An evolution strategy-based multiple kernels multi-criteria programming approach: The case of credit decision making
Li, JP; Wei, LW; Li, G; Xu, WX
2011
Source PublicationDECISION SUPPORT SYSTEMS
ISSN0167-9236
Volume51Issue:2Pages:7,292-298
AbstractCredit risk analysis has long attracted a great deal of attention from both academic researchers and practitioners. However, because of the recent financial crisis, this field continues to draw ever increasingly attention. A multiple kernels multi-criteria programming approach based on evolution strategy (ES-MK-MCP) is proposed for credit decision making in this study. We introduce a linear combination of kernel functions to enhance the interpretability of credit classification models, and propose an alternative to optimize the parameters based on the evolution strategy. For illustration purpose, two UCI credit card data sets are used to verify the effectiveness and feasibility of the proposed model. As the experimental results reveal, the proposed ES-MK-MCP model is an efficient tool for credit risk analysis, especially for decision makers to identify the most relevant features. (C) 2010 Elsevier B.V. All rights reserved.
KeywordMulti-criteria Programming Multiple Kernels Evolution Strategies Credit Risk Decision Making
Subject AreaComputer Science ; Artificial Intelligence ; Information Systems ; Computer Science ; Operations Research & Management Science
Indexed BySCI
Language英语
WOS IDWOS:000290193100006
Citation statistics
Cited Times:34[WOS]   [WOS Record]     [Related Records in WOS]
Document Type期刊论文
Identifierhttp://ir.casisd.cn/handle/190111/4289
Collection中国科学院科技政策与管理科学研究所(1985年6月-2015年12月)
Recommended Citation
GB/T 7714
Li, JP,Wei, LW,Li, G,et al. An evolution strategy-based multiple kernels multi-criteria programming approach: The case of credit decision making[J]. DECISION SUPPORT SYSTEMS,2011,51(2):7,292-298.
APA Li, JP,Wei, LW,Li, G,&Xu, WX.(2011).An evolution strategy-based multiple kernels multi-criteria programming approach: The case of credit decision making.DECISION SUPPORT SYSTEMS,51(2),7,292-298.
MLA Li, JP,et al."An evolution strategy-based multiple kernels multi-criteria programming approach: The case of credit decision making".DECISION SUPPORT SYSTEMS 51.2(2011):7,292-298.
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