iom}$ is a binary enabler, $d_{iom}$ is the delay on job $i$ for operation $o$ done by ...
Brannon's user avatar
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0 votes
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Calculating Variance in Waiting Time for a Queueing Network

I'm working on a queueing network model that incorporates blocking and features two states. After defining the global balance equations, I solved them for my parameters arrival rates (λ), service ...
RookieScientist's user avatar