Managing stochastic, finite capacity, multi-project systems through the cross-entropy methodology

Izack Cohen; Boaz Golany; Avraham Shtub

doi:10.1007/s10479-005-5730-1

Managing stochastic, finite capacity, multi-project systems through the cross-entropy methodology

Izack Cohen, Boaz Golany, Avraham Shtub

Technion-Israel Institute of Technology

Research output: Contribution to journal › Article › peer-review

38 Scopus citations

Abstract

This paper addresses the problem of loading a finite capacity, stochastic (random) and dynamic multi-project system. The system is controlled by keeping a constant number of projects concurrently in the system. A new approach, based on the Cross-Entropy (CE) method, is proposed to determine optimal loading of the system. Through numerical experiments, we demonstrate the CE method performance and show new insights into its behavior in a noisy system. Particularly, we suggest a trade-off between the convergence time, the number of iterations and the noise level.

Original language	English
Pages (from-to)	183-199
Number of pages	17
Journal	Annals of Operations Research
Volume	134
Issue number	1
DOIs	https://doi.org/10.1007/s10479-005-5730-1
State	Published - Jan 2005
Externally published	Yes

Bibliographical note

Funding Information:
∗This research was partially supported by the Inga and Hal Marcus Research Fund. †Corresponding author.

Funding

∗This research was partially supported by the Inga and Hal Marcus Research Fund. †Corresponding author.

Funders	Funder number
Inga and Hal Marcus Research Fund

Keywords

Cross-entropy
Finite capacity
Project management
Simulation
Stochastic processes
Uncertainty modeling

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10.1007/s10479-005-5730-1

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KW - Project management

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Managing stochastic, finite capacity, multi-project systems through the cross-entropy methodology

Abstract

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Keywords

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