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Project Portfolio Selection Under Uncertainty by Fuzzy and Robust Optimization Methods

Ajam, Meraj | 2014

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  1. Type of Document: M.Sc. Thesis
  2. Language: Farsi
  3. Document No: 45927 (01)
  4. University: Sharif University of Technology
  5. Department: Industrial Engineering
  6. Advisor(s): Kianfar, Farhad
  7. Abstract:
  8. In this thesis, project portfolio selection under uncertainty conditions is considered. Firstly, the problem is modeled with mathematical programming and also this problem has two objective functions that contain maximizing profitability and minimizing surplus resources. Each project has resource costs and contract prices. In addition, uncertainties for these parameters should be considered. Secondly, another innovation in this research is considering Cost/Time trade-off for duration and cost. To satisfy this subject, each project has different scenarios with various duration and usage of resources. Since the project has two objective functions, ε-constraint method is applied to optimizing the problem. In this method, Pareto set solution is concluded, then decision makers should choose amongst them with different preferences. The second step of this research is considering uncertainties for some parameters. For this aim, two fuzzy methods are applied. Jimenez method is applied to overcome the uncertainties in constraints parameter. Since Jimenez method is only usable for single objective problem, Torabi-Hasini (TH) method is applied to overcome multiply of objective functions.Furthermore, in order to give more options to decision makers another uncertain method has been brought. This method is written by Mulvey which is one of the Robust Optimization form. Then it will be shown a match between two uncertain methods. It is noticeable that at the end of the research, sample problem is solved with this recommended method and also all sensitivity analysis is applied for them. The results of this problem seem reasonable. In addition, with considering acceptable risk threshold of portfolio management, in every period, it can be checked. At last, suggestions for future research are discussed
  9. Keywords:
  10. Uncertainty ; Robust Optimization ; Project Selection ; Project Portfolio Management ; Time/Cost Trade-off

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