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Topic: Optimization Challenge
Replies: 1   Last Post: Nov 7, 2006 11:28 AM

 kenneth_m_lin@sbcglobal.net Posts: 102 Registered: 6/3/05
Re: Optimization Challenge
Posted: Nov 7, 2006 11:28 AM

Using common sense, you'd review the suspicious transactions with higher
dollar amounts first.

"Rob" <data_sleuth_2006@yahoo.com> wrote in message
>I have an optimization problem that I would appreciate some help on.
>
> First for the background...
>
> 1. I have millions of purchase transactions.
> 2. Each transaction is scored for its probability of being fraudulent.
> To keep things simple, we will say that a transaction that has a 63%
> chance of being fraudulent is scored 63, 22% is scored 22, etc., with
> the score ranging from 0 to 100.
> 3. Each transaction also has a dollar amount associated with it. As
> you might expect, this ranges from under one dollar to over a million
> dollars.
> 4. The distribution of the transactions by score is almost logarithmic
> in that for every high-risk transaction there are literally thousands
> of low risk transactions. In other words, the vast majority of
> transactions are not fraudulent.
>
> Now the objective...
>
> The objective is to:
> 1. Minimize the dollar amount of losses due to fraud.
> 2. While minimizing the number of transactions that must be reviewed.
>
> I have Base SAS 9.1.3 and SAS Stat available. Your thoughts are deeply
> appreciated.
>