A MODIFIED LEAST SQUARES SUPPORT VECTOR MACHINE CLASSIFIER WITH APPLICATION TO CREDIT RISK ANALYSIS

doi:10.1142/S0219622009003600

CSpace > 系统科学研究所

	A MODIFIED LEAST SQUARES SUPPORT VECTOR MACHINE CLASSIFIER WITH APPLICATION TO CREDIT RISK ANALYSIS
	Yu, Lean 1,2; Wang, Shouyang1 ; Cao, Jie 3
	2009-12-01
发表期刊	INTERNATIONAL JOURNAL OF INFORMATION TECHNOLOGY & DECISION MAKING
ISSN	0219-6220
卷号	8 期号:4 页码:697-710
摘要	In this paper, a modified least squares support vector machine classifier, called the C-variable least squares support vector machine (C-VLSSVM) classifier, is proposed for credit risk analysis. The main idea of the proposed classifier is based on the prior knowledge that different classes may have different importance for modeling and more weight should be given to classes having more importance. The C-VLSSVM classifier can be obtained by a simple modification of the regularization parameter, based on the least squares support vector machine (LSSVM) classifier, whereby more weight is given to errors in classification of important classes, than to errors in classification of unimportant classes, while keeping the regularized terms in their original form. For illustration purpose, two real-world credit data sets are used to verify the effectiveness of the C-VLSSVM classifier. Experimental results obtained reveal that the proposed C-VLSSVM classifier can produce promising classification results in credit risk analysis, relative to other classifiers listed in this study.
关键词	Least squares support vector machine classifier regularization parameter prior knowledge credit risk analysis
DOI	10.1142/S0219622009003600
语种	英语
资助项目	National Natural Science Foundation of China ; RGC Joint Research Scheme ; Innovation Program of the Chinese Academy of Sciences ; Research Institute of Philosophies and Social Sciences in Hunan Universities
WOS研究方向	Computer Science ; Operations Research & Management Science
WOS类目	Computer Science, Artificial Intelligence ; Computer Science, Information Systems ; Computer Science, Interdisciplinary Applications ; Operations Research & Management Science
WOS记录号	WOS:000275348100004
出版者	WORLD SCIENTIFIC PUBL CO PTE LTD
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/7047
专题	系统科学研究所
通讯作者	Yu, Lean
作者单位	1.Chinese Acad Sci, Acad Math & Syst Sci, Inst Syst Sci, Beijing 100190, Peoples R China 2.Res Ctr Financial Engn & Financial Management, Changsha 410114, Hunan, Peoples R China 3.Nanjing Univ Informat Sci & Technol, Sch Econ & Management, Nanjing 210044, Peoples R China
推荐引用方式 GB/T 7714	Yu, Lean,Wang, Shouyang,Cao, Jie. A MODIFIED LEAST SQUARES SUPPORT VECTOR MACHINE CLASSIFIER WITH APPLICATION TO CREDIT RISK ANALYSIS[J]. INTERNATIONAL JOURNAL OF INFORMATION TECHNOLOGY & DECISION MAKING,2009,8(4):697-710.
APA	Yu, Lean,Wang, Shouyang,&Cao, Jie.(2009).A MODIFIED LEAST SQUARES SUPPORT VECTOR MACHINE CLASSIFIER WITH APPLICATION TO CREDIT RISK ANALYSIS.INTERNATIONAL JOURNAL OF INFORMATION TECHNOLOGY & DECISION MAKING,8(4),697-710.
MLA	Yu, Lean,et al."A MODIFIED LEAST SQUARES SUPPORT VECTOR MACHINE CLASSIFIER WITH APPLICATION TO CREDIT RISK ANALYSIS".INTERNATIONAL JOURNAL OF INFORMATION TECHNOLOGY & DECISION MAKING 8.4(2009):697-710.