Optimal resource allocation with minimum activation levels and fixed costs. (English) Zbl 1161.91423
Summary: 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.
MSC:
| 91B32 | Resource and cost allocation (including fair division, apportionment, etc.) |
| 90C11 | Mixed integer programming |
Keywords:
Mixed integer linear programming; Dynamic programming; Finance; Resource allocation; Capital rationingReferences:
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