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Development and application of consumer credit scoring models using profit-based V classification measures
http://dspace.utalca.cl/handle/1950/10060
Title: Development and application of consumer credit scoring models using profit-based V classification measures<br/><br/>Authors: Verbraken, T.; Bravo, C.; Weber, R.; Baesens, B.<br/><br/>Abstract: This paper presents a new approach for consumer credit scoring, by tailoring a profit-based classification performance measure to credit risk modeling. This performance measure takes into account the expected profits and losses of credit granting and thereby better aligns the model developers' objectives with those of the lending company. It is based on the Expected Maximum Profit (EMP) measure and is used to find a trade-off between the expected losses - driven by the exposure of the loan and the loss given default and the operational income given by the loan. Additionally, one of the major advantages of using the proposed measure is that it permits to calculate the optimal cutoff value, which is necessary for model implementation. To test the proposed approach, we use a dataset of loans granted by a government institution, and benchmarked the accuracy and monetary gain of using EMP, accuracy, and the area under the ROC curve as measures for selecting model parameters, and for determining the respective cutoff values. The results show that our proposed profit-based classification measure outperforms the alternative approaches in terms of both accuracy and monetary value in the test set, and that it facilitates model deployment. (C) 2014 Elsevier B.V. All rights reserved.<br/><br/>Description: Gomez, C (Gomez, Carlos); Bravo, C (Bravo, Cristian) Univ Talca, Dept Modelamiento & Gest Ind, Curico, ChileFri, 21 Nov 2014 21:12:18 GMTSingle-commodity robust network design problem: Complexity, instances and heuristic solutions
http://dspace.utalca.cl/handle/1950/10059
Title: Single-commodity robust network design problem: Complexity, instances and heuristic solutions<br/><br/>Authors: Alvarez-Miranda, E.; Cacchiani, V.; Lodi, A.; Parriani, T.; Schmidt, D.<br/><br/>Abstract: We study a single-commodity Robust Network Design problem (RND) in which an undirected graph with edge costs is given together with a discrete set of balance matrices, representing different supply/demand scenarios. In each scenario, a subset of the nodes is exchanging flow. The goal is to determine the minimum cost installation of capacities on the edges such that the flow exchange is feasible for every scenario. Previously conducted computational investigations on the problem motivated the study of the complexity of some special cases and we present complexity results on them, including hypercubes. In turn, these results lead to the definition of new instances (random graphs with {-1,0,1} balances) that are computationally hard for the natural flow formulation. These instances are then solved by means of a new heuristic algorithm for RND, which consists of three phases. In the first phase the graph representing the network is reduced by heuristically deleting a subset of the arcs, and a feasible solution is built. The second phase consists of a neighborhood search on the reduced graph based on a Mixed-Integer (Linear) Programming (MIP) flow model. Finally, the third phase applies a proximity search approach to further improve the solution, taking into account the original graph. The heuristic is tested on the new instances, and the comparison with the solutions obtained by Cplex on a natural flow formulation shows the effectiveness of the proposed method. (C) 2014 Elsevier B.V. All rights reserved.<br/><br/>Description: Alvarez-Miranda, E (Alvarez-Miranda, Eduardo)Univ Talca, DMGI, Curico, ChileFri, 21 Nov 2014 20:51:34 GMTOn the existence of non-monotone non-oscillating wavefronts
http://dspace.utalca.cl/handle/1950/10058
Title: On the existence of non-monotone non-oscillating wavefronts<br/><br/>Authors: Ivanov, A; Gomez, C.; Trofimchuk, S.<br/><br/>Abstract: We present a monostable delayed reaction diffusion equation with the unimodal birth function which admits only non-monotone wavefronts. Moreover, these fronts are either eventually monotone (in particular, such is the minimal wave) or slowly oscillating. Hence, for the Mackey-Glass type diffusive equations, we answer affirmatively the question about the existence of non-monotone non-oscillating wavefronts. As it was recently established by Hasik et al. and Ducrot et al., the same question has a negative answer for the KPP-Fisher equation with a single delay. (C) 2014 Elsevier Inc. All rights reserved.<br/><br/>Description: Gomez, C (Gomez, Carlos); Trofimchuk, S (Trofimchuk, Sergei)Univ Talca, Inst Matemat & FisFri, 21 Nov 2014 20:37:16 GMTOn the boundedness of generalized Cesaro operators on Sobolev spaces
http://dspace.utalca.cl/handle/1950/10057
Title: On the boundedness of generalized Cesaro operators on Sobolev spaces<br/><br/>Authors: Lizama, C.; Miana, PJ.; Ponce, R.; Sanchez-Lajusticia, L.<br/><br/>Abstract: For beta > 0 and p >= 1, the generalized Cesaro operator l(beta)f(t) := beta/t(beta)integral(t)(0)(t - s)(beta-1) f(s)ds and its companion operator l beta* defined on Sobolev spaces J(p)((alpha))(t(alpha)) and Jp((alpha))(vertical bar t vertical bar(alpha)) (where alpha >= 0 is the fractional order of derivation and are embedded in L-p(R+) and L-p(R) respectively) are studied. We prove that if p > 1, then l(beta) and l(beta)* are bounded operators and commute on J(p)((alpha))(t(alpha)) and J(p)((alpha))(vertical bar t vertical bar(alpha)) . We calculate explicitly their spectra sigma(l(beta)) and sigma(l(beta)(*)) and their operator norms (which depend on p). For 1 < p <= 2, we prove that <(l(beta)(f))over cap> = l(beta)*((f) over cap) and <(l(beta)*(f))over cap> = l(beta)((f) over cap) where (f) over cap denotes the Fourier transform of a function f is an element of L-p (R). (C) 2014 Elsevier Inc. All rights reserved.<br/><br/>Description: Ponce, R (Ponce, Rodrigo)Univ Talca, Inst Matemat & Fis, Talca, ChileFri, 21 Nov 2014 19:58:24 GMT