Method for solving the multi-criteria non-Markov problem of project portfolio optimization

Abstract

The subject of the study in this paper is models and methods of optimization of the organization's project portfolio for the planning period, considering the effects of the previously made decisions. Project portfolio optimization is one of the responsible and complex tasks by company's top management solves. Based on the analysis of the known works in the field, the research purpose is described: to create a method that would allow solve the problem of multi-criteria project portfolio optimization for the planned period, considering the aftereffects of the previously made decisions. The research tasks are to enhance the method for solving the project portfolio optimization problem in terms of maximizing the difference between income and costs for all projects started during the planned period; to propose a method for solving the project portfolio optimization problem in terms of the social effects of projects that started during the planned period; create a method for solving the problem of project portfolio optimization for the planned period in a multi-criteria setting. There are the following results obtained in the paper. There is presents the mathematical model of the problem being solved, the problem objective functions include the difference between the receipt and expenditure of funds in time, the portfolio risks, and its implementation social effects. The mathematical model considers the provision of funds sufficiency for the implementation of projects in all periods, the required sequence of project implementation, and the mandatory inclusion of some projects in the portfolio for a given period. The problem under consideration belongs to the multi-criteria non-Markov dynamic discrete optimization problems. There is a proposed method for solving it in a multi-criteria formulation. The method is based on solving one criterion problem, and then a multi-criteria problem. The method is based on the minimax approach and implicit search. There has been developed solving method for the problem of enterprise project portfolio optimization for the planned period following the profit criterion. In contrast to the existing methods, this method considers the constraints on debt absence and the aftereffects of the previously made decisions. The method served as the basis for creating risk and social effect optimization methods. A method for enterprise project portfolio optimization of the planned period is provided, which, unlike previous, considers the criteria of profit, risks, and social effect, the constraints on debt absence, and the aftereffect of the previously made decisions. That makes it possible to improve the quality of the generated portfolio.

Keywords

• project portfolio
• model
• multi-criteria optimization
• planned period
• aftereffect
• method