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. © 2001 Elsevier Science B.V.

Optimal resource allocation with minimum activation levels and fixed costs

PECCATI, LORENZO;
2001

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. © 2001 Elsevier Science B.V.
2001
Peccati, Lorenzo; L., Basso
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11565/193206
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