Design of an Analysis Model for Strategic Behavior in the Digital Economy

Nowadays, multi-criteria decision-making techniques are highly developed, and are widely applied in multiple fields. They model and solve decisional problems by optimising multiple conflicting objectives. These techniques are very useful because they simultaneously analyse all the different criteria, and select the best alternatives according to the decision-maker’s objectives and preferences. An important issue in this context is the adequacy of the structure of corporate long-term financing and its potential impact on the sustainable development of the long-term business plan. The purpose of this study is to advance the analysis of these strategic decisions, measuring the a posteriori results and analysing their coherence with the strategies followed a priori. To do this, sustainable strategic decisions will be mathematically modelled and parametrised, creating a system to study the preferences followed and to describe the corporate behaviour. This system is applied as a case example for two leading companies in the digital sector, and the corresponding results over the last few years are evaluated

TWO MULTI-OBJECTIVE STOCHASTIC MODELS FOR PROJECT TEAM FORMATION UNDER UNCERTAINTY IN TIME REQUIREMENTS

Team formation is one of the key stages in project management. The cost associated with the individuals who form a team and the quality of the tasks completed by the team are two of the main concerns in team formation problems. In this study, two mathematical models to optimize simultaneously cost and quality in a team formation problem are developed. Because team formation problem arises in uncertain environment, different scenarios are defined for the time requirement of the project. Two-stage stochastic programming and multi-stage stochastic programming are applied to solve the first and the second model respectively. The presented models and their solution methodology can be applied in different types of projects. In this study, a project that involves an overhaul of an aircraft is presented as a case study in which the goals are to minimize staffing costs and maximize the reliability of the aircraft by staffing workforce with high competency

Essays on Multistage Stochastic Programming applied to Asset Liability Management

Uncertainty is a key element of reality. Thus, it becomes natural that the search for methods allows us to represent the unknown in mathematical terms. These problems originate a large class of probabilistic programs recognized as stochastic programming models. They are more realistic than deterministic ones, and their aim is to incorporate uncertainty into their definitions. This dissertation approaches the probabilistic problem class of multistage stochastic problems with chance constraints and joint-chance constraints. Initially, we propose a multistage stochastic asset liability management (ALM) model for a Brazilian pension fund industry. Our model is formalized in compliance with the Brazilian laws and policies. Next, given the relevance of the input parameters for these optimization models, we turn our attention to different sampling models, which compose the discretization process of these stochastic models. We check how these different sampling methodologies impact on the final solution and the portfolio allocation, outlining good options for ALM models. Finally, we propose a framework for the scenario-tree generation and optimization of multistage stochastic programming problems. Relying on the Knuth transform, we generate the scenario trees, taking advantage of the left-child, right-sibling representation, which makes the simulation more efficient in terms of time and the number of scenarios. We also formalize an ALM model reformulation based on implicit extensive form for the optimization model. This technique is designed by the definition of a filtration process with bundles, and coded with the support of an algebraic modeling language. The efficiency of this methodology is tested in a multistage stochastic ALM model with joint-chance constraints. Our framework makes it possible to reach the optimal solution for trees with a reasonable number of scenarios.A incerteza é um elemento fundamental da realidade. Então, torna-se natural a busca por métodos que nos permitam representar o desconhecido em termos matemáticos. Esses problemas originam uma grande classe de programas probabilísticos reconhecidos como modelos de programação estocástica. Eles são mais realísticos que os modelos determinísticos, e tem por objetivo incorporar a incerteza em suas definições. Essa tese aborda os problemas probabilísticos da classe de problemas de multi-estágio com incerteza e com restrições probabilísticas e com restrições probabilísticas conjuntas. Inicialmente, nós propomos um modelo de administração de ativos e passivos multi-estágio estocástico para a indústria de fundos de pensão brasileira. Nosso modelo é formalizado em conformidade com a leis e políticas brasileiras. A seguir, dada a relevância dos dados de entrada para esses modelos de otimização, tornamos nossa atenção às diferentes técnicas de amostragem. Elas compõem o processo de discretização desses modelos estocásticos Nós verificamos como as diferentes metodologias de amostragem impactam a solução final e a alocação do portfólio, destacando boas opções para modelos de administração de ativos e passivos. Finalmente, nós propomos um “framework” para a geração de árvores de cenário e otimização de modelos com incerteza multi-estágio. Baseados na tranformação de Knuth, nós geramos a árvore de cenários considerando a representação filho-esqueda, irmão-direita o que torna a simulação mais eficiente em termos de tempo e de número de cenários. Nós também formalizamos uma reformulação do modelo de administração de ativos e passivos baseada na abordagem extensiva implícita para o modelo de otimização. Essa técnica é projetada pela definição de um processo de filtragem com “bundles”; e codifciada com o auxílio de uma linguagem de modelagem algébrica. A eficiência dessa metodologia é testada em um modelo de administração de ativos e passivos com incerteza com restrições probabilísticas conjuntas. Nosso framework torna possível encontrar a solução ótima para árvores com um número razoável de cenários