Method and system for enhancing credit line management, price management and other discretionary levels setting for financial accounts

A data structure for implementing a transition matrix computationally in a plurality of sizes, the data structure comprising:

• a plurality of control branches, where each of the plurality of control branches is a member of a first bi-directionally linked list comprising:
• a plurality of control variables, a bi-directionally linked list of behavioral state nodes, and an array of action-specific destinations of the plurality of control variables;
• a plurality of behavior nodes, where each of the plurality of behavior nodes is a member of a second bi-directionally linked list comprising:
• a plurality of behavioral state variables, a plurality of arrays of financial metrics and simulation statistics, an array of action-specific destinations of the plurality of behavioral state variables, and a bi-directionally linked list of all behavioral transitions;
• and
• a plurality of transition probability nodes, where each of the plurality of transition probability nodes is a member of a third bi-directionally linked list comprising:
• a plurality of destination behavioral state variables, a list of destination pointers for behavior nodes that have non-zero transition probabilities, and a list of transition probability values of all destination points.

A computer readable medium having code for causing a processor to manage financial accounts, the computer readable medium comprising:

• code adapted to collect account data for a plurality of financial accounts, where the account data are associated with a plurality of variables;
• code adapted to establish at least one control variable and at least one behavior variable based on the plurality of variables;
• code adapted to determine a plurality of interval breakpoints for the at least one control variable and the at least one behavior variable;
• code adapted to define a plurality of account states based at least in part on the at least one control variable, the at least one behavior variable and the plurality of interval breakpoints;
• code adapted to form a transition matrix based at least in part on the account data and the plurality of account states;
• code adapted to generate a Markov Decision Process (MDP) model based at least in part on the transition matrix;
• and
• code adapted to use the Markov Decision Process model to effect a change in the at least one control variable resulting in a desired effect on the plurality of account states.

A system for managing financial accounts, the system comprising

• a data collection module for collecting account data for a plurality of financial accounts, where the account data are associated with a plurality of variables;
• an establishment module for establishing at least one control variable and at least one behavior variable based on the plurality of variables;
• a determination module for determining a plurality of interval breakpoints for the at least one control variable and the at least one behavior variable;
• a definition module for defining a plurality of account states based at least in part on the at least one control variable, the at least one behavior variable and the plurality of interval breakpoints;
• a formation module for forming a transition matrix based at least in part on the account data and the plurality of account states;
• a generation module for generating a Markov Decision Process (MDP) model based at least in part on the transition matrix;
• and
• a decision module for using the Markov Decision Process model to effect a change in the at least one control variable resulting in a desired effect on each of the plurality of account states.

A system for managing financial accounts, the system comprising:

• means for collecting account data for a plurality of financial accounts, where the account data are associated with a plurality of variables;
• means for establishing at least one control variable and at least one behavior variable based at least in part on the plurality of variables;
• means for determining a plurality of interval breakpoints for the at least one control variable and the at least one behavior variable;
• means for defining a plurality of account states based at least in part on the at least one control variable, the at least one behavior variable and the plurality of interval breakpoints;
• means for forming a transition matrix based at least in part on the account data and the plurality of account states;
• means for generating a Markov Decision Process (MDP) model based at least in part on the transition matrix;
• and
• means for using the Markov Decision Process model to effect a change in the at least one control variable resulting in a desired effect on each of the plurality of account states.

A method for managing financial accounts, where a Portfolio Control and Optimization model is represented as:

• 4 V t ⁡ ( x , y ) = { max a i ∈ A ⁡ ( x , y ) ⁢ r ⁡ ( x ± a i , y ) + β ⁢ ∑ j ∈ S ⁢ p ⁡ ( x ± a i , y ;
• j ) ⁢ V t + 1 ⁡ ( x ± a i , j ) if ⁢ ⁢ t = update ⁢ ⁢ epoch r ⁡ ( x , y ) + β ⁢ ∑ j ∈ S ⁢ ⁢ p ⁡ ( x , y ;
• j ) ⁢ V t + 1 ⁡ ( x , j ) otherwise V T ⁡ ( x , y ) = r ⁡ ( x , y )
• wherein,
• Vt(x, y) is the optimal discounted Net Present Value (NPV) in state (x,y) and time t;
• A(x, y) is a set of actions ai available in state (x,y);
• r(x,y) is the Net Cash Flow (NCF) in state (x,y);
• r(x±ai, y) is the Net Cash Flow (NCF) in state (x,y) when offset for the action ai taken;
• β is a one period discount factor;
• p(x±ai, y;
• j) is the transition probability that specifies the likelihood of moving to state j from the state (x±ai,y);
• S is the set of all states;
• and
• T is the time horizon for which the model is solved.