Solving the mean-variance customer portfolio in Markov chains using iterated quadratic/Lagrange programming: A credit-card customer limits approach.
Emma M. SánchezJulio B. ClempnerAlexander S. PoznyakPublished in: Expert Syst. Appl. (2015)
Keyphrases
- credit card
- markov chain
- customer data
- payment scheme
- transactional data
- steady state
- probabilistic automata
- fraud detection
- state space
- markov processes
- electronic commerce
- transition probabilities
- multiple criteria linear programming
- portfolio selection
- finite state
- financial data
- bankruptcy prediction
- markov model
- customer satisfaction
- service times
- stationary distribution
- sensitive information
- commercial banks
- non stationary
- random walk
- dynamic programming
- payment systems
- pairwise
- social networks
- machine learning