Research Reports from the Department of Operations
Document Type
Report
Publication Date
4-17-1967
Abstract
This paper considers a stochastic version of the project selection model (Model T in Dean and Hauser, "Advanced Material Systems Planning", IEEE Transactions on Engineering Management, March 1967), where $C has to be allocated among n technical approaches so that the probability of at least one approach being successfully completed is maximized. The cost of the ith approach, ci, is a random variable with distribution function, while the probability of success is, in general, a function P^(ct) of the cost. A dynamic programming formulation has been given to solve this problem assuming that the budget allocated to one approach cannot be transferred to another. A 1107 Algol program using this dynamic programming formulation has been developed. Further, for a wide class of distributions, an interesting property of the optimal solutions is derived, where partial funding to at least one approach is a characteristic of the optimal solution. Finally, a stochastic version of the project selection model has been developed, which provides for uncertainty values, and a computer program has been developed which solves the project selection under cost and payoff value uncertainties.
Keywords
Operations research, Project management, Stochastic processes, Mathematical optimization, Programming (Mathematics)
Publication Title
Technical Memorandums from the Department of Operations, School of Management, Case Western Reserve University
Issue
Technical memorandum no. 79
Rights
This work is in the public domain and may be freely downloaded for personal or academic use
Recommended Citation
Dean, Burton V.; Chidambaram, T.S.; and Palanki, R.R., "Project Selection Under Cost and Payoff Value Uncertainties" (1967). Research Reports from the Department of Operations. 450.
https://commons.case.edu/wsom-ops-reports/450