An Immune Algorithm for Optional Selection Problem of Investment Projects

Abstract

Firstly, an optional selection problem of investment projects is introduced, and a chance-constrained programming model is set up based on probability measure, where investment outlays, annual net cash flows and bank loans are all considered as stochastic variables. Secondly, an immune clonal selection algorithm is designed based on stochastic simulation to provide a general solution for the proposed optimization model, where stochastic simulation procedure, chromosome code, affinity function and mutation operator are studied. Lastly, an example is provided to illustrate the effectiveness of the model and algorithm in the paper.