On the use of internal rate of return in linear and integer programming

DOI10.1016/0167-6377(88)90059-4MaRDI QIDQ1115802zbMATH OpenOpenAlexFDO

Authors Robert M. Nauss

Publication date 1988

Published in Operations Research Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0167-6377(88)90059-4

zbMATH Keywords

branch and boundinternal rate of returnIRR constraints

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Linear programming (90C05) Boolean programming (90C09) Integer programming (90C10)

Review text

This paper is meant to demonstrate the use of IRR (internal rate of return) concepts in mathematical programming problems. It is shown how IRR constraints can be used in linear and integer programming models. An algorithm is presented which constructs a solution to a general 0-1 programming problem (P), in which IRR is to be minimized, within a tolerance of a given \(\epsilon\). A linearization of (P) is then used within a general branch and bound algorithm to solve such problems to optimality.

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Cites work

• scientific article; zbMATH DE number 3709922 (Why is no real title available?)
• Integer Programming Algorithms: A Framework and State-of-the-Art Survey
• Optimal TIC Bids on Serial Bond Issues
• Optimization of the Arbitrage Process in Advance Refunding of Municipal Bonds
• True Interest Cost in Municipal Bond Bidding: An Integer Programming Approach

Cited in

(6)

• Stochastic internal rate of return on investments in sustainable assets generating carbon credits
• Investment decisions and sensitivity analysis: NPV-consistency of rates of return
• scientific article; zbMATH DE number 5802257 (Why is no real title available?)
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• Bridging the Gap Between Roe and IRR

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