Optimal resource allocation with minimum activation levels and fixed costs

Optimal resource allocation with minimum activation levels and fixed costs

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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: ,
Keywords: programming: dynamic, programming: integer
Abstract:

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.

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