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A variable neighborhood search simheuristic for project portfolio selection under uncertainty

A variable neighborhood search simheuristic for project portfolio selection under uncertainty
A variable neighborhood search simheuristic for project portfolio selection under uncertainty
With limited financial resources, decision-makers in firms and governments face the task of selecting the best portfolio of projects to invest in. As the pool of project proposals increases and more realistic constraints are considered, the problem becomes NP-hard. Thus, metaheuristics have been employed for solving large instances of the project portfolio selection problem (PPSP). However, most of the existing works do not account for uncertainty. This paper contributes to close this gap by analyzing a stochastic version of the PPSP: the goal is to maximize the expected net present value of the inversion, while considering random cash flows and discount rates in future periods, as well as a rich set of constraints including the maximum risk allowed. To solve this stochastic PPSP, a simulation-optimization algorithm is introduced. Our approach integrates a variable neighborhood search metaheuristic with Monte Carlo simulation. A series of computational experiments contribute to validate our approach and illustrate how the solutions vary as the level of uncertainty increases.
Project portfolio selectiom, Stochastic optimization, Net present value, Variable neighborhood search, Simheuristics
1381-1231
1-23
Panadero, Javier
2dca23fd-f7e1-491a-a9c0-a72f901c76e1
Doering, Jana
c8b6e354-b54f-415b-8873-805cb1b7e8ea
Kizys, Renatas
9d3a6c5f-075a-44f9-a1de-32315b821978
Juan, Angel A.
727ca41c-da96-40ea-8ea9-b27ab03aee49
Fito, Angels
1fd5d8e8-9781-4d0b-8a6d-dcded432a342
Panadero, Javier
2dca23fd-f7e1-491a-a9c0-a72f901c76e1
Doering, Jana
c8b6e354-b54f-415b-8873-805cb1b7e8ea
Kizys, Renatas
9d3a6c5f-075a-44f9-a1de-32315b821978
Juan, Angel A.
727ca41c-da96-40ea-8ea9-b27ab03aee49
Fito, Angels
1fd5d8e8-9781-4d0b-8a6d-dcded432a342

Panadero, Javier, Doering, Jana, Kizys, Renatas, Juan, Angel A. and Fito, Angels (2018) A variable neighborhood search simheuristic for project portfolio selection under uncertainty. Journal of Heuristics, 1-23. (doi:10.1007/s10732-018-9367-z).

Record type: Article

Abstract

With limited financial resources, decision-makers in firms and governments face the task of selecting the best portfolio of projects to invest in. As the pool of project proposals increases and more realistic constraints are considered, the problem becomes NP-hard. Thus, metaheuristics have been employed for solving large instances of the project portfolio selection problem (PPSP). However, most of the existing works do not account for uncertainty. This paper contributes to close this gap by analyzing a stochastic version of the PPSP: the goal is to maximize the expected net present value of the inversion, while considering random cash flows and discount rates in future periods, as well as a rich set of constraints including the maximum risk allowed. To solve this stochastic PPSP, a simulation-optimization algorithm is introduced. Our approach integrates a variable neighborhood search metaheuristic with Monte Carlo simulation. A series of computational experiments contribute to validate our approach and illustrate how the solutions vary as the level of uncertainty increases.

Text
KIZYS_2018_cright_JH_A_variable_neighbourhood_search_simheuristic_for_project_portfolio_selection_under_uncertainty - Accepted Manuscript
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More information

Accepted/In Press date: 14 February 2018
e-pub ahead of print date: 24 February 2018
Keywords: Project portfolio selectiom, Stochastic optimization, Net present value, Variable neighborhood search, Simheuristics

Identifiers

Local EPrints ID: 434028
URI: http://eprints.soton.ac.uk/id/eprint/434028
ISSN: 1381-1231
PURE UUID: 9a6c3181-5171-4684-882b-74fb95be5cae
ORCID for Renatas Kizys: ORCID iD orcid.org/0000-0001-9104-1809

Catalogue record

Date deposited: 11 Sep 2019 16:30
Last modified: 28 Apr 2022 02:27

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Contributors

Author: Javier Panadero
Author: Jana Doering
Author: Renatas Kizys ORCID iD
Author: Angel A. Juan
Author: Angels Fito

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