期刊
IEEE TRANSACTIONS ON SYSTEMS MAN AND CYBERNETICS PART A-SYSTEMS AND HUMANS
卷 40, 期 3, 页码 572-582出版社
IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC
DOI: 10.1109/TSMCA.2010.2041228
关键词
Linear multiobjective optimization; mixed-integer linear model; portfolio optimization; public organization R&D projects
资金
- Mexican National Council for Science and Technology [61343, 61903, 57255]
- Mexican Teaching Improvement Program (PROMEP) [103, 5/07/2523]
- Spanish Ministry of Education and Science
- FEDER [ECO2008-06159/ECON]
This paper addresses R& D portfolio selection in social institutions, state-owned enterprises, and other nonprofit organizations which periodically launch a call for proposals and distribute funds among accepted projects. A nonlinear discontinuous bicriterion optimization model is developed in order to find a compromise between a portfolio quality measure and the number of projects selected for funding. This model is then transformed into a linear mixed-integer formulation to present the Pareto front. Numerical experiments with up to 25 000 projects competing for funding demonstrate a high computational efficiency of the proposed approach. The acceptance/rejection rules are obtained for a portfolio using the rough set methodology.
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