An alternative efficient representation for the project portfolio selection problem

Abstract Project portfolio selection problem (PPSP) is usually formulated as a mixed integer polynomial program with cross-product terms. The problem is hard to solve due to the non-convex cross-product terms involved. To find an exact optimal solution, currently available methods adopt different linearization techniques to handle the cross-product terms and then utilize a branch-and-bound scheme for computations. This study proposes an alternative efficient representation for PPSP using fewer continuous variables than the current methods to achieve global optimum. Numerical experiments are presented to demonstrate the effectiveness and efficiency of the proposed method. In addition, the proposed method is integrated with a general binary cut scheme for identifying all alternative solutions for decision makers to consider better options.