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Managing Stochastic, Finite Capacity, Multi-Project Systems through the Cross-Entropy Methodology

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  • Izack Cohen
  • Boaz Golany
  • Avraham Shtub

Abstract

This paper addresses the problem of loading a finite capacity, stochastic (random) and dynamic multi-project system. The system is controlled by keeping a constant number of projects concurrently in the system. A new approach, based on the Cross-Entropy (CE) method, is proposed to determine optimal loading of the system. Through numerical experiments, we demonstrate the CE method performance and show new insights into its behavior in a noisy system. Particularly, we suggest a trade-off between the convergence time, the number of iterations and the noise level. Copyright Springer Science + Business Media, Inc. 2005

Suggested Citation

  • Izack Cohen & Boaz Golany & Avraham Shtub, 2005. "Managing Stochastic, Finite Capacity, Multi-Project Systems through the Cross-Entropy Methodology," Annals of Operations Research, Springer, vol. 134(1), pages 183-199, February.
    • Handle: RePEc:spr:annopr:v:134:y:2005:i:1:p:183-199:10.1007/s10479-005-5730-1
    DOI: 10.1007/s10479-005-5730-1
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    References listed on IDEAS

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    Cited by:

    1. Illana Bendavid & Boaz Golany, 2009. "Setting gates for activities in the stochastic project scheduling problem through the cross entropy methodology," Annals of Operations Research, Springer, vol. 172(1), pages 259-276, November.
    2. Illana Bendavid & Boaz Golany, 2011. "Predetermined intervals for start times of activities in the stochastic project scheduling problem," Annals of Operations Research, Springer, vol. 186(1), pages 429-442, June.
    3. 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.
    4. Feifei Li & Zhe Xu, 2018. "A multi-agent system for distributed multi-project scheduling with two-stage decomposition," PLOS ONE, Public Library of Science, vol. 13(10), pages 1-24, October.
    5. Pieter-Tjerk de Boer & Dirk Kroese & Shie Mannor & Reuven Rubinstein, 2005. "A Tutorial on the Cross-Entropy Method," Annals of Operations Research, Springer, vol. 134(1), pages 19-67, February.
    6. Illana Bendavid & Boaz Golany, 2011. "Setting gates for activities in the stochastic project scheduling problem through the cross entropy methodology," Annals of Operations Research, Springer, vol. 189(1), pages 25-42, September.
    7. Cadini, F. & Santos, F. & Zio, E., 2014. "An improved adaptive kriging-based importance technique for sampling multiple failure regions of low probability," Reliability Engineering and System Safety, Elsevier, vol. 131(C), pages 109-117.
    8. 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.
    9. Satic, U. & Jacko, P. & Kirkbride, C., 2024. "A simulation-based approximate dynamic programming approach to dynamic and stochastic resource-constrained multi-project scheduling problem," European Journal of Operational Research, Elsevier, vol. 315(2), pages 454-469.

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