本文選題：項(xiàng)目組合選擇 + 魯棒優(yōu)化�。� 參考：《系統(tǒng)工程理論與實(shí)踐》2017年11期

【摘要】：在項(xiàng)目組合選擇問題中,歷史數(shù)據(jù)的缺乏以及預(yù)測(cè)和估計(jì)過程中出現(xiàn)的不可避免的誤差,會(huì)導(dǎo)致模型中的參數(shù)無(wú)法被準(zhǔn)確地估計(jì),進(jìn)而給決策帶來巨大的風(fēng)險(xiǎn).因此,構(gòu)建合適的魯棒優(yōu)化模型,為企業(yè)提供能有效應(yīng)對(duì)參數(shù)不確定性的魯棒解,對(duì)企業(yè)的風(fēng)險(xiǎn)防范具有極其重要的現(xiàn)實(shí)意義.本文首先對(duì)確定參數(shù)下的主動(dòng)打斷項(xiàng)目組合選擇問題數(shù)學(xué)模型的特點(diǎn)進(jìn)行了分析.進(jìn)一步地,介紹了魯棒優(yōu)化問題中不確定情境集的概念,并給出了允許管理者根據(jù)其偏好確定不確定情境集大小的方法,構(gòu)建了全新的基于情境的魯棒優(yōu)化模型,進(jìn)而計(jì)算出在所規(guī)定的不確定情境集內(nèi)的最壞情境下能保持可行性與最優(yōu)性的魯棒解,實(shí)現(xiàn)了魯棒性與最優(yōu)性間的權(quán)衡,最后,通過GAMS/BARON進(jìn)行了算例分析,驗(yàn)證了模型的合理性與有效性.從理論上,本文首次將魯棒優(yōu)化理論擴(kuò)展到了主動(dòng)打斷項(xiàng)目組合選擇問題中,針對(duì)現(xiàn)有的項(xiàng)目組合選擇問題魯棒優(yōu)化理論僅能應(yīng)對(duì)有限個(gè)可行解的不足之處,提出了一類新的魯棒優(yōu)化方法,使其能夠應(yīng)對(duì)具有無(wú)窮多可行解的主動(dòng)打斷項(xiàng)目組合問題.從實(shí)踐上,隨著我國(guó)高新產(chǎn)業(yè)的發(fā)展,具有超前性與特殊性的研究與發(fā)展(RD)、信息科技與信息系統(tǒng)(IT/IS)等新興項(xiàng)目的投資日益受到重視.相較于傳統(tǒng)項(xiàng)目,這類項(xiàng)目的高度不確定性使得探究項(xiàng)目組合選擇問題的魯棒優(yōu)化理論日益迫切.故而本文的研究具有明顯的理論價(jià)值和現(xiàn)實(shí)意義.
[Abstract]:In the problem of portfolio selection, the lack of historical data and the inevitable errors in the process of prediction and estimation will lead to the inability of the parameters in the model to be accurately estimated, and thus bring great risks to the decision. Therefore, a suitable robust optimization model is constructed to provide enterprises with an effective response to the uncertainty of parameters. It is of great practical significance to the risk prevention of enterprises. Firstly, this paper analyzes the characteristics of the mathematical model of the active interruption of the project portfolio selection problem under the determination of parameters. Further, the concept of the uncertain situation set in the robust optimization problem is introduced, and the uncertainty is given to the managers to determine the uncertainty according to their preference. A new scenario based robust optimization model is constructed, and then the robust solution that can maintain the feasibility and optimality in the worst situation set is calculated. The tradeoff between robustness and optimality is realized. Finally, an example analysis is carried out by GAMS/BARON to verify the combination of the model. In theory, the robust optimization theory is extended to the problem of active interruption of portfolio selection for the first time. For the existing combination selection problem, the robust optimization theory can only deal with the shortcomings of the finite feasible solutions. A new kind of robust optimization method is proposed to deal with the infinitely many feasible methods. In practice, with the development of high and new industries in China, the research and development of advanced and special features (RD), information technology and information system (IT/IS) and other emerging projects have been paid more and more attention. Compared with traditional projects, the high uncertainty of these projects makes the inquiry project portfolio selection The theory of robust optimization is becoming more and more urgent. Therefore, the research in this paper has obvious theoretical and practical significance.
【作者單位】： 華北電力大學(xué)經(jīng)濟(jì)與管理學(xué)院;北京航空航天大學(xué)經(jīng)濟(jì)管理學(xué)院;北京市科學(xué)技術(shù)情報(bào)研究所;
【基金】：國(guó)家自然科學(xué)基金(71471006,71772060) 北京市財(cái)政項(xiàng)目:情報(bào)快速生產(chǎn)線建設(shè)(Ⅰ期)(PXM2017_178214_000005)~~
【分類號(hào)】：F224;F276.44

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