A Robust Pharmaceutical R & D Project Portfolio Optimization Problem under Cost and Resource Uncertainty

The pharmaceutical R&D project portfolio management often needs contract research organizations (CROs) to develop a reasonable portfolio of new drug R&D project from a large set of candidates. The objective of this research is to construct a mathematical programming model to help CRO formulate its portfolio of R&D projects in uncertain situation. More specifically, the pharmaceutical R&D projects portfolio problem is managed with a zero-one integer programming model with uncertain cost and resource. Robust optimization is used in dealing with the uncertainty, and a polyhedral uncertainty set is employed to characterize cost and resource parameters. Furthermore, the robust model is transformed into a standard mixed zero-one linear programming one via duality theory and finally solved by Lingo software. A numerical experiment is conducted to demonstrate the proposed approach, and the computational results under specific values of budget levels are analyzed. c ⃝2017 World Academic Press, UK. All rights reserved.

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