Optimal resource allocation with minimum activation levels and fixed costs

被引：38
|
作者：
Basso, A
Peccati, LA
机构：
[1] Univ Trieste, Dip Matemat Applicata B Finetti, I-34127 Trieste, Italy
[2] Bocconi Univ, IMQ, I-20136 Milan, Italy
来源：
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH | 2001年 / 131卷 / 03期
关键词：
mixed integer linear programming; dynamic programming; finance; resource allocation; capital rationing;
D O I：
10.1016/S0377-2217(00)00093-X
中图分类号：
C93 [管理学];
学科分类号：
12 ; 1201 ; 1202 ; 120202 ;
摘要：
We intend to analyze a problem of optimal resource allocation with both minimum and maximum activation levels and fixed costs. The problem is shown to be NP-hard. We study the consequent MILP problem and propose a dynamic programming algorithm which exploits an efficient pruning procedure. We present an application to a portfolio optimization problem in project financing. A project financing firm partially funds different projects, using external funding sources for the partial coverage of the financial requirements of each project. (C) 2001 Elsevier Science B.V. All rights reserved.
引用
收藏
页码：536 / 549
页数：14
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