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Discrete Dynamic Programming and Capital Allocation

G. L. Nemhauser and Z. Ullmann
Management Science
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
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Discrete Dynamic Programming and Capital Allocation
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Abstract

Dynamic programming algorithms are developed for optimal capital allocation subject to budget constraints. We extend the work of Weingartner [17] and Weingartner and Ness [19] 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.

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