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Managing Portfolios of Projects under Uncertainty

Author

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  • Linda Nozick
  • Mark Turnquist
  • Ningxiong Xu

Abstract

Managers of projects and multi-project programs often face considerable uncertainty in the duration and outcomes of specific tasks, as well as in the overall level of resources required by tasks. They must decide, in these uncertain conditions, how to allocate and manage scarce resources across many projects that have competing needs. This paper develops a nonlinear mixed-integer programming model for optimizing the resource allocations to individual tasks to minimize the completion times of a collection of projects. The model contains a very flexible representation of the effects of changing resource allocations on the probability distribution of task duration, so it can accommodate a wide variety of practical situations. A heuristic solution procedure is proposed that works quite effectively. An illustration involving a collection of bridge construction projects is provided. Copyright Kluwer Academic Publishers 2004

Suggested Citation

  • Linda Nozick & Mark Turnquist & Ningxiong Xu, 2004. "Managing Portfolios of Projects under Uncertainty," Annals of Operations Research, Springer, vol. 132(1), pages 243-256, November.
    • Handle: RePEc:spr:annopr:v:132:y:2004:i:1:p:243-256:10.1023/b:anor.0000045285.12058.03
    DOI: 10.1023/B:ANOR.0000045285.12058.03
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    Citations

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    Cited by:

    1. Yaghoubi, Saeed & Noori, Siamak & Azaron, Amir & Fynes, Brian, 2015. "Resource allocation in multi-class dynamic PERT networks with finite capacity," European Journal of Operational Research, Elsevier, vol. 247(3), pages 879-894.
    2. Hazır, Öncü & Ulusoy, Gündüz, 2020. "A classification and review of approaches and methods for modeling uncertainty in projects," International Journal of Production Economics, Elsevier, vol. 223(C).
    3. Öncü Hazir & Gündüz Ulusoy, 2020. "A classification and review of approaches and methods for modeling uncertainty in projects," Post-Print hal-02898162, HAL.
    4. E. Borgonovo & L. Peccati, 2010. "Moment calculations for piecewise-defined functions: an application to stochastic optimization with coherent risk measures," Annals of Operations Research, Springer, vol. 176(1), pages 235-258, April.
    5. Yaghoubi, Saeed & Noori, Siamak & Azaron, Amir & Tavakkoli-Moghaddam, Reza, 2011. "Resource allocation in dynamic PERT networks with finite capacity," European Journal of Operational Research, Elsevier, vol. 215(3), pages 670-678, December.

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