7,476 research outputs found
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
Support Vector Machines (SVM) as a Technique for Solvency Analysis
This paper introduces a statistical technique, Support Vector Machines (SVM), which is considered by the Deutsche Bundesbank as an alternative for company rating. A special attention is paid to the features of the SVM which provide a higher accuracy of company classification into solvent and insolvent. The advantages and disadvantages of the method are discussed. The comparison of the SVM with more traditional approaches such as logistic regression (Logit) and discriminant analysis (DA) is made on the Deutsche Bundesbank data of annual income statements and balance sheets of German companies. The out-of-sample accuracy tests confirm that the SVM outperforms both DA and Logit on bootstrapped samples.Company rating, bankruptcy analysis, support vector machines
Self-Adaptive Surrogate-Assisted Covariance Matrix Adaptation Evolution Strategy
This paper presents a novel mechanism to adapt surrogate-assisted
population-based algorithms. This mechanism is applied to ACM-ES, a recently
proposed surrogate-assisted variant of CMA-ES. The resulting algorithm,
saACM-ES, adjusts online the lifelength of the current surrogate model (the
number of CMA-ES generations before learning a new surrogate) and the surrogate
hyper-parameters. Both heuristics significantly improve the quality of the
surrogate model, yielding a significant speed-up of saACM-ES compared to the
ACM-ES and CMA-ES baselines. The empirical validation of saACM-ES on the
BBOB-2012 noiseless testbed demonstrates the efficiency and the scalability
w.r.t the problem dimension and the population size of the proposed approach,
that reaches new best results on some of the benchmark problems.Comment: Genetic and Evolutionary Computation Conference (GECCO 2012) (2012
How to Find More Supernovae with Less Work: Object Classification Techniques for Difference Imaging
We present the results of applying new object classification techniques to
difference images in the context of the Nearby Supernova Factory supernova
search. Most current supernova searches subtract reference images from new
images, identify objects in these difference images, and apply simple threshold
cuts on parameters such as statistical significance, shape, and motion to
reject objects such as cosmic rays, asteroids, and subtraction artifacts.
Although most static objects subtract cleanly, even a very low false positive
detection rate can lead to hundreds of non-supernova candidates which must be
vetted by human inspection before triggering additional followup. In comparison
to simple threshold cuts, more sophisticated methods such as Boosted Decision
Trees, Random Forests, and Support Vector Machines provide dramatically better
object discrimination. At the Nearby Supernova Factory, we reduced the number
of non-supernova candidates by a factor of 10 while increasing our supernova
identification efficiency. Methods such as these will be crucial for
maintaining a reasonable false positive rate in the automated transient alert
pipelines of upcoming projects such as PanSTARRS and LSST.Comment: 25 pages; 6 figures; submitted to Ap
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