动态主动打断项目组合选择问题的模型研究

doi:10.12005/orms.2020.0212

运筹与管理 ›› 2020, Vol. 29 ›› Issue (8): 158-166.DOI: 10.12005/orms.2020.0212

动态主动打断项目组合选择问题的模型研究

闫庆友¹, 王雅娴², 孙艺新³

1.华北电力大学经济与管理学院,北京 102206;
2.国网经络技术研究院有限公司,北京 102209;
3.国网能源研究院有限公司,北京 102209

收稿日期:2017-12-03 出版日期:2020-08-25
通讯作者: 王雅娴(1994-),女,河北张家口人,博士研究生,研究方向:项目管理,能源经济;
作者简介:闫庆友(1963-),男,山东茌平县人,博士,教授,博士生导师,研究方向:运筹优化,经济计量分析;孙艺新(1983-),男,辽宁丹东人,博士,高级工程师,研究方向:能源大数据、电力企业数字化转型。
基金资助:
国网青海省电力公司专题项目“青海省清洁能源示范省发展战略研究-青海省清洁高效消费模式研究”,国家电网公司总部科技项目“面向工商业客户的大数据用电行为分析与精准营销关键技术研究”

Research on Dynamic Project Portfolio Selection Model with Divisibility

YAN Qing-you¹, WANG Ya-xian², SUN Yi-xin³

1. School of Economics and Management, North China Electric Power University, Beijing 102206, China;
2. State Grid Economic and Technological Research Institute Co., Ltd. Beijing 102209, China;
3. State Grid Energy Research Institute Co., Ltd., Beijing 102206, China

Received:2017-12-03 Online:2020-08-25

摘要/Abstract

摘要： 动态主动打断项目组合选择问题是项目组合选择研究的新方向,然而该问题中涉及的六个重要参数都是不确定的,需要通过预测或估算才能得到,导致项目组合选择结果存在风险,最优解随着参数的变动发生变化。针对这种情况,本文首先提出了一个适合敏感性分析的动态主动打断项目组合选择新模型,并将其线性化;其次,运用GAMS＼BARON求解算例,对比动态和静态主动打断项目组合选择模型的结果,验证了动态线性模型的优越性;最后,分别求解六个不确定性参数的敏感性系数,并进行了局部敏感性分析。结果表明:第一,动态主动打断项目组合选择线性模型既可以统筹安排新、旧项目,又能增加企业收益;第二,根据系数敏感性的排名,企业应当有区别地对待六个不确定性参数;第三,新项目投资和项目收益的敏感性大小和排序,会随着参数变动而变化。

关键词: 项目管理, 项目组合选择, 主动打断, 动态(已有旧项目调整), 局部敏感性分析

Abstract: The dynamic project portfolio selection problem with divisibility is a new research direction, but the six important parameters involved in this problem are uncertain and need to be predicted or estimated, leading to changeable selection results and high risk. Based on this situation, this paper first builds a linearized dynamic divisible project portfolio selection model which is convenient for sensitivity analysis. Then, the paper verifies the advantages of dynamic linear model through comparing the results of dynamic and static models performed by GAMS＼BARON. Finally, the sensitivity coefficients of six uncertain parameters under different percentages are calculated respectively, and the local sensitivity analysis is carried out. The results show that: 1)dynamic project portfolio selection model can not only arrange the old and new projects as a whole but also increase enterprise income; 2)the enterprise should treat the six uncertain parameters differently according to the rank of sensitivity coefficients; 3)the sensitivities and ranks of new project investment and project income will change according to the changes of parameter percentage.

Key words: project management, project portfolio selection, divisibility, dynamic(existing project adjustment), sensitivity analysis

中图分类号:

C934

闫庆友, 王雅娴, 孙艺新. 动态主动打断项目组合选择问题的模型研究[J]. 运筹与管理, 2020, 29(8): 158-166.

YAN Qing-you, WANG Ya-xian, SUN Yi-xin. Research on Dynamic Project Portfolio Selection Model with Divisibility[J]. Operations Research and Management Science, 2020, 29(8): 158-166.

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动态主动打断项目组合选择问题的模型研究

Research on Dynamic Project Portfolio Selection Model with Divisibility

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