R&D项目组合鲁棒性风险测度及选择模型研究
|
摘要
针对R&D项目组合选择研究中将风险作为极值目标函数,导致所求最优函数解为折衷解,且研究中较少考虑项目依赖关系对风险变化及组合选择影响的问题,借鉴鲁棒性理论,提出项目组合鲁棒性风险概念,并从单项目风险、项目依赖关系和项目风险控制成本三方面描述其构成。采用相继故障理论对项目组合鲁棒性风险进行刻画,建立了以鲁棒性风险、项目资源为约束,收益最大化为目标函数的组合选择优化模型,并采用量子遗传算法进行求解。实例分析表明,最小化风险组合选择模型排除了一些进入组合后能承担自身风险且增加收益的项目,而考虑项目组合鲁棒性风险的选择模型不但能为项目决策者有效地决策支持,而且能降低因选择不合理而导致的项目组合失败的可能性。
Facing the problems of R&D project portfolio selection of which most of literatures regard risk as the minimizing object function,leading to the optimal solution converting into a compromise solution,and considering few studies that have been made on the influence of interdependency relationship on the change of project risk and the project portfolio selection,the conception of project portfolio robustness risk is proposed based on robustness theory. The definition is described from three aspects,that is,project risk,interdependency relationship and control cost for project risk. Then project portfolio robustness risk is measured with the theory of cascading failure and a project portfolio optimization model is established to maximize the profit object and satisfy the project portfolio robustness risk and resource constraints. To solve this model and illustrate its effectiveness,the quantum genetic algorithm is employed and an example is given. The result shows that the risk minimization model excludes these projects that can increase profits and take risks after they are selected into the portfolio.However,the model developed in this paper can not only provide effective decision support for the decision maker but also decrease the failure possibility of projects with the unreasonable selection.
Facing the problems of R&D project portfolio selection of which most of literatures regard risk as the minimizing object function,leading to the optimal solution converting into a compromise solution,and considering few studies that have been made on the influence of interdependency relationship on the change of project risk and the project portfolio selection,the conception of project portfolio robustness risk is proposed based on robustness theory. The definition is described from three aspects,that is,project risk,interdependency relationship and control cost for project risk. Then project portfolio robustness risk is measured with the theory of cascading failure and a project portfolio optimization model is established to maximize the profit object and satisfy the project portfolio robustness risk and resource constraints. To solve this model and illustrate its effectiveness,the quantum genetic algorithm is employed and an example is given. The result shows that the risk minimization model excludes these projects that can increase profits and take risks after they are selected into the portfolio.However,the model developed in this paper can not only provide effective decision support for the decision maker but also decrease the failure possibility of projects with the unreasonable selection.
引文
[1]郭鹏,梁俊俊,杜涛.R&D项目组合:概念、产生范式及分类[J].科学学与科学技术管理,2008,(06):40-43.
[2]Bhattacharyya R,Kumar P,Kar S.Fuzzy R&D portfolio selection of interdependent projects[J].Computers&Mathematics with Applications,2011,62(10):3857-3870.
[3]Eilat H,Golany B,Shtub A.Constructing and evaluating balanced portfolios of R&D projects with interactions:a DEA based methodology[J].European Journal of Operational Research,2006,172(3):1018-1039.
[4]Liesi9 J,Punkka A.Baseline value specification and sensitivity analysis in multiattribute project portfolio selection[J].European Journal of Operational Research,2014,237(3):946-956.
[5]Zapata J C,Reklaitis G V.Valuation of project portfolios:an endogenously discounted method[J].European Journal of Operational Research,2010,206(3):653-666.
[6]解百臣,吴育华,杨顺元.投资项目集合选择问题的非线性规划模型与解法研究[J].中国管理科学,2008,(06):82-86.
[7]杜先进,孙树栋,欧立雄.不确定条件下R&D项目组合风险测度及选择优化[J].预测,2007,(02):68-71.
[8]Costa H R,Barros Md O,Travassos G H.Evaluating software project portfolio risks[J].Journal of Systems and Software,2007,80(1):16-31.
[9]刘亚旭,汪应洛.具有不对称风险交互效应的R&D项目组合选择方法[J].系统工程,2007,(02):18-21.
[10]王勇胜,梁昌勇,鞠彦忠.不确定多期滚动项目组合选择优化模型[J].系统工程理论与实践,2012,(06):1290-1297.
[11]U J,W S D.An ANP approach for R&D project evaluation based on interdependencies between research objectives and evaluation criterion[J].Decision Support Systems,2010,49(3).
[12]赵静,郭鹏,潘女兆.基于交互效应的项目组合风险度量及选择优化[J].运筹与管理,2011,(06):120-126.
[13]杨颖,杨善林,胡小建.基于战略一致性的新产品开发项目组合选择[J].系统工程理论与实践,2014,(04):964-970.
[14]游晓明,刘升,王裕明.网络资源并行分配的多目标优化博弈量子方法[J].系统工程理论与实践,2011,(S2):49-55.
[15]王道平,张学龙,赵相忠.具有灰色随机动态特征的供应链牛鞭效应的鲁棒性分析[J].中国管理科学,2013,(01):57-62.
[16]席运江,党延忠.基于加权超网络模型的知识网络鲁棒性分析及应用[J].系统工程理论与实践,2007,(04):134-140-159。
[17]张静文,刘耕涛.鲁棒性视角下的关键链项目调度新方法[J].运筹与管理,2015,(03):197-204.
[18]田文迪,胡慕海,崔南方.不确定性环境下鲁棒性项目调度研究综述[J].系统工程学报,2014,(01):135-144.
[19]郭鹏,潘女兆,赵静.基于项目交互效应的高新技术项目组合风险研究[J].科学学与科学技术管理,2009,(06):5-9.
[20]E G T,C G.A note on modeling project interdependence in research and development[J].Decision Science,1980.11.
[21]张延禄,杨乃定.R&D网络风险相继传播模型构建及仿真[J].系统工程理论与实践,2014,(03):723-731.
[22]Ferber C V,Holovatch T,Holovatch Y.Attackvulnerabilityofpublic transport networks[J].Traffic and Granular Flow,2009,68(261).
[23]王建伟,荣莉莉.面向相继故障的复杂网络上袭击策略研究[J].中国管理科学,2009,(01):125-130.
[24]谭劲松,何铮.集群自组织的复杂网络仿真研究[J].管理科学学报,2009,(04):1-14.
[25]葛显龙,许茂增,王伟鑫.多车型车辆路径问题的量子遗传算法研究[J].中国管理科学,2013,(01):125-133.
[26]李浩,李士勇.一种基于量子遗传算法的扩展T-S模型辨识[J].控制与决策,2013,(08):1268-1272.
[27]C CS.Price competition in channel structure with common retailer[J].Marketing Science,1991,10(4).
[2]Bhattacharyya R,Kumar P,Kar S.Fuzzy R&D portfolio selection of interdependent projects[J].Computers&Mathematics with Applications,2011,62(10):3857-3870.
[3]Eilat H,Golany B,Shtub A.Constructing and evaluating balanced portfolios of R&D projects with interactions:a DEA based methodology[J].European Journal of Operational Research,2006,172(3):1018-1039.
[4]Liesi9 J,Punkka A.Baseline value specification and sensitivity analysis in multiattribute project portfolio selection[J].European Journal of Operational Research,2014,237(3):946-956.
[5]Zapata J C,Reklaitis G V.Valuation of project portfolios:an endogenously discounted method[J].European Journal of Operational Research,2010,206(3):653-666.
[6]解百臣,吴育华,杨顺元.投资项目集合选择问题的非线性规划模型与解法研究[J].中国管理科学,2008,(06):82-86.
[7]杜先进,孙树栋,欧立雄.不确定条件下R&D项目组合风险测度及选择优化[J].预测,2007,(02):68-71.
[8]Costa H R,Barros Md O,Travassos G H.Evaluating software project portfolio risks[J].Journal of Systems and Software,2007,80(1):16-31.
[9]刘亚旭,汪应洛.具有不对称风险交互效应的R&D项目组合选择方法[J].系统工程,2007,(02):18-21.
[10]王勇胜,梁昌勇,鞠彦忠.不确定多期滚动项目组合选择优化模型[J].系统工程理论与实践,2012,(06):1290-1297.
[11]U J,W S D.An ANP approach for R&D project evaluation based on interdependencies between research objectives and evaluation criterion[J].Decision Support Systems,2010,49(3).
[12]赵静,郭鹏,潘女兆.基于交互效应的项目组合风险度量及选择优化[J].运筹与管理,2011,(06):120-126.
[13]杨颖,杨善林,胡小建.基于战略一致性的新产品开发项目组合选择[J].系统工程理论与实践,2014,(04):964-970.
[14]游晓明,刘升,王裕明.网络资源并行分配的多目标优化博弈量子方法[J].系统工程理论与实践,2011,(S2):49-55.
[15]王道平,张学龙,赵相忠.具有灰色随机动态特征的供应链牛鞭效应的鲁棒性分析[J].中国管理科学,2013,(01):57-62.
[16]席运江,党延忠.基于加权超网络模型的知识网络鲁棒性分析及应用[J].系统工程理论与实践,2007,(04):134-140-159。
[17]张静文,刘耕涛.鲁棒性视角下的关键链项目调度新方法[J].运筹与管理,2015,(03):197-204.
[18]田文迪,胡慕海,崔南方.不确定性环境下鲁棒性项目调度研究综述[J].系统工程学报,2014,(01):135-144.
[19]郭鹏,潘女兆,赵静.基于项目交互效应的高新技术项目组合风险研究[J].科学学与科学技术管理,2009,(06):5-9.
[20]E G T,C G.A note on modeling project interdependence in research and development[J].Decision Science,1980.11.
[21]张延禄,杨乃定.R&D网络风险相继传播模型构建及仿真[J].系统工程理论与实践,2014,(03):723-731.
[22]Ferber C V,Holovatch T,Holovatch Y.Attackvulnerabilityofpublic transport networks[J].Traffic and Granular Flow,2009,68(261).
[23]王建伟,荣莉莉.面向相继故障的复杂网络上袭击策略研究[J].中国管理科学,2009,(01):125-130.
[24]谭劲松,何铮.集群自组织的复杂网络仿真研究[J].管理科学学报,2009,(04):1-14.
[25]葛显龙,许茂增,王伟鑫.多车型车辆路径问题的量子遗传算法研究[J].中国管理科学,2013,(01):125-133.
[26]李浩,李士勇.一种基于量子遗传算法的扩展T-S模型辨识[J].控制与决策,2013,(08):1268-1272.
[27]C CS.Price competition in channel structure with common retailer[J].Marketing Science,1991,10(4).