A variable neighborhood search simheuristic for project portfolio selection under uncertainty

With limited nancial resources, decision-makers in rms 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 employe...

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Detalles Bibliográficos
Autores: Panadero, Javier, Döering, Jana, Kizys, Renatas, Juan, Angel A., Fitó-Bertran, Àngels
Tipo de recurso: artículo
Estado:Versión aceptada para publicación
Fecha de publicación:2018
País:España
Institución:Universitat Oberta de Catalunya (UOC)
Repositorio:O2, repositorio institucional de la UOC
OAI Identifier:oai:openaccess.uoc.edu:10609/113486
Acceso en línea:https://hdl.handle.net/10609/113486
Access Level:acceso abierto
Palabra clave:project portfolio selection
stochastic optimization
net present value
variable neighborhood search
simheuristics
selección de cartera de proyectos
optimización estocástica
valor actual neto
búsqueda de vecindad variable
selecció de cartera de projectes
optimització estocàstica
valor actual net
cerca de barris variable
Heuristic
Heurística
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network_acronym_str ES
network_name_str España
repository_id_str
spelling A variable neighborhood search simheuristic for project portfolio selection under uncertaintyPanadero, JavierDöering, JanaKizys, RenatasJuan, Angel A.Fitó-Bertran, Àngelsproject portfolio selectionstochastic optimizationnet present valuevariable neighborhood searchsimheuristicsselección de cartera de proyectosoptimización estocásticavalor actual netobúsqueda de vecindad variablesimheuristicsselecció de cartera de projectesoptimització estocàsticavalor actual netcerca de barris variablesimheuristicsHeuristicHeurísticaHeurísticaWith limited nancial resources, decision-makers in rms 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 ows 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.Journal of HeuristicsUniversity of PortsmouthUniversitat Oberta de Catalunya (UOC)202020202018info:eu-repo/semantics/articleinfo:eu-repo/semantics/acceptedVersionapplication/pdfapplication/pdfhttps://hdl.handle.net/10609/113486reponame:O2, repositorio institucional de la UOCinstname:Universitat Oberta de Catalunya (UOC)InglésJournal of Heuristics, 2020, 26https://link.springer.com/article/10.1007/s10732-018-9367-zinfo:eu-repo/grantAgreement/TRA2013-48180-C3-P//info:eu-repo/grantAgreement/TRA2015-71883-REDT//info:eu-repo/grantAgreement/20161ES01KA108023465//CC BY-NC-NDhttp://creativecommons.org/licenses/by-nc-nd/3.0/es/info:eu-repo/semantics/openAccessoai:openaccess.uoc.edu:10609/1134862026-05-28T12:42:01Z
dc.title.none.fl_str_mv A variable neighborhood search simheuristic for project portfolio selection under uncertainty
title A variable neighborhood search simheuristic for project portfolio selection under uncertainty
spellingShingle A variable neighborhood search simheuristic for project portfolio selection under uncertainty
Panadero, Javier
project portfolio selection
stochastic optimization
net present value
variable neighborhood search
simheuristics
selección de cartera de proyectos
optimización estocástica
valor actual neto
búsqueda de vecindad variable
simheuristics
selecció de cartera de projectes
optimització estocàstica
valor actual net
cerca de barris variable
simheuristics
Heuristic
Heurística
Heurística
title_short A variable neighborhood search simheuristic for project portfolio selection under uncertainty
title_full A variable neighborhood search simheuristic for project portfolio selection under uncertainty
title_fullStr A variable neighborhood search simheuristic for project portfolio selection under uncertainty
title_full_unstemmed A variable neighborhood search simheuristic for project portfolio selection under uncertainty
title_sort A variable neighborhood search simheuristic for project portfolio selection under uncertainty
dc.creator.none.fl_str_mv Panadero, Javier
Döering, Jana
Kizys, Renatas
Juan, Angel A.
Fitó-Bertran, Àngels
author Panadero, Javier
author_facet Panadero, Javier
Döering, Jana
Kizys, Renatas
Juan, Angel A.
Fitó-Bertran, Àngels
author_role author
author2 Döering, Jana
Kizys, Renatas
Juan, Angel A.
Fitó-Bertran, Àngels
author2_role author
author
author
author
dc.contributor.none.fl_str_mv University of Portsmouth
Universitat Oberta de Catalunya (UOC)
dc.subject.none.fl_str_mv project portfolio selection
stochastic optimization
net present value
variable neighborhood search
simheuristics
selección de cartera de proyectos
optimización estocástica
valor actual neto
búsqueda de vecindad variable
simheuristics
selecció de cartera de projectes
optimització estocàstica
valor actual net
cerca de barris variable
simheuristics
Heuristic
Heurística
Heurística
topic project portfolio selection
stochastic optimization
net present value
variable neighborhood search
simheuristics
selección de cartera de proyectos
optimización estocástica
valor actual neto
búsqueda de vecindad variable
simheuristics
selecció de cartera de projectes
optimització estocàstica
valor actual net
cerca de barris variable
simheuristics
Heuristic
Heurística
Heurística
description With limited nancial resources, decision-makers in rms 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 ows 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.
publishDate 2018
dc.date.none.fl_str_mv 2018
2020
2020
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/acceptedVersion
format article
status_str acceptedVersion
dc.identifier.none.fl_str_mv https://hdl.handle.net/10609/113486
url https://hdl.handle.net/10609/113486
dc.language.none.fl_str_mv Inglés
language_invalid_str_mv Inglés
dc.relation.none.fl_str_mv Journal of Heuristics, 2020, 26
https://link.springer.com/article/10.1007/s10732-018-9367-z
info:eu-repo/grantAgreement/TRA2013-48180-C3-P//
info:eu-repo/grantAgreement/TRA2015-71883-REDT//
info:eu-repo/grantAgreement/20161ES01KA108023465//
dc.rights.none.fl_str_mv CC BY-NC-ND
http://creativecommons.org/licenses/by-nc-nd/3.0/es/
info:eu-repo/semantics/openAccess
rights_invalid_str_mv CC BY-NC-ND
http://creativecommons.org/licenses/by-nc-nd/3.0/es/
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
application/pdf
dc.publisher.none.fl_str_mv Journal of Heuristics
publisher.none.fl_str_mv Journal of Heuristics
dc.source.none.fl_str_mv reponame:O2, repositorio institucional de la UOC
instname:Universitat Oberta de Catalunya (UOC)
instname_str Universitat Oberta de Catalunya (UOC)
reponame_str O2, repositorio institucional de la UOC
collection O2, repositorio institucional de la UOC
repository.name.fl_str_mv
repository.mail.fl_str_mv
_version_ 1869425029737873408
score 15.300724

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