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A trade-off multiobjective dynamic programming procedure and its application to project portfolio selection

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Abstract

We consider a stochastic discrete multiobjective programming process with a finite number of stages. The number of states at each stage and the number of feasible decisions at each state are also finite. The aim of the paper is to propose a new interactive procedure for such a problem based on trade-off analysis. The procedure is illustrated with project portfolio selection. There are many organizations with moderately large portfolios of projects. Although the problem under discussion is not very large, it is difficult to solve, since projects are not implemented simultaneously. Moreover, the companies must take into account the risk that a particular project, which is planned to start in the future, may not be ready for implementation. We present an interactive trade-off procedure, based on the stochastic approach, as a new proposition to solve such a problem.

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  1. Department of Operations Research, University of Economics in Katowice, ul. 1 Maja 50, 40-287, Katowice, Poland

    Maciej Nowak & Tadeusz Trzaskalik

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  1. Maciej Nowak
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Nowak, M., Trzaskalik, T. A trade-off multiobjective dynamic programming procedure and its application to project portfolio selection. Ann Oper Res 311, 1155–1181 (2022). https://doi.org/10.1007/s10479-020-03907-y

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