Evolution strategy based adaptive L q penalty support vector machines with Gauss kernel for credit risk analysis

Jianping Li, Gang Li, Dongxia Sun, Cheng Few Lee

Research output: Contribution to journalArticlepeer-review

17 Scopus citations

Abstract

Credit risk analysis has long attracted great attention from both academic researchers and practitioners. However, the recent global financial crisis has made the issue even more important because of the need for further enhancement of accuracy of classification of borrowers. In this study an evolution strategy (ES) based adaptive L q SVM model with Gauss kernel (ES-AL qG-SVM) is proposed for credit risk analysis. Support vector machine (SVM) is a classification method that has been extensively studied in recent years. Many improved SVM models have been proposed, with non-adaptive and pre-determined penalties. However, different credit data sets have different structures that are suitable for different penalty forms in real life. Moreover, the traditional parameter search methods, such as the grid search method, are time consuming. The proposed ES-based adaptive L q SVM model with Gauss kernel (ES-AL qG-SVM) aims to solve these problems. The non-adaptive penalty is extended to (0, 2] to fit different credit data structures, with the Gauss kernel, to improve classification accuracy. For verification purpose, two UCI credit datasets and a real-life credit dataset are used to test our model. The experiment results show that the proposed approach performs better than See5, DT, MCCQP, SVM light and other popular algorithms listed in this study, and the computing speed is greatly improved, compared with the grid search method.

Original languageEnglish (US)
Pages (from-to)2675-2682
Number of pages8
JournalApplied Soft Computing Journal
Volume12
Issue number8
DOIs
StatePublished - Aug 2012

All Science Journal Classification (ASJC) codes

  • Software

Keywords

  • Adaptive penalty
  • Credit risk classification
  • Evolution strategy
  • Support vector machine

Fingerprint

Dive into the research topics of 'Evolution strategy based adaptive L q penalty support vector machines with Gauss kernel for credit risk analysis'. Together they form a unique fingerprint.

Cite this