Back to Search
Start Over
Discrete Dynamic Programming and Capital Allocation
- Source :
- Management Science. 15:494-505
- Publication Year :
- 1969
- Publisher :
- Institute for Operations Research and the Management Sciences (INFORMS), 1969.
-
Abstract
- Dynamic programming algorithms are developed for optimal capital allocation subject to budget constraints. We extend the work of Weingartner [Weingartner, H. M. 1966. Capital budgeting of interrelated projects: Survey and synthesis. Management Sci. 12(7, March) 485–516.] and Weingartner and Ness [Weingartner, H. M., D. N. Ness. 1967. Methods for the solution of the multi-dimensional 0/1 knapsack problem. Oper. Res. 15(1, January–February) 83–108.] by including multilevel projects, reinvesting returns, borrowing and lending, capital deferrals, and project interactions. We are able to handle dynamic programming models with several state variables because the optimal returns are monotone non-decreasing step functions. Computational experience with a variety of problems is reported.
Details
- ISSN :
- 15265501 and 00251909
- Volume :
- 15
- Database :
- OpenAIRE
- Journal :
- Management Science
- Accession number :
- edsair.doi.dedup.....4d46bbfcad21d0faa471aab096fc70cc