The bi-objective stochastic chance-constrained optimization model of multi-project & multi-item investment combination based on the view of real options

This paper presents a new stochastic chance-constrained 0-1 integer programming model for investigating the investment combination problem in multi-project multi-item investment combination. The proposed model includes two objectives with stochastic constraints to construct a 0-1 integer programming model. On the one hand, the risk value will be measured by negative entropy; on the other hand, the pursued value objective will be composed of two parts, which including classical NPV and the corresponding real option for any item of any project. Then how to use DE to solve the model with a small modification of constraint-handling rule will be illustrated. A simulation experiment is employed to illustrate the application of the proposed model to get the Pareto-optimal solutions by applying the modified algorithm DE.