Setting gates for activities in the stochastic project scheduling problem through the cross entropy methodology

This paper addresses the problem of scheduling activities in projects with stochastic activity durations. The aim is to determine for each activity a gate–a time before it the activity cannot begin. Setting these gates is analogous to setting inventory levels in the news vendor problem. The resources required for each activity are scheduled to arrive according to its gate. Since activities’ durations are stochastic, the start and finish time of each activity is uncertain. This fact may lead to one of two outcomes: (1) an activity is ready to start its processing as all its predecessors have finished, but it cannot start because the resources required for it were scheduled to arrive at a later time. (2) The resources required for the activity have arrived and are ready to be used but the activity is not ready to start because of precedence constraints. In the first case we will incur a ‘holding’ cost while in the second case, we will incur a ‘shortage’ cost. Our objective is to set gates so as to minimize the sum of the expected holding and shortage costs. We employ the Cross‐Entropy method to solve the problem. The paper describes the implementation of the method, compares its results to various heuristic methods and provides some insights towards actual applications.