Fuzzy Robust Mathematical Model for Project Portfolio Selection and its Solving through Multi Objective Differential Evolutionary Algorithm

The purpose of gas portfolio selection is to choose a collection of projects from a number of proposal projects, so that the organization’s desired factors could be improved. In this paper such a selection encounters critical problem. Having in mind the ambiguity which exists in determining some of the parameters of the research, they are viewed in terms of fuzzy numbers. In addition, Fuzzy Robust method has been used to escalate the robustness of the responses. The results of Fuzzy Robust method indicate that the alpha is applicable and robust for all the levels of the cut. In this paper, Fuzzy Robust zero-one multi objective - multi period model (FRMOILP) is used to select gas projects portfolios in the Gas Company of Kerman Province which follows with fuzzy robust approaches for solving model. At first, small-size single-objective model is solved with Lingo software in order to show how “fuzzy robust approaches” work. Because of the NP-Hard nature of the issue, Multi Objective Differential Evolutionary Algorithm (MODE) algorithm was applied to code and solve the problem. Subsequently “multi objective tabu search” (MOTS) algorithm was compared to it in terms of performance. Finally, in order to facilitate gas projects portfolio selection process, the TOPSIS technique was exploited to prioritize Pareto solutions.