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- W3123649677 abstract "We study projects with activities that have stochastic durations that are modeled using phase-type distributions. Intermediate cash flows are incurred during the execution of the project. Upon completion of all project activities a payoff is obtained. Because activity durations are stochastic, activity starting times cannot be defined at the start of the project. Instead, we have to rely on a policy to schedule activities during the execution of the project. The optimal policy schedules activities such that the expected net present value of the project is maximized. We determine the optimal policy using a new continuous-time Markov chain and a backward stochastic dynamic program. Although the new continuous-time Markov chain allows to drastically reduce memory requirements (when compared to existing methods), it also allows activities to be preempted; an assumption that is not always desirable. We demonstrate, however, that it is globally optimal not to preempt activities if certain conditions are met. A computational experiment confirms this finding. The computational experiment also shows that we significantly outperform current state-of-the-art procedures. On average, we improve computational efficiency by a factor of 600, and reduce memory requirements by a factor of 321." @default.
- W3123649677 created "2021-02-01" @default.
- W3123649677 creator A5061152709 @default.
- W3123649677 date "2017-01-01" @default.
- W3123649677 modified "2023-09-23" @default.
- W3123649677 title "Maximizing the expected net present value of a project with phase-type distributed activity durations: an efficient globally optimal solution procedure" @default.
- W3123649677 hasPublicationYear "2017" @default.
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