Cost-based feature selection for support vector machines: an application in credit scoring

DOI10.1016/j.ejor.2017.02.037zbMath1403.90526OpenAlexW2593370983MaRDI QIDQ1753611

Xianqiang Yang

Publication date: 29 May 2018

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://eprints.soton.ac.uk/408556/1/paper_Risk_SVM_elsarticle.pdf

zbMATH Keywords

support vector machinesmixed-integer programmingfeature selectioncredit scoringanalytics

Mathematics Subject Classification ID

Mixed integer programming (90C11) Learning and adaptive systems in artificial intelligence (68T05) Financial applications of other theories (91G80) Credit risk (91G40)

Related Items (12)

A mixed integer linear programming support vector machine for cost-effective group feature selection: branch-cut-and-price approach ⋮ Tightening big Ms in integer programming formulations for support vector machines with ramp loss ⋮ Functional-bandwidth kernel for support vector machine with functional data: an alternating optimization algorithm ⋮ Cost-sensitive feature selection for support vector machines ⋮ Predicting loss severities for residential mortgage loans: a three-step selection approach ⋮ Unnamed Item ⋮ Evaluating and selecting features via information theoretic lower bounds of feature inner correlations for high-dimensional data ⋮ A kernel-free double well potential support vector machine with applications ⋮ A new hybrid classification algorithm for customer churn prediction based on logistic regression and decision trees ⋮ On support vector machines under a multiple-cost scenario ⋮ A maximum-margin multisphere approach for binary multiple instance learning ⋮ Unsupervised quadratic surface support vector machine with application to credit risk assessment

Uses Software

• UCI-ml
• SMOTE

Cites Work

• Development and application of consumer credit scoring models using profit-based classification measures
• Best subset selection via a modern optimization lens
• Feature selection for support vector machines via mixed integer linear programming
• Support vector data description
• Linear programming support vector machines
• Multi-group support vector machines with measurement costs: A biobjective approach
• Credit Scoring and Its Applications
• Gene selection for cancer classification using support vector machines
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