scholarly journals Comparison of Profit-Based Multi-Objective Approaches for Feature Selection in Credit Scoring

Algorithms ◽  
2021 ◽  
Vol 14 (9) ◽  
pp. 260
Author(s):  
Naomi Simumba ◽  
Suguru Okami ◽  
Akira Kodaka ◽  
Naohiko Kohtake
Keyword(s):  
Feature Selection ◽  
Selection Process ◽  
Credit Scoring ◽  
Computational Time ◽  
Multi Objective Optimization ◽  
Multi Objective ◽  
Base Classifier ◽  
Grasshopper Optimization Algorithm ◽  
Specific Implementation ◽  
The Impact

Feature selection is crucial to the credit-scoring process, allowing for the removal of irrelevant variables with low predictive power. Conventional credit-scoring techniques treat this as a separate process wherein features are selected based on improving a single statistical measure, such as accuracy; however, recent research has focused on meaningful business parameters such as profit. More than one factor may be important to the selection process, making multi-objective optimization methods a necessity. However, the comparative performance of multi-objective methods has been known to vary depending on the test problem and specific implementation. This research employed a recent hybrid non-dominated sorting binary Grasshopper Optimization Algorithm and compared its performance on multi-objective feature selection for credit scoring to that of two popular benchmark algorithms in this space. Further comparison is made to determine the impact of changing the profit-maximizing base classifiers on algorithm performance. Experiments demonstrate that, of the base classifiers used, the neural network classifier improved the profit-based measure and minimized the mean number of features in the population the most. Additionally, the NSBGOA algorithm gave relatively smaller hypervolumes and increased computational time across all base classifiers, while giving the highest mean objective values for the solutions. It is clear that the base classifier has a significant impact on the results of multi-objective optimization. Therefore, careful consideration should be made of the base classifier to use in the scenarios.

Multi-objective design optimization of hybrid renewable systems using UGF

2015 ◽  
Vol 34 (6) ◽  
pp. 1825-1844 ◽  
Author(s):  
Carmen Delgado ◽  
José Antonio Domínguez-Navarro
Keyword(s):  
State Model ◽  
Computational Time ◽  
Renewable Generation ◽  
Multi Objective Optimization ◽  
Generation System ◽  
Hybrid Generation ◽  
Content Type ◽  
Multi Objective ◽  
The Cost ◽  
The Impact

Purpose – Renewable generation is a main component of most hybrid generation systems. However, randomness on its generation is a characteristic to be considered due to its direct impact on reliability and performance of these systems. For this reason, renewable generation usually is accompanied with other generation elements to improve their general performance. The purpose of this paper is to analyze the power generation system, composed of solar, wind and diesel generation and power outsourcing option from the grid as means of reserve source. A multi-objective optimization for the design of hybrid generation system is proposed, particularly using the cost of energy, two different reliability indexes and the percentage of renewable energy as objectives. Further, the uncertainty of renewable sources and demand is modeled with a new technique that permits to evaluate the reliability quickly. Design/methodology/approach – The multi-state model of the generators and the load is modeled with the Universal Generating Function (UGF) to estimate the reliability indexes for the whole system. Then an evolutionary algorithm NSGA-II (Non-dominated Sorting Genetic Algorithm) is used to solve the multi-objective optimization model. Findings – The use of UGF methodology reduces the computation time, providing effective results. The validation of reliability assessment of hybrid generation systems using the UGF is carried out taking as a benchmark the results obtained with the Monte Carlo simulation. The proposed multi-objective algorithm gives as a result different generators combinations that outline hybrid systems, where some of them could be preferred over others depending on its results for each independent objective. Also it allows us to observe the changes produced on the resulting solutions due to the impact of the power fluctuation of the renewable generators. Originality/value – The main contributions of this paper are: an extended multi state model that includes different types of renewable energies, with emphasis on modeling of solar energy; demonstrate the performance improvement of UGF against SMC regarding the computational time required for this case; test the impact of different multi-states numbers for the representation of the elements; depict through multi-objective optimization, the impact of combining different energies on the cost and reliability of the resultant systems.

Student Admission Assesment using Multi-Objective Optimization on the Basis of Ratio Analysis (MOORA)

2018 ◽  
Author(s):  
Rivalri Kristianto Hondro ◽  
Mesran Mesran ◽  
Andysah Putera Utama Siahaan
Keyword(s):  
Decision Support ◽  
Decision Support Systems ◽  
Support Systems ◽  
Selection Process ◽  
Initial Step ◽  
Optimization Method ◽  
Ratio Analysis ◽  
Multi Objective Optimization ◽  
Prospective Students ◽  
Multi Objective

Procurement selection process in the acceptance of prospective students is an initial step undertaken by private universities to attract superior students. However, sometimes this selection process is just a procedural process that is commonly done by universities without grouping prospective students from superior students into a class that is superior compared to other classes. To process the selection results can be done using the help of computer systems, known as decision support systems. To produce a better, accurate and objective decision result is used a method that can be applied in decision support systems. Multi-Objective Optimization Method by Ratio Analysis (MOORA) is one of the MADM methods that can perform calculations on the value of criteria of attributes (prospective students) that helps decision makers to produce the right decision in the form of students who enter into the category of prospective students superior.

scholarly journals Hybrid Harmony Search–Artificial Intelligence Models in Credit Scoring

Entropy ◽  
2020 ◽  
Vol 22 (9) ◽  
pp. 989
Author(s):  
Rui Ying Goh ◽  
Lai Soon Lee ◽  
Hsin-Vonn Seow ◽  
Kathiresan Gopal
Keyword(s):  
Artificial Intelligence ◽  
Feature Selection ◽  
Credit Scoring ◽  
Harmony Search ◽  
Model Performance ◽  
Hybrid Models ◽  
Performance Model ◽  
Computational Time ◽  
Support Vector ◽  
Artificial Intelligence Models

Credit scoring is an important tool used by financial institutions to correctly identify defaulters and non-defaulters. Support Vector Machines (SVM) and Random Forest (RF) are the Artificial Intelligence techniques that have been attracting interest due to their flexibility to account for various data patterns. Both are black-box models which are sensitive to hyperparameter settings. Feature selection can be performed on SVM to enable explanation with the reduced features, whereas feature importance computed by RF can be used for model explanation. The benefits of accuracy and interpretation allow for significant improvement in the area of credit risk and credit scoring. This paper proposes the use of Harmony Search (HS), to form a hybrid HS-SVM to perform feature selection and hyperparameter tuning simultaneously, and a hybrid HS-RF to tune the hyperparameters. A Modified HS (MHS) is also proposed with the main objective to achieve comparable results as the standard HS with a shorter computational time. MHS consists of four main modifications in the standard HS: (i) Elitism selection during memory consideration instead of random selection, (ii) dynamic exploration and exploitation operators in place of the original static operators, (iii) a self-adjusted bandwidth operator, and (iv) inclusion of additional termination criteria to reach faster convergence. Along with parallel computing, MHS effectively reduces the computational time of the proposed hybrid models. The proposed hybrid models are compared with standard statistical models across three different datasets commonly used in credit scoring studies. The computational results show that MHS-RF is most robust in terms of model performance, model explainability and computational time.

scholarly journals A multi-objective approach for profit-driven feature selection in credit scoring

2019 ◽  
Vol 120 ◽  
pp. 106-117 ◽  
Author(s):  
Nikita Kozodoi ◽  
Stefan Lessmann ◽  
Konstantinos Papakonstantinou ◽  
Yiannis Gatsoulis ◽  
Bart Baesens
Keyword(s):  
Feature Selection ◽  
Credit Scoring ◽  
Multi Objective ◽  
For Profit

scholarly journals Impact of Social Welfare Metrics on Energy Allocation in Multi-Objective Optimization

Energies ◽  
2020 ◽  
Vol 13 (11) ◽  
pp. 2961
Author(s):  
Anders Clausen ◽  
Aisha Umair ◽  
Yves Demazeau ◽  
Bo Nørregaard Jørgensen
Keyword(s):  
Resource Allocation ◽  
Social Welfare ◽  
Energy Demand ◽  
Optimal Allocation ◽  
Supply And Demand ◽  
Multi Objective Optimization ◽  
Multi Agent Systems ◽  
Multi Objective ◽  
Pareto Sets ◽  
The Impact

Resource allocation problems are at the core of the smart grid where energy supply and demand must match. Multi-objective optimization can be applied in such cases to find the optimal allocation of energy resources among consumers considering energy domain factors such as variable and intermittent production, market prices, or demand response events. In this regard, this paper considers consumer energy demand and system-wide energy constraints to be individual objectives and optimization variables to be the allocation of energy over time to each of the consumers. This paper considers a case in which multi-objective optimization is used to generate Pareto sets of solutions containing possible allocations for multiple energy intensive consumers constituted by commercial greenhouse growers. We consider the problem of selecting a final solution from these Pareto sets, one of maximizing the social welfare between objectives. Social welfare is a set of metrics often applied to multi-agent systems to evaluate the overall system performance. We introduce and apply social welfare ordering using different social welfare metrics to select solutions from these sets to investigate the impact of the type of social welfare metric on the optimization outcome. The results of our experiments indicate how different social welfare metrics affect the optimization outcome and how that translates to general resource allocation strategies.

scholarly journals Methodology to Solve the Multi-Objective Optimization of Acrylic Acid Production Using Neural Networks as Meta-Models

Processes ◽  
2020 ◽  
Vol 8 (9) ◽  
pp. 1184
Author(s):  
Geraldine Cáceres Sepulveda ◽  
Silvia Ochoa ◽  
Jules Thibault
Keyword(s):  
Neural Networks ◽  
Acrylic Acid ◽  
Performance Criteria ◽  
Computational Time ◽  
Multi Objective Optimization ◽  
Meta Model ◽  
Multi Objective ◽  
Pareto Domain ◽  
Computationally Intensive ◽  
Time Required

It is paramount to optimize the performance of a chemical process in order to maximize its yield and productivity and to minimize the production cost and the environmental impact. The various objectives in optimization are often in conflict, and one must determine the best compromise solution usually using a representative model of the process. However, solving first-principle models can be a computationally intensive problem, thus making model-based multi-objective optimization (MOO) a time-consuming task. In this work, a methodology to perform the multi-objective optimization for a two-reactor system for the production of acrylic acid, using artificial neural networks (ANNs) as meta-models, is proposed in an effort to reduce the computational time required to circumscribe the Pareto domain. The performance of the meta-model confirmed good agreement between the experimental data and the model-predicted values of the existent relationships between the eight decision variables and the nine performance criteria of the process. Once the meta-model was built, the Pareto domain was circumscribed based on a genetic algorithm (GA) and ranked with the net flow method (NFM). Using the ANN surrogate model, the optimization time decreased by a factor of 15.5.

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