Real Options for Project Schedules (ROPS)

2007/04/01 by Lester Ingber, Ingber, Lester
Decision Sciences · Economics, Econometrics and Finance · #C.4 #Capital Investment and Risk Analysis #Computational Engineering #Data Analysis #FOS: Computer and information sciences #FOS: Mathematics #FOS: Physical sciences #Finance #G.1 #G.1.6 #G.3 #J.7 #Mathematical Software (cs.MS) #Numerical Analysis (math.NA) #Risk and Portfolio Optimization #Statistical Mechanics (cond-mat.stat-mech) #Statistics and Probability (physics.data-an) #Stochastic processes and financial applications #and Science (cs.CE)

paper · pdf · doi:10.48550/arxiv.0704.0090

openalex publication_date 2007/04/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

Real Options for Project Schedules (ROPS) has three recursive sampling/optimization shells. An outer Adaptive Simulated Annealing (ASA) optimization shell optimizes parameters of strategic Plans containing multiple Projects containing ordered Tasks. A middle shell samples probability distributions of durations of Tasks. An inner shell samples probability distributions of costs of Tasks. PATHTREE is used to develop options on schedules.. Algorithms used for Trading in Risk Dimensions (TRD) are applied to develop a relative risk analysis among projects.

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