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Scheduling Markovian PERT networks to maximize the net present value: new results

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  • Ben Hermans
  • Roel Leus

Abstract

We study the problem of scheduling a project so as to maximize its expected net present value when task durations are exponentially distributed. Based on the structural properties of an optimal solution we show that, even if preemption is allowed, it is not necessary to do so. Next to its managerial importance, this result also allows for a new algorithm which improves on the current state of the art with several orders of magnitude, both in CPU time and in memory usage.

Suggested Citation

  • Ben Hermans & Roel Leus, 2017. "Scheduling Markovian PERT networks to maximize the net present value: new results," Working Papers of Department of Decision Sciences and Information Management, Leuven 588552, KU Leuven, Faculty of Economics and Business (FEB), Department of Decision Sciences and Information Management, Leuven.
    • Handle: RePEc:ete:kbiper:588552
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    File URL: https://lirias.kuleuven.be/retrieve/462421
    File Function: Scheduling Markovian PERT networks to maximize the net present value: new results
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    Keywords

    Project scheduling; Net present value; Exponentially distributed activity durations; Markov decision process; Monotone optimal policy;
    All these keywords.

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