Financial distress prediction using support vector machines: Ensemble vs. individual

Financial distress prediction (FDP) is of great importance to both inner and outside parts of companies. Though lots of literatures have given comprehensive analysis on single classifier FDP method, ensemble method for FDP just emerged in recent years and needs to be further studied. Support vector machine (SVM) shows promising performance in FDP when compared with other single classifier methods. The contribution of this paper is to propose a new FDP method based on SVM ensemble, whose candidate single classifiers are trained by SVM algorithms with different kernel functions on different feature subsets of one initial dataset. SVM kernels such as linear, polynomial, RBF and sigmoid, and the filter feature selection/extraction methods of stepwise multi discriminant analysis (MDA), stepwise logistic regression (logit), and principal component analysis (PCA) are applied. The algorithm for selecting SVM ensemble's base classifiers from candidate ones is designed by considering both individual performance and diversity analysis. Weighted majority voting based on base classifiers’ cross validation accuracy on training dataset is used as the combination mechanism. Experimental results indicate that SVM ensemble is significantly superior to individual SVM classifier when the number of base classifiers in SVM ensemble is properly set. Besides, it also shows that RBF SVM based on features selected by stepwise MDA is a good choice for FDP when individual SVM classifier is applied.     

MCELCCh-FDP: Financial distress prediction with classifier ensembles based on firm life cycle and Choquet integral

Financial distress prediction (FDP) has always been an important issue in the business and financial management. This research proposed a novel multiple classifier ensemble model based on firm life cycle and Choquet integral for FDP, named MCELCCh-FDP, as a new approach to tackle with financial distress. Empirical study based on Chinese listed companies’ real data is conducted, and the results show that the proposed MCELCCh-FDP model has higher prediction accuracy than single classifiers. In order to verify the prediction capability of firm life cycle and Choquet integral in FDP model, comparative analysis is conducted. The experiment results indicate that the introduction of firm life cycle and Choquet integral in FDP can greatly enhance prediction accuracy.     

基于GAN-AdaBoost-DT不平衡分类算法的信用卡欺诈分类

针对传统单个分类器在不平衡数据上分类效果有限的问题，基于对抗生成网络（GAN）和集成学习方法，提出一种新的针对二类不平衡数据集的分类方法——对抗生成网络-自适应增强-决策树（GAN-AdaBoost-DT）算法。首先，利用GAN训练得到生成模型，生成模型生成少数类样本，降低数据的不平衡性；其次，将生成的少数类样本代入自适应增强（AdaBoost）模型框架，更改权重，改进AdaBoost模型，提升以决策树（DT）为基分类器的AdaBoost模型的分类性能。使用受测者工作特征曲线下面积（AUC）作为分类评价指标，在信用卡诈骗数据集上的实验分析表明，该算法与合成少数类样本集成学习相比，准确率提高了4.5%，受测者工作特征曲线下面积提高了6.5%；对比改进的合成少数类样本集成学习，准确率提高了4.9%，AUC值提高了5.9%；对比随机欠采样集成学习，准确率提高了4.5%，受测者工作特征曲线下面积提高了5.4%。在UCI和KEEL的其他数据集上的实验结果表明，该算法在不平衡二分类问题上能提高总体的准确率，优化分类器性能。     

一种用于中文主题分类的CSVM算法

提出一种新的级联支持向量机分类算法CSVM,结合AdaBoost算法框架与支持向量机(SVM)进行多分类处理。针对多分类问题中支持向量机处理样本数量多和计算时间过长的问题,引入最小闭合球算法对原始样本数据进行提取,以缩短SVM的训练时间。实验结果表明,CSVM算法具有与AdaBoost-SVM算法相似的精确度,而计算时间仅为AdaBoost-SVM算法的35%。     

基于SVM和AdaBoost的红外目标跟踪

为了提高目标跟踪的鲁棒性,提出了一种新的用于红外目标跟踪的DABSVT算法。该算法首先把目标跟踪转化为目标和背景的两类分类问题,然后将根据每一帧的正负样本训练的支持向量机(SVM)作为分量分类器,并通过恰当的参数调整策略,利用AdaBoost算法把这些分量分类器组合成一个总体分类器;接着利用该总体分类器来区分下一帧中的目标和背景,并得到置信图;最后通过均值漂移算法找到置信图的峰值,得到目标的新位置。该新位置不仅与目标和背景的变化相适应,而且分量分类器可以随时加入或丢掉。实验结果显示,该方法是鲁棒的。     

一种新的分类器选择集成算法

为提高集成分类器系统的分类性能,提出一种分类器选择集成算法MCC-SCEN。该算法选取基分类器集中具有最大互信息差异性的子集和最大个体分类能力的子集,以确定待扩展分类器集,选择具有较大混合分类能力的基分类器加入到待扩展集中,构成集成系统,进行加权投票并产生结果。实验结果表明,该方法优于经典的AdaBoost和Bagging方法,具有较高的分类准确率。     

Aggregative model-based classifier ensemble for improving land-use/cover classification of Landsat TM Images

This article proposes a new approach to improve the classification performance of remotely sensed images with an aggregative model based on classifier ensemble (AMCE). AMCE is a multi-classifier system with two procedures, namely ensemble learning and predictions combination. Two ensemble algorithms (Bagging and AdaBoost.M1) were used in the ensemble learning process to stabilize and improve the performance of single classifiers (i.e. maximum likelihood classifier, minimum distance classifier, back propagation neural network, classification and regression tree, and support vector machine (SVM)). Prediction results from single classifiers were integrated according to a diversity measurement with an averaged double-fault indicator and different combination strategies (i.e. weighted vote, Bayesian product, logarithmic consensus, and behaviour knowledge space). The suitability of the AMCE model was examined using a Landsat Thematic Mapper (TM) image of Dongguan city (Guangdong, China), acquired on 2 January 2009. Experimental results show that the proposed model was significantly better than the most accurate single classification (i.e. SVM) in terms of classification accuracy (i.e. from 88.83% to 92.45%) and kappa coefficient (i.e. from 0.8624 to 0.9088). A stepwise comparison illustrates that both ensemble learning and predictions combination with the AMCE model improved classification.     

一种面向不平衡数据的结构化SVM集成分类器

为改进面向不平衡数据的SVM分类器性能,以结构化SVM为基础,提出一种基于代价敏感的结构化支持向量机集成分类器模型.该模型首先通过训练样本的聚类,得到隐含在数据中的结构信息,并对样本进行初始加权.运用AdaBoost策略对各样本的权重进行动态调整,适当增大少数类样本的权重,使小类中误分的样本代价增大,以此来改进不平衡数据的分类性能.实验结果表明,该算法可有效提高不平衡数据的分类性能.     

Aggregating multiple classification results using Choquet integral for financial distress early warning

Financial distress prediction methods based on combination classifier become a rising trend in this field. This paper applies Choquet integral to ensemble single classifiers and proposes a Choquet integral-based combination classifier for financial distress early warning. Also, as the conditions between training and pattern recognition cannot be completely consistent, so this paper proposes an adaptive fuzzy measure by using the dynamic information in the single classifier pattern recognition results which is more reasonable than the static prior fuzzy density. Finally, a comparative analysis based on Chinese listed companies’ real data is conducted to verify prediction accuracy and stability of the combination classifier. The experiment results indicate that financial distress prediction using Choquet integral-based combination classifier has higher average accuracy and stability than single classifiers.     

平滑削边绝对偏离惩罚截断Hinge损失支持向量机的财务危机预报

针对传统支持向量机(SVM)分类存在对离群点敏感、支持向量(SV)个数多和分类面参数非稀疏的问题,提出了平滑削边绝对偏离(SCAD)惩罚截断Hinge损失SVM(SCAD-TSVM)算法,并将其用于构建财务预警模型,同时就该模型的求解设计了一个迭代更新算法。结合沪深股市A股制造业上市公司的财务数据进行实证分析,同时对比L1范数惩罚SVM、SCAD惩罚SVM和截断Hinge损失SVM(TSVM)构建的T-2和T-3模型,结果发现SCAD-TSVM构建的T-2和T-3模型都具有最好的稀疏性和最高的预报精度,而且其在不同训练样本数上的平均预测准确率都要比L1范数SVM(L1-SVM)、SCAD-SVM和TSVM算法的高。     

基于混淆矩阵和集成学习的分类方法研究

针对多分类问题,本文提出一种基于混淆矩阵和集成学习的分类方法。从模式间的相似性关系入手,基于混淆矩阵产生层次化分类器结构;以支持向量机(SVM)作为基本的两类分类器,对于分类精度不理想的SVM,通过AdaBoost算法对SVM分类器进行加权投票。以变电站环境监控中的目标识别为例(涉及到人、动物、普通火焰(红黄颜色火焰)、白色火焰、白炽灯),实现了变电站环境监控中的目标分类。实验表明,所提出的方法有效提高了分类精度。     

基于MCP惩罚的群组变量选择和AdaBoost集成剪枝

针对高维群组变量下的分类问题,本文提出了一种基于MCP惩罚的AdaBoost集成剪枝逻辑回归模型(AdaMCPLR),将MCP函数同时应用于特征选择和集成剪枝,在简化模型的同时有效地提升了预测精度.由于传统的坐标下降算法效率较低,本文引用并改进了PICASSO算法使其能够应用于群组变量选择,大大提高了模型的求解效率.通过模拟实验,发现AdaMCPLR方法的变量选择和分类预测效果均优于其他预测方法.最后,本文将提出的AdaMCPLR方法应用于我国上市公司财务困境预测中.     

Forecasting financial condition of Chinese listed companies based on support vector machine

Due to the radical changing and specialty of Chinese capital market, it is challenging to develop a powerful financial distress prediction model. In this paper, we first analyzed the feasibility of Chinese special-treated companies as distressed sample by using statistical methods. Then we developed a prediction model based on support vector machines (SVM) for an unmatched sample of Chinese high-tech manufacture companies. The grid-search technique using 10-fold cross-validation is used to find out the best parameter value of kernel function of SVM. The experiment results show that the proposed SVM model outperforms conventional statistical methods and back-propagation neural network. In general, SVM provides a robust model with high prediction accuracy for forecasting financial distress of Chinese listed companies. It is also suggested that Chinese special-treated event adopted as cut-off line has some effect on the prediction accuracy of the models.     

基于AdaBoost和匹配追踪的选择性集成算法

为了平衡集成学习中差异性和准确性的关系并提高学习系统的泛化性能, 提出一种基于AdaBoost 和匹配追踪的选择性集成算法. 其基本思想是将匹配追踪理论融合于AdaBoost 的训练过程中, 利用匹配追踪贪婪迭代的思想来最小化目标函数与基分类器线性组合之间的冗余误差, 并根据冗余误差更新AdaBoost 已训练基分类器的权重, 进而根据权重大小选择集成分类器成员. 在公共数据集上的实验结果表明, 该算法能够获得较高的分类精度.     

结合粗糙集与集成学习的中文文本分类方法研究

介绍中文文本分类的流程及相关技术。在分析传统的文本特征选择不足的基础上,提出了基于粗糙集与集成学习结合的文本分类方法,通过粗糙集进行文本的特征选择,采用一种集成学习算法AdaBoost.M1来提高弱分类器的分类性能,对中文文本进行分类。实验证明,这种算法分类结果的F1值比C4.5、kNN分类器都高,具有更加优良的分类性能。     

Financial distress prediction based on OR-CBR in the principle of k-nearest neighbors

Financial distress prediction including bankruptcy prediction has called broad attention since 1960s. Various techniques have been employed in this area, ranging from statistical ones such as multiple discriminate analysis (MDA), Logit, etc. to machine learning ones like neural networks (NN), support vector machine (SVM), etc. Case-based reasoning (CBR), which is one of the key methodologies for problem-solving, has not won enough focus in financial distress prediction since 1996. In this study, outranking relations (OR), including strict difference, weak difference, and indifference, between cases on each feature are introduced to build up a new feature-based similarity measure mechanism in the principle of k-nearest neighbors. It is different from traditional distance-based similarity mechanisms and those based on NN, fuzzy set theory, decision tree (DT), etc. Accuracy of the CBR prediction method based on OR, which is called as OR-CBR, is determined directly by such four types of parameters as difference parameter, indifference parameter, veto parameter, and neighbor parameter. It is described in detail that what the model of OR-CBR is from various aspects such as its developed background, formalization of the specific model, and implementation of corresponding algorithm. With three year’s real-world data from Chinese listed companies, experimental results indicate that OR-CBR outperforms MDA, Logit, NN, SVM, DT, Basic CBR, and Grey CBR in financial distress prediction, under the assessment of leave-one-out cross-validation and the process of Max normalization. It means that OR-CBR may be a preferred model dealing with financial distress prediction in China.     

基于AdaBoost的类不平衡学习算法

处理类不平衡数据时,少数类的边界实例非常容易被错分。为了降低类不平衡对分类器性能的影响,提出了自适应边界采样算法(AB-SMOTE)。AB-SMOTE算法对少数类的边界样本进行自适应采样,提高了数据集的平衡度和有效性。同时将AB-SMOTE算法与数据清理技术融合,形成基于AdaBoost的集成算法ABTAdaBoost。ABTAdaBoost算法主要包括三个阶段：第一个阶段对训练数据集采用AB-SMOTE算法,降低数据集的类不平衡度;第二个阶段使用Tomek links数据清理技术,清除数据集中的噪声和抽样方法产生的重叠样例,有效提高数据的可用性;第三个阶段使用AdaBoost集成算法生成一个基于N个弱分类器的集成分类器。实验分别以J48决策树和朴素贝叶斯作为基分类器,在12个UCI数据集上的实验结果表明：ABTAdaBoost算法的预测性能优于其它几种算法。     

基于相关性的AdaBoost人脸检测算法

为提高传统AdaBoost算法的集成性能,降低算法复杂度,提出2种基于分类器相关性的AdaBoost算法。在弱分类器的训练过程中,加入Q统计量进行判定。每个弱分类器的权重更新不仅与当前分类器有关,而且需要考虑到前面的若干分类器,以有效降低弱分类器间的相似性,剔除相似特征。仿真结果表明,该算法具有更好的检测率,同时可降低误检率,改进分类器的整体性能。     

基于内容的图像检索中SVM和Boosting方法集成应用

提出一种适用于图像内容检索的AdaBoostSVM算法。算法思想是采用支持向量机(SVM)作为AdaBoost算法的分量分类器;基于相关反馈检索机制,通过增加重要样本来模拟AdaBoost算法的权重调整方法。在包含2000幅图像的数据库中进行了检索实验,结果表明AdaBoostSVM算法能有效提高系统的检索性能。     

多标签代价敏感分类集成学习算法

尽管多标签分类问题可以转换成一般多分类问题解决,但多标签代价敏感分类问题却很难转换成多类代价敏感分类问题.通过对多分类代价敏感学习算法扩展为多标签代价敏感学习算法时遇到的一些问题进行分析,提出了一种多标签代价敏感分类集成学习算法.算法的平均错分代价为误检标签代价和漏检标签代价之和,算法的流程类似于自适应提升（Adaptive boosting,AdaBoost）算法,其可以自动学习多个弱分类器来组合成强分类器,强分类器的平均错分代价将随着弱分类器增加而逐渐降低.详细分析了多标签代价敏感分类集成学习算法和多类代价敏感AdaBoost算法的区别,包括输出标签的依据和错分代价的含义.不同于通常的多类代价敏感分类问题,多标签代价敏感分类问题的错分代价要受到一定的限制,详细分析并给出了具体的限制条件.简化该算法得到了一种多标签AdaBoost算法和一种多类代价敏感AdaBoost算法.理论分析和实验结果均表明提出的多标签代价敏感分类集成学习算法是有效的,该算法能实现平均错分代价的最小化.特别地,对于不同类错分代价相差较大的多分类问题,该算法的效果明显好于已有的多类代价敏感AdaBoost算法.