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

Izack Cohen, Boaz Golany, Avraham Shtub

Research output: Contribution to journalArticlepeer-review

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 languageEnglish
Pages (from-to)183-199
Number of pages17
JournalAnnals of Operations Research
Volume134
Issue number1
DOIs
StatePublished - Jan 2005

Keywords

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

ASJC Scopus subject areas

  • General Decision Sciences
  • Management Science and Operations Research

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