信息不确定下项目组合选择问题的鲁棒优化

Robust Optimization of Project Portfolio Selection under Information Uncertainty

对于信息不确定情况下的项目组合选择问题,在综合考虑资源约束与项目交互作用的基础上,建立了一般性的项目组合选择整数规划模型,之后进一步引入信息不确定性,并用情境集来刻画不确定参数,建立了求解信息不确定条件下的项目组合选择问题鲁棒优化模型。通过算例,对项目组合选择鲁棒优化模型进行了求解,说明所提出的鲁棒优化模型给出的鲁棒解可以较好地平衡解的可行性与最优性,从而帮助决策者根据风险偏好进行较优的项目组合选择。

In view of the project portfolio selection problem under information uncertainty, a general integer programming model is developed which simultaneously takes into account resource constraints and project interactions. Information uncertainty is then included into the model. Using scenario set to describe the uncertainty parameters, a robust model for project portfolio selection under information uncertainty is proposed. A numeric case is employed to demonstrate the application of the proposed model. It is shown that the proposed model helps to trade-off between the robust solution＇s feasibility and optimality. Hence, a project decision-maker could adopt this model to make portfolio selection decision according to his own risk preference.