1. 信息不确定下的主动打断项目组合选择问题鲁棒优化.
- Author
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李星梅, 钟志鸣, 赵秋红, and 袁汝兵
- Abstract
In project portfolio selection problem, the uncertainty of parameters can bring high risk to decision making. Thus, it has a great realistic significance to build an appropriate robust optimization model and provide companies with a robust solution, which is able to handle the uncertainty of the parameters. This paper first analyzes the characteristics of the mathematical model of divisible project portfolio selection problem when parameters are certain. Furthermore, the concept of uncertainty set is introduced. Then we provide decision makers with a method which enables them determine the size of uncertainty set based on their preference. A new robust optimization model based on uncertainty set is then formulated, which enables decision makers make a trade-off between robustness and optimality. A robust solution, which is feasible and optimal even in the worst-case of the determined uncertainty set is provided. Finally, we use GAMS/BARON to conduct a numerical example and highlight the capability and characteristics of the proposed model. From the theoretical perspective, this paper first extends the robust optimization theory to the divisible project portfolio selection problem. In view of the problem that the existing robust optimization theory can only handle the project portfolio selection problem with finite feasible solutions, this paper provides a new robust optimization method, which is able to handle the divisible project portfolio selection problem with infinite feasible solutions. From the practical perspective, with the rapid development of high and new technology industries, the investment of newly-developing projects, such as R&D projects and IT/IS projects, has been attached increasing importance. This kind of projects make it become increasingly urgent to explore the new robust optimization theory for project portfolio selection problem owing to their high uncertainty. Thus, this paper has good practical significance for companies to prevent investment risk. [ABSTRACT FROM AUTHOR]
- Published
- 2017
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