We report on the application of surrogate relaxation approaches for a linear integer program related to a capital budgeting problem. We derive and computationally test several of rules for initializing and updating the constraint weights associated to the surrogating process. The computational experience is carried out for a set of test instances previously considered in the literature.

--

Real options, Capital budgeting, Scenario-based optimization, 0-1 Integer programming, Surrogate Relaxation