A dynamic scorecard for monitoring baseline performance with application to tracking a mortgage portfolio

A principled technique for monitoring the performance of a consumer credit scorecard through time is derived from Kalman filtering. Standard approaches sporadically compare certain characteristics of the new applicants with those predicted from the scorecard. The new approach systematically updates the scorecard combining new applicant information with the previous best estimate. The dynamically updated scorecard is tracked through time and compared to limits calculated by sequential simulation from the baseline scorecard. The observation equation of the Kalman filter is tailored to take the results of fitting local scorecards by logistic regression to batches of new clients that arrive in the current time interval. The states in the Kalman filter represent the true or underlying score for each attribute in the card: the parameters of the logistic regression. Their progress in time is modelled by a random walk and the filter provides the best estimate of the scores using past and present information. We illustrate the technique using a commercial mortgage portfolio and the results indicate significant emerging deficiencies in the baseline scorecard.     

Completeness and compactness for varieties over a local field

This paper shows that for a local field K, a subfield k ⊂ K and a variety X over k, X is complete if and only if for every finite field extension Kʹ | K, the set X(Kʹ) is compact in its strong topology. The author likes to thank Florian Pop, Jakob Stix, Stefan Wewers, Gunther Cornelissen and his own parents for their support. Received: 13 April 2006     

Area,coarea, and approximation in <Emphasis Type="Italic">W</Emphasis><Superscript>1,1</Superscript>

Let Ω⊂ℝ ⁿ be an arbitrary open set. We characterize the space W ^1,1 _loc(Ω) using variants of the classical area and coarea formulas. We use these characterizations to obtain a norm approximation and trace theorems for functions in the space W ^1,1(ℝ ⁿ ).     

Group-valued measures on coarse-grained quantum logics

In [3] it was shown that a (real) signed measure on a cyclic coarse-grained quantum logic can be extended, as a signed measure, over the entire power algebra. Later ([9]) this result was re-proved (and further improved on) and, moreover, the non-negative measures were shown to allow for extensions as non-negative measures. In both cases the proof technique used was the technique of linear algebra. In this paper we further generalize the results cited by extending group-valued measures on cyclic coarse-grained quantum logics (or non-negative group-valued measures for lattice-ordered groups). Obviously, the proof technique is entirely different from that of the preceding papers. In addition, we provide a new combinatorial argument for describing all atoms of cyclic coarse-grained quantum logics.     

Choice of modelling technique for evaluating health care interventions

Economic evaluation, such as cost effectiveness analysis, provides a method for comparing healthcare interventions. These evaluations often use modelling techniques such as decision trees, Markov processes and discrete event simulations (DES). With the aid of examples from coronary heart disease, the use of these techniques in different health care situations is discussed. Guidelines for the choice of modelling technique are developed according to the characteristics of the health care intervention.The choice of modelling technique is shown to depend on the acceptance of the modelling technique, model ‘error’, model appropriateness, dimensionality and ease and speed of model development. Generally decision trees are suitable for acute interventions but they cannot model recursion and Markov models are suitable for simple chronic interventions. It is further recommended that population based models be used in order to provide health care outcomes for the likely cost, health benefits and cost effectiveness of the intervention. The population approach will complicate the construction of the model. DES will allow the modeller to construct more complex, dynamic and accurate systems but these may involve a corresponding increase in development time and expense. The modeller will need to make a judgement on the necessary complexity of the model in terms of interaction of individuals and model size and whether queuing for resources, resource constraints or the interactions between individuals are significant issues in the health care system.     

Mixed Elastico-Plasticity Problems with Partially Unknown Boundaries

In this paper,we study mixed elastico-plasticity problems in which part of the boundary is known,while the other part of the boundary is unknown and is a free boundary.Under certain conditions,this problemcan be transformed into a Riemann-Hilbert boundary value problem for analytic functions and a mixed boundaryvalue problem for complex equations.Using the theory of generalized analytic functions,the solvability of theproblem is discussed.     

Finding the best visualization of an ontology

An ontology is a classification model for a given domain. In information retrieval, ontologies are used to perform broad searches. An ontology can be visualized as nodes and edges. Each node represents an element and each edge a relation between a parent and a child element. Working with an ontology becomes easier with a visual representation. An idea is to use the expressive power of 3D representation to provide visualization for the user. In this paper, we propose a new method for positioning the elements of the visualized concept lattice in the 3D world based on operations research (OR) methods. One method uses a discrete location model to create an initial solution and we propose heuristic methods to further improve the visual result. We evaluate the visual results according to our success criteria and the feedback from users. Running times of the heuristic indicate that an improved version should be feasible for on-line processing and what-if analysis of ontologies.     

Texture and electronic activity of grain boundaries in Cu(In,Ga)Se2 thin films

The influence of different film textures on the electronic properties of polycrystalline Cu(In,Ga)Se₂ absorbers is studied by measuring the laterally resolved optoelectronic properties of differently textured Cu(In,Ga)Se₂ films with Kelvin probe force microscopy and cathodoluminescence. The grain boundaries in (112)- and (220/204)-textured films behave differently. The work-function profile measured with the Kelvin probe across a grain boundary in (112)-textured films shows a dip indicating positive charges at the grain boundaries. In panchromatic cathodoluminescence mappings in a transmission electron microscope, such grain boundaries appear dark, i.e. the strongly reduced luminescence indicates that the grain boundaries represent strong non-radiative recombination centers. In contrast, grain boundaries in (220/204)-textured films give rise to a dip or a step in the work function indicating slightly negative charge or neutrality. Cathodoluminescence is reduced at such grain boundaries, but less dramatically than in the (112)-textured case. However, when Na is present in the (220/204)-textured films, the grain boundaries are almost invisible in cathodoluminescence mappings. This strong passivating action of Na occurs only in the (220/204)-textured films, due to a particular grain-boundary population. In (112)-textured films and films without pronounced texture, this passivation effect is much less noticeable. PACS 73.50.Gr; 73.61.Ga; 78.60.Hk; 87.64.Dt     

Property (<Emphasis Type="Italic">T</Emphasis>) and rigidity for actions on Banach spaces

We study property (T) and the fixed-point property for actions on L ^p and other Banach spaces. We show that property (T) holds when L ² is replaced by L ^p (and even a subspace/quotient of L ^p ), and that in fact it is independent of 1≤p<∞. We show that the fixed-point property for L ^p follows from property (T) when 1<p< 2+ε. For simple Lie groups and their lattices, we prove that the fixed-point property for L ^p holds for any 1< p<∞ if and only if the rank is at least two. Finally, we obtain a superrigidity result for actions of irreducible lattices in products of general groups on superreflexive spaces. Bader partially supported by ISF grant 100146; Furman partially supported by NSF grants DMS-0094245 and DMS-0604611; Gelander partially supported by NSF grant DMS-0404557 and BSF grant 2004010; Monod partially supported by FNS (CH) and NSF (US).     

Risk and quality control in a supply chain: competitive and collaborative approaches

This paper provides a quantitative and comparative economic and risk approach to strategic quality control in a supply chain, consisting of one supplier and one producer, using a random payoff game. Such a game is first solved in a risk-neutral framework by assuming that both parties are competing with each other. We show in this case that there may be an interior solution to the inspection game. A similar analysis under a collaborative framework is shown to be trivial and not practical, with a solution to the inspection game being an ‘all or nothing’ solution to one or both the parties involved. For these reasons, the sampling random payoff game is transformed into a Neyman–Pearson risk constraints game, where the parties minimize the expected costs subject to a set of Neyman–Pearson risk (type I and type II) constraints. In this case, the number of potential equilibria can be large. A number of such solutions are developed and a practical (convex) approach is suggested by providing an interior (partial sampling) solution for the collaborative case. Numerical examples are developed to demonstrate the procedure used. Thus, unlike theoretical approaches to the solution of strategic quality control random payoff games, the approach we construct is both practical and consistent with the statistical risk Neyman–Pearson approach.