Capital budgeting with benders decomposition |
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Authors: | Wilhelm Hummeltenberg |
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Institution: | Rheinisch-Westfälische Technische Hochschule Aachen, D-5100 Aachen, Germany, Fed. Rep. |
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Abstract: | Capital budgeting problems with different interest rates for borrowing and lending and with possible limits on borrowing are applied to dual and primal decomposition. While the former fails if a dual gap exists, the latter becomes attractive. The paper elaborates dual and primal decomposition to capital budgeting models and discusses variants of the Benders scheme. A computer implementation is described and results of extensive computer runs with different strategies are reported which give proof of the efficiency of the implemented decomposition procedure. |
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Keywords: | Investment Lagrange multipliers integer programming |
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