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Budget‐constrained portfolio trades using multiobjective optimization

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  • Patrick Smith
  • Matthew Ferringer
  • Ryan Kelly
  • Inki Min

Abstract

A decision support process using many‐objective optimization, high‐performance computing, and advanced visualization is applied to gain comprehensive insight into multistakeholder portfolio budgeting trades. The key tradeoffs among nondominated portfolio budget solutions are systematically identified and examined with respect to different stakeholder viewpoints. The approach is illustrated using a portfolio of 14 U.S. Air Force satellite development programs using budget data taken from the 2010 Future Year Development Plan [http://www.saffm.hq.af.mil/budget/, last accessed April 20, 2011]. Practical lessons learned in applying the approach are discussed. ©2012 Wiley Periodicals, Inc. Syst Eng 15

Suggested Citation

  • Patrick Smith & Matthew Ferringer & Ryan Kelly & Inki Min, 2012. "Budget‐constrained portfolio trades using multiobjective optimization," Systems Engineering, John Wiley & Sons, vol. 15(4), pages 461-470, December.
    • Handle: RePEc:wly:syseng:v:15:y:2012:i:4:p:461-470
    DOI: 10.1002/sys.21212
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    1. Robert J. Lempert & David G. Groves & Steven W. Popper & Steve C. Bankes, 2006. "A General, Analytic Method for Generating Robust Strategies and Narrative Scenarios," Management Science, INFORMS, vol. 52(4), pages 514-528, April.
    2. Robin Gregory & Ralph L. Keeney, 1994. "Creating Policy Alternatives Using Stakeholder Values," Management Science, INFORMS, vol. 40(8), pages 1035-1048, August.
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    Cited by:

    1. Navindran Davendralingam & Daniel. A. DeLaurentis, 2015. "A Robust Portfolio Optimization Approach to System of System Architectures," Systems Engineering, John Wiley & Sons, vol. 18(3), pages 269-283, May.

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