Metaheuristic Robust Optimization of Project Portfolios using an Interval-Based Model of Imprecisions

Abstract

Organizations often approach portfolio optimization problems. In many practical cases, the decision-maker faces uncertainty relating to future uncertain states of nature that cause variability in project benefits, in resources to be consumed by the project and resources available to support the portfolio, this often carries uncertainty, due to cognitive limitation of human beings, a great quantity of deal of the information of interest. We used an interval approach for describing and representing uncertainty associated with problems of real-life decision-making. The aim of this work is to provide an approach of handling the uncertainty found in project portfolio selection using grey numbers, which are a way of interval numbers. A fundamental step of our proposal was to generalize NSGA-II for the treatment of multi-objective grey optimization problems. Our proposal provides a better quality of solution concerning the treatment of uncertainty.