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Discrete Dynamic Programming and Capital Allocation
G. L. Nemhauser and Z. Ullmann
Vol. 15, No. 9, Theory Series (May, 1969), pp. 494-505
Published by: INFORMS
Stable URL: http://www.jstor.org/stable/2628385
Page Count: 12
You can always find the topics here!Topics: Algorithms, Dynamic programming, Step functions, Financial investments, Mathematical problems, Budget allocation, Capital investments, Operations research, Management science, Lagrange multipliers
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Dynamic programming algorithms are developed for optimal capital allocation subject to budget constraints. We extend the work of Weingartner  and 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.
Management Science © 1969 INFORMS