Uncertain programming models for capital budgeting subject to experts' estimations

Abstract

This paper discusses capital budgeting problem in uncertain environment, in which investment outlays and annual net cash flows of available projects are given subject to experts' estimations. Net present value (NPV) is extended to uncertain environment. As a result, three mathematical models are constructed for the problem, i.e., expected value model, chance-constrained programming model and chance-measure programming model. After that, some crisp equivalences are also discussed for different models. In addition, a hybrid intelligent algorithm for solving the proposed models in general cases is presented. To illustrate the modeling idea and the effectiveness of the proposed algorithm, some numerical examples are provided.