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Discrete dynamic programming and capital allocation. (English) Zbl 1231.90339
Summary: Dynamic programming algorithms are developed for optimal capital allocation subject to budget constraints. We extend the work of Weingartner and Ness 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.

MSC:
90C29 Multi-objective and goal programming
90C10 Integer programming
91B32 Resource and cost allocation (including fair division, apportionment, etc.)
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