Title :
Bounded Support Vector Machines, Semidefinite
Author :
Li, Jianping ; Chen, Zhenyu ; Xu, Weixuan
Author_Institution :
Chinese Academy of Sciences, Beijing 100080, P.R.China
Abstract :
Credit risk assessment is a basic and critical factor in credit risk management. In addition to conventional statistical method, neural network, decision tree and Support Vector Machine are the popular methods in this field in recent years. However, they all have weakness in two aspects: poor classification accuracy for unbalanced data and poor interpretability in real applications. A novel method, called Least Squares Support Feature Machine (LS-SFM), is proposed to reduce the misclassification cost and achieve an interpretable model by introducing the single feature kernel and sampling method. One important character of LS-SFM is that it can deliver the significance of each feature to users Our experiment on a real credit card dataset shows good performance. LS-SFM outperforms some well-known methods in several aspects.
Keywords :
Costs; Decision trees; Kernel; Least squares methods; Neural networks; Risk management; Sampling methods; Statistical analysis; Support vector machine classification; Support vector machines; Credit Assessment; Feature Selection; Least Squares Support Feature Machine; Support Vector Machine;
Conference_Titel :
Data Mining Workshops, 2006. ICDM Workshops 2006. Sixth IEEE International Conference on
Conference_Location :
Hong Kong, China
Print_ISBN :
0-7695-2702-7
DOI :
10.1109/ICDMW.2006.37