Scoring by usage

This paper aims to discover whether the predictive accuracy of a new applicant scoring model for a credit card can be improved by estimating separate scoring models for applicants who are predicted to have high or low usage of the card. Two models are estimated. First we estimate a model to explain the desired usage of a card, and second we estimate separately two further scoring models, one for those applicants whose usage is predicted to be high, and one for those for whom it is predicted to be low. The desired usage model is a two-stage Heckman model to take into account the fact that the observed usage of accepted applicants is constrained by their credit limit. Thus a model of the determinants of the credit limit, and one of usage, are both estimated using Heckman's ML estimator. We find a large number of variables to be correlated with desired usage. We also find that the two stage scoring methodology gives only very marginal improvements over a single stage scoring model, that we are able to predict a greater percentage of bad payers for low users than for high users and a greater percentage of good payers for high users than for low users.     

Proper exhausters and coexhausters in nonsmooth analysis

There exist many tools to analyze nonsmooth functions. For convex and max-type functions, the notion of subdifferential is used, for quasidifferentiable functions – that of quasidifferential. By means of these tools, one is able to solve, e.g. the following problems: to get an approximation of the increment of a functional, to formulate conditions for an extremum, to find steepest descent and ascent directions and to construct numerical methods. For arbitrary directionally differentiable functions, these problems are solved by employing the notions of upper and lower exhausters and coexhausters, which are generalizations of such notions of nonsmooth analysis as sub- and superdifferentials, quasidifferentials and codifferentials. Exhausters allow one to construct homogeneous approximations of the increment of a functional while coexhausters provide nonhomogeneous approximations. It became possible to formulate conditions for an extremum in terms of exhausters and coexhausters. It turns out that conditions for a minimum are expressed by an upper exhauster, and conditions for a maximum are formulated via a lower one. This is why an upper exhauster is called a proper one for the minimization problem (and adjoint for the maximization problem) while a lower exhauster is called a proper one for the maximization problem (and adjoint for the minimization problem). The conditions obtained provide a simple geometric interpretation and allow one to find steepest descent and ascent directions. In this article, optimization problems are treated by means of proper exhausters and coexhausters.     

Coupled-expanding maps and one-sided symbolic dynamical systems

This paper studies relationships between coupled-expanding maps and one-sided symbolic dynamical systems. The concept of coupled-expanding map is extended to a more general one: coupled-expansion for a transitive matrix. It is found that the subshift for a transitive matrix is strictly coupled-expanding for the matrix in certain disjoint compact subsets; the topological conjugacy of a continuous map in its compact invariant set of a metric space to a subshift for a transitive matrix has a close relationship with that the map is strictly coupled-expanding for the matrix in some disjoint compact subsets. A certain relationship between strictly coupled-expanding maps for a transitive matrix in disjoint bounded and closed subsets of a complete metric space and their topological conjugacy to the subshift for the matrix is also obtained. Dynamical behaviors of subshifts for irreducible matrices are then studied and several equivalent statements to chaos are obtained; especially, chaos in the sense of Li–Yorke is equivalent to chaos in the sense of Devaney for the subshift, and is also equivalent to that the domain of the subshift is infinite. Based on these results, several new criteria of chaos for maps are finally established via strict coupled-expansions for irreducible transitive matrices in compact subsets of metric spaces and in bounded and closed subsets of complete metric spaces, respectively, where their conditions are weaker than those existing in the literature.     

Propagation of a plane wave to a materially uniform but inhomogeneous body

We produce the equations of small deformations superimposed upon large for materially uniform but inhomogeneous bodies and specialize to an isotropic material and to a homogeneous finite elastic deformation. By assuming the small deformation to be a plane wave, a set of equations for the amplitude of the wave is produced which is accompanied by an additional set of conditions. By requiring a non-trivial solution for the amplitude, we obtain the secular equation and from it a set of necessary and sufficient conditions for having a real wave speed. The second set of conditions that have to be satisfied is due to the materials inhomogeneity. Essentially, the present analysis enhances the approach of Hayes and Rivlin for materially uniform but inhomogeneous bodies. The outcome is that for such bodies the restrictions on the constitutive law for having real wave speeds for an isotropic material subjected to a pure homogeneous deformation involves the field of the inhomogeneity as well.     

Evacuation and a geometric construction for Fibonacci tableaux

Tableaux have long been used to study combinatorial properties of permutations and multiset permutations. Discovered independently by Robinson and Schensted and generalized by Knuth, the Robinson–Schensted correspondence has provided a fundamental tool for relating permutations to tableaux. In 1963, Schützenberger defined a process called evacuation on standard tableaux which gives a relationship between the pairs of tableaux (P,Q) resulting from the Schensted correspondence for a permutation and both the reverse and the complement of that permutation. Viennot gave a geometric construction for the Schensted correspondence and Fomin described a generalization of the correspondence which provides a bijection between permutations and pairs of chains in Young's lattice.In 1975, Stanley defined a Fibonacci lattice and in 1988 he introduced the idea of a differential poset. Roby gave an insertion algorithm, analogous to the Schensted correspondence, for mapping a permutation to a pair of Fibonacci tableaux. The main results of this paper are to give an evacuation algorithm for the Fibonacci tableaux that is analogous to the evacuation algorithm on Young tableaux and to describe a geometric construction for the Fibonacci tableaux that is similar to Viennot's geometric construction for Young tableaux.     

Repeated Richardson extrapolation applied to the two-dimensional Laplace equation using triangular and square grids

The focus of this work is to verify the efficiency of the Repeated Richardson Extrapolation (RRE) to reduce the discretization error in a triangular grid and to compare the result to the one obtained for a square grid for the two-dimensional Laplace equation. Two different geometries were employed: the first one, a unitary square domain, was discretized into a square or triangular grid; and the second, a half square triangle, was discretized into a triangular grid. The methodology employed used the following conditions: the finite volume method, uniform grids, second-order accurate approximations, several variables of interest, Dirichlet boundary conditions, grids with up to 16,777,216 nodes for the square domain and up to 2097,152 nodes for the half square triangle domain, multigrid method, double precision, up to eleven Richardson extrapolations for the first domain and up to ten Richardson extrapolations for the second domain. It was verified that (1) RRE is efficient in reducing the discretization error in a triangular grid, achieving an effective order of approximately 11 for all the variables of interest for the first geometry; (2) for the same number of nodes and with or without RRE, the discretization error is smaller in a square grid than in a triangular grid; and (3) the magnitude of the numerical error reduction depends on, among other factors, the variable of interest and the domain geometry.     

On Primitive Cellular Algebras

First we define and study the exponentiation of a cellular algebra by a permutation group that is similar to the corresponding operation (the wreath product in primitive action) in permutation group theory. Necessary and sufficient conditions for the resulting cellular algebra to be primitive and Schurian are given. This enables us to construct infinite series of primitive non-Schurian algebras. Also we define and study, for cellular algebras, the notion of a base, which is similar to that for permutation groups. We present an upper bound for the size of an irredundant base of a primitive cellular algebra in terms of the parameters of its standard representation. This produces new upper bounds for the order of the automorphism group of such an algebra and in particular for the order of a primitive permutation group. Finally, we generalize to 2-closed primitive algebras some classical theorems for primitive groups and show that the hypothesis for a primitive algebra to be 2-closed is essential. Bibliography: 16 titles.     

Normal Approximation of Poisson Functionals in Kolmogorov Distance

Peccati, Solè, Taqqu, and Utzet recently combined Stein’s method and Malliavin calculus to obtain a bound for the Wasserstein distance of a Poisson functional and a Gaussian random variable. Convergence in the Wasserstein distance always implies convergence in the Kolmogorov distance at a possibly weaker rate. But there are many examples of central limit theorems having the same rate for both distances. The aim of this paper was to show this behavior for a large class of Poisson functionals, namely so-called U-statistics of Poisson point processes. The technique used by Peccati et al. is modified to establish a similar bound for the Kolmogorov distance of a Poisson functional and a Gaussian random variable. This bound is evaluated for a U-statistic, and it is shown that the resulting expression is up to a constant the same as it is for the Wasserstein distance.     

Stackelberg–Nash exact controllability for the Kuramoto–Sivashinsky equation

This paper deals with a hierarchical control problem for the Kuramoto–Sivashinsky equation following a Stackelberg–Nash strategy. We assume that there is a main control, called the leader, and two secondary controls, called the followers. The leader tries to drive the solution to a prescribed target and the followers intend to be a Nash equilibrium for given functionals. It is known that this problem is equivalent to a null controllability result for an optimality system consisting of three non-linear equations. One of the novelties is a new Carleman estimate for a fourth-order equation with right-hand sides in Sobolev spaces of negative order, which allows to relax some geometric conditions for the observation sets for the followers.     

Searching for a set of correlated patterns

New algorithms for searching simultaneously for a set of patterns in a text are suggested, for the special case where these patterns are correlated and have a common substring. This is then extended to the case where it could be more profitable to look for more than a single overlap, and a problem related to the generalization of this idea is shown to be NP-complete. Experimental results suggest that for this particular application, the suggested algorithm yields significant improvements over previous methods.     

The shape of the hazard function for cancer incidence

A population-based cohort consisting of 126,141 men and 122,208 women born between 1874 and 1931 and at risk for breast or colorectal cancer after 1965 was identified by linking the Utah Population Data Base and the Utah Cancer Registry. The hazard function for cancer incidence is estimated from left truncated and right censored data based on the conditional likelihood. Four estimation procedures based on the conditional likelihood are used to estimate the age-specific hazard function from the data; these were the life-table method, a kernel method based on the Nelson Aalen estimator, a spline estimate, and a proportional hazards estimate based on splines with birth year as sole covariate.The results are consistent with an increasing hazard for both breast and colorectal cancer through age 85 or 90. After age 85 or 90, the hazard function for female breast and colorectal cancer may reach a plateua or decrease, although the hazard function for male colorectal cancer appears to continue to rise through age 105. The hazard function for both breast and colorectal cancer appears to be higher for more recent birth cohorts, with a more pronounced birth-cohort effect for breast cancer than for colorectal cancer. The age specific for colorectal cancer appears to be higher for men than for women. The shape of the hazard function for both breast and colorectal cancer appear to be consistent with a two-stage model for spontaneous carcinogenesis in which the initiation rate is constant or increasing. Inheritance of initiated cells appears to play a minor role.     

Retrial queues with balanced call blending: analysis of single-server and multiserver model

In call centers, call blending consists in the mixing of incoming and outgoing call activity, according to some call blending balance. Recently, Artalejo and Phung-Duc have developed an apt model for such a setting, with a two way communication retrial queue. However, by assuming a classical (proportional) retrial rate for the incoming calls, the short-term blending balance is heavily impacted by the number of incoming calls, which may be undesired, especially when the balance between incoming and outgoing calls is vital to the service offered. In this contribution, we consider an alternative to classical call blending, through a retrial queue with constant retrial rate for incoming calls. For the single-server case (one operator), a generating functions approach enables to derive explicit formulas for the joint stationary distribution of the number of incoming calls and the system state, and also for the factorial moments. This is complemented with a stability analysis, expressions for performance measures, and also recursive formulas, allowing reliable numerical calculation. A correlation study enables to study the system’s short-term blending balance, allowing to compare it to that of the system with classical retrial rate. For the multiserver case (multiple operators), we provide a quasi-birth-and-death process formulation, enabling to derive a sufficient and necessary condition for stability in this case (in a simple form), a numerical recipe to obtain the stationary distribution, and a cost model.     

Patterns generated by mth-order Markov chains

We derive an expression for the expected time for a pattern to appear in higher-order Markov chains with and without a starting sequence. This yields a result for directly calculating, the first time one of a collection of patterns appears, in addition to the probability, for each pattern, that it is the first to appear.     

Adjoint Coexhausters in Nonsmooth Analysis and Extremality Conditions

In the classical (“smooth”) mathematical analysis, a differentiable function is studied by means of the derivative (gradient in the multidimensional space). In the case of nondifferentiable functions, the tools of nonsmooth analysis are to be employed. In convex analysis and minimax theory, the corresponding classes of functions are investigated by means of the subdifferential (it is a convex set in the dual space), quasidifferentiable functions are treated via the notion of quasidifferential (which is a pair of sets). To study an arbitrary directionally differentiable function, the notions of upper and lower exhausters (each of them being a family of convex sets) are used. It turns out that conditions for a minimum are described by an upper exhauster, while conditions for a maximum are stated in terms of a lower exhauster. This is why an upper exhauster is called a proper one for the minimization problem (and an adjoint exhauster for the maximization problem) while a lower exhauster will be referred to as a proper one for the maximization problem (and an adjoint exhauster for the minimization problem). The directional derivatives (and hence, exhausters) provide first-order approximations of the increment of the function under study. These approximations are positively homogeneous as functions of direction. They allow one to formulate optimality conditions, to find steepest ascent and descent directions, to construct numerical methods. However, if, for example, the maximizer of the function is to be found, but one has an upper exhauster (which is not proper for the maximization problem), it is required to use a lower exhauster. Instead, one can try to express conditions for a maximum in terms of upper exhauster (which is an adjoint one for the maximization problem). The first to get such conditions was Roshchina. New optimality conditions in terms of adjoint exhausters were recently obtained by Abbasov. The exhauster mappings are, in general, discontinuous in the Hausdorff metric, therefore, computational problems arise. To overcome these difficulties, the notions of upper and lower coexhausters are used. They provide first-order approximations of the increment of the function which are not positively homogeneous any more. These approximations also allow one to formulate optimality conditions, to find ascent and descent directions (but not the steepest ones), to construct numerical methods possessing good convergence properties. Conditions for a minimum are described in terms of an upper coexhauster (which is, therefore, called a proper coexhauster for the minimization problem) while conditions for a maximum are described in terms of a lower coexhauster (which is called a proper one for the maximization problem). In the present paper, we derive optimality conditions in terms of adjoint coexhausters.     

Cooperative facility location games

The location of facilities in order to provide service for customers is a well-studied problem in the operations research literature. In the basic model, there is a predefined cost for opening a facility and also for connecting a customer to a facility, the goal being to minimize the total cost. Often, both in the case of public facilities (such as libraries, municipal swimming pools, fire stations, … ) and private facilities (such as distribution centers, switching stations, … ), we may want to find a ‘fair’ allocation of the total cost to the customers—this is known as the cost allocation problem. A central question in cooperative game theory is whether the total cost can be allocated to the customers such that no coalition of customers has any incentive to build their own facility or to ask a competitor to service them. We establish strong connections between fair cost allocations and linear programming relaxations for several variants of the facility location problem. In particular, we show that a fair cost allocation exists if and only if there is no integrality gap for a corresponding linear programming relaxation; this was only known for the simplest unconstrained variant of the facility location problem. Moreover, we introduce a subtle variant of randomized rounding and derive new proofs for the existence of fair cost allocations for several classes of instances. We also show that it is in general NP-complete to decide whether a fair cost allocation exists and whether a given allocation is fair.     

Semipermeable directions and transition surfaces of a class of differential games

In linear and circular planar differential games, each semipermeable direction, except in degenerate cases, must be a tangent vector to one of the two extreme circular vectograms. Necessary and sufficient conditions for a tangent vector to represent a semipermeable direction are then derived. These conditions not only yield necessary conditions for a velocity vector to be optimal but also give a necessary condition for a transition surface to occur. Several sufficient conditions are then given for a transition surface to happen. It is shown that the adjoint variables are usually not continuous at double transition surfaces, so the switching function need not vanish on singular surfaces.The author expresses his deep gratitude to his thesis advisor, Professor R. Isaacs, Johns Hopkins University, for his very stimulating direction of this research. This research was supported in part by the Center for Noval Analyses, University of Rochester, Rochester, New York.     

Speculative trading in mean reverting markets

Mean reversion is a feature largely recognized for the price processes of many financial securities and especially commodities. In the literature there are examples where some simple speculative strategies, before transaction costs, were devised to earn excess returns from such price processes. Actually, the gain opportunities of mean reversion must be corrected to account for transaction costs, which may represent a major issue. In this work we try to determine sufficient conditions for the parameters of a mean reverting price process as a function of transaction costs, to allow a speculative trader to have positive expectations when deciding to take a position. We estimate the mean reverting parameters for some commodities and correct them for transaction costs to assess whether the potential inefficiency is actually relevant for speculative purposes.     

Painlevé analysis of nonlinear evolution equations—an algorithmic method

This paper refines existing techniques into an algorithmic method for deriving the generalization of a Lax Pair directly from a general integrable nonlinear evolution equation via the use of truncated Painlevé expansions. The resulting algorithm is also applicable to multicomponent integrable systems, and is thus expected to be of great value for complicated variants of such systems in various applications areas. Although a related method has existed for simple scalar integrable evolution equations for many years now, nevertheless no systematic procedure has been given that would work in general for scalar as well as for multicomponent systems. The method presented here largely systematizes the necessary operations in applying the Painlevé method to a general integrable evolution equation or system of equations. We demonstrate that by following the concept of enforcing integrability at each step (referred to here as the Principle of Integrability), one is led to an appropriate generalization of a Lax Pair, although perhaps in nonlinear form, called a “Lax Complex”. One new feature of this procedure is that it utilizes, as needed, a technique from the well-known Estabrook–Wahlquist method for determining necessary integrating factors. The end result of this procedure is to obtain a Lax Complex, whose integrability condition will contain the original evolution equation as a necessary condition. This in itself is sufficient to ensure that the Lax Complex may be used to construct Bäcklund solutions of the evolution equation, to obtain Darboux Transformations, and also to obtain Hirota’s tau functions, in a manner analogous to the procedure for single component systems. The additional problem of finding a general procedure for the linearization of any Lax Complex is not treated in this paper. However, we do demonstrate that a particular technique, which can be derived self-consistently from the Painlevé–Bäcklund equations, has proven to be sufficient so far. The Nonlinear Schrödinger equation is used to illustrate the method, and then the method is applied to obtain, for the first time via the Painlevé method, a Lax Complex for the vector Manakov system. Limitations in the algorithm remain, especially for cases with more than one principal branch, and these are briefly mentioned as directions for future work.     

A systematic approximation for the equations governing convection–diffusion in a porous medium

In order to take into account thermal effects in flows through porous media, one makes ad hoc modifications to Darcy’s equation by appending a term that is similar to the one that is obtained in the Oberbeck–Boussinesq approximation for a fluid. In this short paper we outline a systematic procedure for obtaining an Oberbeck–Boussinesq type of approximation for the flow of a fluid through a porous medium. In addition to establishing the appropriate equation for a flow governed by Darcy’s equation, we proceed to obtain the approximations for flows governed by equations due to Forchheimer and Brinkman.