A stochastic bi-objective project scheduling model under failure of activities

Fatemeh Rezaei (), Amir Abbas Najafi (), Erik Demeulemeester () and Reza Ramezanian ()
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Fatemeh Rezaei: KU Leuven
Amir Abbas Najafi: K. N. Toosi University of Technology
Erik Demeulemeester: KU Leuven
Reza Ramezanian: K. N. Toosi University of Technology

Annals of Operations Research, 2024, vol. 338, issue 1, No 17, 453-476

Abstract: Abstract In this paper, the research and development project scheduling problem (RDPSP) under uncertain failure of activities is formulated where an activity’s failure results in the project’s overall failure. A scenario-based bi-objective model to maximize the expected net present value (eNPV) and to minimize the NPV’s risk by conditional value-at-risk (CVaR) measurement is presented. For this purpose, different modes of failure or success of activities have been considered as a stochastic parameter by a set of scenarios. To formulate the problem, a nonlinear model is first presented, then a mixed-integer programming (MIP) model of the problem is developed by piecewise approximation. Some valid inequalities are presented to improve the performance of the MIP model. A sequential sampling procedure is also used to approximate the solution of the MIP model with a large number of scenarios. The experimental results have shown that the sequential sampling procedure attains high-quality solutions in a reasonable CPU time.

Keywords: R&D project scheduling; Activity failure; Conditional value-at-risk (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1007/s10479-023-05600-2

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