Article ID: | iaor2002272 |
Country: | Netherlands |
Volume: | 131 |
Issue: | 3 |
Start Page Number: | 536 |
End Page Number: | 549 |
Publication Date: | Jun 2001 |
Journal: | European Journal of Operational Research |
Authors: | Basso Antonella, Peccati Lorenzo A. |
Keywords: | programming: dynamic, programming: integer |
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.