Support Vector Machines for Credit Scoring and discovery of significant features

The assessment of risk of default on credit is important for financial institutions. Logistic regression and discriminant analysis are techniques traditionally used in credit scoring for determining likelihood to default based on consumer application and credit reference agency data. We test support vector machines against these traditional methods on a large credit card database. We find that they are competitive and can be used as the basis of a feature selection method to discover those features that are most significant in determining risk of default. 1

Markov Chain Analysis of Evolution Strategies on a Linear Constraint Optimization Problem

This paper analyses a $(1,\lambda)$-Evolution Strategy, a randomised comparison-based adaptive search algorithm, on a simple constraint optimisation problem. The algorithm uses resampling to handle the constraint and optimizes a linear function with a linear constraint. Two cases are investigated: first the case where the step-size is constant, and second the case where the step-size is adapted using path length control. We exhibit for each case a Markov chain whose stability analysis would allow us to deduce the divergence of the algorithm depending on its internal parameters. We show divergence at a constant rate when the step-size is constant. We sketch that with step-size adaptation geometric divergence takes place. Our results complement previous studies where stability was assumed.Comment: Amir Hussain; Zhigang Zeng; Nian Zhang. IEEE Congress on Evolutionary Computation, Jul 2014, Beijing, Chin

Discriminative Topological Features Reveal Biological Network Mechanisms

Recent genomic and bioinformatic advances have motivated the development of numerous random network models purporting to describe graphs of biological, technological, and sociological origin. The success of a model has been evaluated by how well it reproduces a few key features of the real-world data, such as degree distributions, mean geodesic lengths, and clustering coefficients. Often pairs of models can reproduce these features with indistinguishable fidelity despite being generated by vastly different mechanisms. In such cases, these few target features are insufficient to distinguish which of the different models best describes real world networks of interest; moreover, it is not clear a priori that any of the presently-existing algorithms for network generation offers a predictive description of the networks inspiring them. To derive discriminative classifiers, we construct a mapping from the set of all graphs to a high-dimensional (in principle infinite-dimensional) ``word space.'' This map defines an input space for classification schemes which allow us for the first time to state unambiguously which models are most descriptive of the networks they purport to describe. Our training sets include networks generated from 17 models either drawn from the literature or introduced in this work, source code for which is freely available. We anticipate that this new approach to network analysis will be of broad impact to a number of communities.Comment: supplemental website: http://www.columbia.edu/itc/applied/wiggins/netclass