Capital budgeting with Benders' decomposition (Q1062887)

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.