Construction of Generalized Capital Budgeting Test Problems with Known Optimal Solutions

Abstract

This report presents a procedure for the construction of "generalized" capital budgeting problems with known optimal solutions. Generalized capital budgeting problems are pure integer programming problems with upper bounded variables and nonnegative data and thus provide a source of problems for testing integer programming codes. The data comprising these problems will be selected in such a manner that sufficient optimality conditions will be satisfied.