海外油气项目多目标投资组合优化方法

针对中石油海外复杂合同模式及经营环境多变情况下如何实现产量、投资、效益、风险等多个目标优化配置的问题,本文建立了考虑时间维度及风险因子的非线性多目标优化数学模型,表征了海外不同合同模式涉及的复杂商业规则和约束条件,提出了一种全新的求解多目标优化模型的混合优化方法.该方法先通过排队过滤法生成满足目标和约束条件的投资组合解;然后以该解的特征参数作为约束条件进行线性优化,求出投资组合局部最优解;最后以该最优解作为初始投资组合通过遗传算法求解得到一系列投资组合可行解.通过利用该方法对海外油气项目开展多目标投资组合优化,验证了该方法对于海外项目多目标优化的适用性,为海外项目规划方案设计提供了科学适用的思路和方法.

The multi-objective portfolio optimization method for overseas oil & gas projects

In order to resolve this problem about how to consider and optimize several factors such as production, investment, revenue and risk and so on under the situation of overseas complex contract mode and changeable operating environment, a multi-objective optimization model is built for the CNPC overseas projects. In this model, both the time dimension and the risk factor are taken into account and the intricate business rules and constraints in the overseas contract models are mathematically characterized. And a hybrid optimization method which is combined by the "rank & cut" method, linear planning and genetic algorithms is developed and put forward for this multi-objective model. The hybrid method starts with the "rank & cut" method and the best portfolio generated by it is used to set constraints for the linear planning. And the genetic algorithm is used to seek the alternative portfolios near the local optimum solution generated by linear planning. This method is applied and verified during the optimization and planning process of CNPC overseas oil & gas projects. Therefore, it is of great significance to carry out planning and design optimization for overseas projects by these provided solutions and methods.