Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
480277 | European Journal of Operational Research | 2011 | 13 Pages |
Maintaining a rich research and development (R&D) pipeline is the key to remaining competitive in many industrial sectors. Due to its nature, R&D activities are subject to multiple sources of uncertainty, the modeling of which is compounded by the ability of the decision maker to alter the underlying process. In this paper, we present a multi-stage stochastic programming framework for R&D pipeline management, which demonstrates how essential considerations can be modeled in an efficient manner including: (i) the selection and scheduling of R&D tasks with general precedence constraints under pass/fail uncertainty, and (ii) resource planning decisions (expansion/contraction and outsourcing) for multiple resource types. Furthermore, we study interdependencies between tasks in terms of probability of success, resource usage and market impact. Finally, we explore risk management approaches, including novel formulations for value at risk and conditional value at risk.
Highlight► We develop a multi-stage stochastic programming model for R&D pipeline management. ► We consider task selection and scheduling, and resource planning decisions. ► We study probability interdependencies between tasks. ► We explore risk management methods, including new formulations for VaR and CVaR. ► We derive theoretical results to reduce non-anticipativity constraints.