An evolution strategy-based multiple kernels multi-criteria programming approach: The case of credit decision making

Credit risk analysis has long attracted a great deal of attention from both academic researchers and practitioners. However, because of the recent financial crisis, this field continues to draw ever increasingly attention. A multiple kernels multi-criteria programming approach based on evolution strategy (ES-MK-MCP) is proposed for credit decision making in this study. We introduce a linear combination of kernel functions to enhance the interpretability of credit classification models, and propose an alternative to optimize the parameters based on the evolution strategy. For illustration purpose, two UCI credit card data sets are used to verify the effectiveness and feasibility of the proposed model. As the experimental results reveal, the proposed ES-MK-MCP model is an efficient tool for credit risk analysis, especially for decision makers to identify the most relevant features.     

Multiple criteria optimization-based data mining methods and applications: a systematic survey

Support Vector Machine, an optimization technique, is well known in the data mining community. In fact, many other optimization techniques have been effectively used in dealing with data separation and analysis. For the last 10 years, the author and his colleagues have proposed and extended a series of optimization-based classification models via Multiple Criteria Linear Programming (MCLP) and Multiple Criteria Quadratic Programming (MCQP). These methods are different from statistics, decision tree induction, and neural networks. The purpose of this paper is to review the basic concepts and frameworks of these methods and promote the research interests in the data mining community. According to the evolution of multiple criteria programming, the paper starts with the bases of MCLP. Then, it further discusses penalized MCLP, MCQP, Multiple Criteria Fuzzy Linear Programming (MCFLP), Multi-Class Multiple Criteria Programming (MCMCP), and the kernel-based Multiple Criteria Linear Program, as well as MCLP-based regression. This paper also outlines several applications of Multiple Criteria optimization-based data mining methods, such as Credit Card Risk Analysis, Classification of HIV-1 Mediated Neuronal Dendritic and Synaptic Damage, Network Intrusion Detection, Firm Bankruptcy Prediction, and VIP E-Mail Behavior Analysis.     

准则关联的直觉模糊多准则决策方法

针对准则值为直觉三角模糊数,准则间相互关联的多准则决策问题,提出基于Choquet分的决策方法．该方法首先利用偏好函数定义方案在各准则下的优序关系,若模糊测度已知,则直接利用Choquet积分进行求解;若准则集上的模糊测度未知,则利用部分决策信息和最小方差法建立二次规划模型,求解模糊测度,再利用Choquet分进行决策．最后通过实例表明了该方法的有效性和可行性．     

Prioritized multi-criteria decision making based on preference relations

There may exist priority relationships among criteria in multi-criteria decision making (MCDM) problems. This kind of problems, which we focus on in this paper, are called prioritized MCDM ones. In order to aggregate the evaluation values of criteria for an alternative, we first develop some weighted prioritized aggregation operators based on triangular norms (t-norms) together with the weights of criteria by extending the prioritized aggregation operators proposed by Yager (Yager, R. R. (2004). Modeling prioritized multi-criteria decision making. IEEE Transactions on Systems, Man, and Cybernetics, 34, 2396–2404). After discussing the influence of the concentration degrees of the evaluation values with respect to each criterion to the priority relationships, we further develop a method for handling the prioritized MCDM problems. Through a simple example, we validate that this method can be used in more wide situations than the existing prioritized MCDM methods. At length, the relationships between the weights associated with criteria and the preference relations among alternatives are explored, and then two quadratic programming models for determining weights based on multiplicative and fuzzy preference relations are developed.     

Applying genetic programming technique in classification trees

Classification problems are often encountered in many applications. In the past, classification trees were often generated by decision-tree methods and commonly used to solve classification problems. In this paper, we have proposed an algorithm based on genetic programming to search for an appropriate classification tree according to some criteria. The classification tree obtained can be transferred into a rule set, which can then be fed into a knowledge base to support decision making and facilitate daily operations. Two new genetic operators, elimination and merge, are designed in the proposed approach to remove redundancy and subsumption, thus producing more accurate and concise decision rules than that without using them. Experimental results from the credit card data also show the feasibility of the proposed algorithm.     

A web-based decision support system for multi-criteria inventory classification using fuzzy AHP methodology

We propose an inventory classification system based on the fuzzy analytic hierarchy process (AHP), a commonly used tool for multi-criteria decision making problems. We integrate fuzzy concepts with real inventory data and design a decision support system assisting a sensible multi-criteria inventory classification. We report on a study conducted in a small electrical appliances company and validate the design of the proposed multi-criteria inventory classification system and its underlying fuzzy AHP model.     

Adaptive linguistic weighted aggregation operators for multi-criteria decision making

In this paper, we propose new aggregation operators for multi-criteria decision making under linguistic settings. The proposed operators are based on two sets of criteria weights. Besides the primary conventional criteria weights, we introduce a method to deduce secondary criteria weights from the criteria evaluations, which reflect the role of the different criteria in discriminating among the alternatives. The properties of the proposed operators are investigated. An approach for the application of the said operators in a group multi-criteria decision making problem is presented. Following the same, the proposed operators are applied in a case study on supplier selection. The empirical validation of the proposed operators is performed on a set of 12 real datasets.Note: All usages of he, him, his in the paper, also refer to she, and her.     

基于直觉模糊数的信息不完全的多准则规划方法

定义了直觉模糊数和直觉梯形模糊数及其期望值.针对权系数信息不完全确定和准则值为直觉梯形模糊数的多准则决策问题,提出了信息不完全确定的直觉梯形模糊多准则决策的规划方法.该方法利用权系数的不完全信息构造方案集综合期望值的最优线性规划模型,求解该模型得到各准则的最优权系数,进而得到各方案综合期望值的区间数.利用区间数可能度法对其进行比较,得到整个方案集的排序.实例分析说明了该方法的有效性和可行性.     

Credit scoring with a data mining approach based on support vector machines

The credit card industry has been growing rapidly recently, and thus huge numbers of consumers’ credit data are collected by the credit department of the bank. The credit scoring manager often evaluates the consumer’s credit with intuitive experience. However, with the support of the credit classification model, the manager can accurately evaluate the applicant’s credit score. Support Vector Machine (SVM) classification is currently an active research area and successfully solves classification problems in many domains. This study used three strategies to construct the hybrid SVM-based credit scoring models to evaluate the applicant’s credit score from the applicant’s input features. Two credit datasets in UCI database are selected as the experimental data to demonstrate the accuracy of the SVM classifier. Compared with neural networks, genetic programming, and decision tree classifiers, the SVM classifier achieved an identical classificatory accuracy with relatively few input features. Additionally, combining genetic algorithms with SVM classifier, the proposed hybrid GA-SVM strategy can simultaneously perform feature selection task and model parameters optimization. Experimental results show that SVM is a promising addition to the existing data mining methods.     

基于区间梯形二型犹豫模糊数的多准则决策方法

针对准则权重不完全的犹豫模糊多准则决策问题,提出基于区间梯形二型犹豫模糊数的决策方法.首先,给出区间梯形二型犹豫模糊数,根据几何面积法定义区间梯形二型犹豫模糊数的可能度和差异度;然后,利用差异度和离差最大化模型得到各准则权重,基于TOPSIS思想得到各方案的综合贴近度,并对方案进行排序;最后,通过算例分析和对比分析验证了所提出方法的可行性和有效性.     

基于模糊多属性决策的多维时序信用风险评价建模

针对属性权重完全未知且数据为多维时序的信用风险评价问题,提出基于多属性决策与模糊聚类相结合的混杂信用风险评价建模方法.该方法使用离差最大化方法和二次规划模型得出指标属性的综合权重,对受评样本在各时点上进行多属性决策得到决策评分,再通过决策评分矩阵进行模糊聚类,并对结果进行了有效性验证.最后通过实例验证,证明该方法具有可行性和有效性.     

一种信息不完全确定的多准则分类决策方法

针对准则权系数信息不完全确定和准则值信息不完全且有训练集的多准则分类决策问题,提出一种基于证据推理的分类方法,该方法在对训练集分类的基础上,结合不完全确定的准则权系数信息等建立非线性规划模型;然后利用遗传算法和单纯形法联合求解优化模型,得出准则权系数和分类效用阈值等参数,进而求出每一方案的效用值;最后与分类的效用阈值进行比较,得到方案集的分类．应用实例说明了该方法的有效性和可行性。     

基于多目标数学规划的网络入侵检测方法

多分类模型常用于解决诸如信用卡客户分析和疾病诊断预测等具有多类情况的现实问题.网络安全中的攻击形式有很多种,这为多分类问题的研究成果提供了很好的应用背景.事实上,如果把建立防火墙来拦截网络攻击看作被动的防御,人们更希望通过借助对网络攻击者行为的分析去进行主动的防御.借助数据挖掘中解决分类问题的基本思想,提出了用多目标数学规划(multi-criteria mathematical programming, MCMP)模型分析多类网络攻击行为的方法.与直接寻找凸规划问题最优解方法不同,该方法通过对相关矩阵的直接运算寻找最优解,大大降低了问题求解的难度.进一步,运用e-支持向量的概念,可以实现对大规模应用问题的计算.同时,使用了核技巧来解决非线性可分的问题.基于一个新近已知的NSL-KDD网络入侵数据集,通过数值实验证实了所提模型可以有效解决网络入侵中的多分类问题,同时达到较高的分类精度和较低的错误报警率.     

A novel hybrid classification model of artificial neural networks and multiple linear regression models

The classification problem of assigning several observations into different disjoint groups plays an important role in business decision making and many other areas. Developing more accurate and widely applicable classification models has significant implications in these areas. It is the reason that despite of the numerous classification models available, the research for improving the effectiveness of these models has never stopped. Combining several models or using hybrid models has become a common practice in order to overcome the deficiencies of single models and can be an effective way of improving upon their predictive performance, especially when the models in combination are quite different. In this paper, a novel hybridization of artificial neural networks (ANNs) is proposed using multiple linear regression models in order to yield more general and more accurate model than traditional artificial neural networks for solving classification problems. Empirical results indicate that the proposed hybrid model exhibits effectively improved classification accuracy in comparison with traditional artificial neural networks and also some other classification models such as linear discriminant analysis (LDA), quadratic discriminant analysis (QDA), K-nearest neighbor (KNN), and support vector machines (SVMs) using benchmark and real-world application data sets. These data sets vary in the number of classes (two versus multiple) and the source of the data (synthetic versus real-world). Therefore, it can be applied as an appropriate alternate approach for solving classification problems, specifically when higher forecasting accuracy is needed.     

Credit scoring with a data mining approach based on support vector machines

The credit card industry has been growing rapidly recently, and thus huge numbers of consumers’ credit data are collected by the credit department of the bank. The credit scoring manager often evaluates the consumer’s credit with intuitive experience. However, with the support of the credit classification model, the manager can accurately evaluate the applicant’s credit score. Support Vector Machine (SVM) classification is currently an active research area and successfully solves classification problems in many domains. This study used three strategies to construct the hybrid SVM-based credit scoring models to evaluate the applicant’s credit score from the applicant’s input features. Two credit datasets in UCI database are selected as the experimental data to demonstrate the accuracy of the SVM classifier. Compared with neural networks, genetic programming, and decision tree classifiers, the SVM classifier achieved an identical classificatory accuracy with relatively few input features. Additionally, combining genetic algorithms with SVM classifier, the proposed hybrid GA-SVM strategy can simultaneously perform feature selection task and model parameters optimization. Experimental results show that SVM is a promising addition to the existing data mining methods.     

Computational time reduction for credit scoring: An integrated approach based on support vector machine and stratified sampling method

With the rapid growth of credit industry, credit scoring model has a great significance to issue a credit card to the applicant with a minimum risk. So credit scoring is very important in financial firm like bans etc. With the previous data, a model is established. From that model is decision is taken whether he will be granted for issuing loans, credit cards or he will be rejected. There are several methodologies to construct credit scoring model i.e. neural network model, statistical classification techniques, genetic programming, support vector model etc. Computational time for running a model has a great importance in the 21st century. The algorithms or models with less computational time are more efficient and thus gives more profit to the banks or firms. In this study, we proposed a new strategy to reduce the computational time for credit scoring. In this approach we have used SVM incorporated with the concept of reduction of features using F score and taking a sample instead of taking the whole dataset to create the credit scoring model. We run our method two real dataset to see the performance of the new method. We have compared the result of the new method with the result obtained from other well known method. It is shown that new method for credit scoring model is very much competitive to other method in the view of its accuracy as well as new method has a less computational time than the other methods.     

基于直觉梯形模糊数的信息不完全确定的多准则决策方法

针对权系数信息不完全确定和准则值为直觉梯形模糊数的多准则决策问题,提出一种基于直觉梯形模糊的信息不完全确定的多准则决策方法.该方法利用权系数的不完全确定信息,建立关于各方案综合直觉梯形模糊数与理想解和负理想解的Hamming距离的优化模型.通过求解优化模型可得到各准则的最优权系数,进而得到各方案与相对理想解的贴近度,再根据贴近度得到方案集的一个排序.实例分析表明了该方法的有效性和可行性.     

DISCRIMINANT ANALYSIS OF MULTI-DIMENSIONAL INTERVAL DATA AND ITS APPLICATION TO CHEMICAL SENSING

A conventional discriminant problem is to determine a discriminant function, which maps a point in a multi-dimensional feature space to a point in a one-dimensional decision space, using a set of labeled (known classification) samples. In many cases, attribute values of each sample are not constant but fluctuating with time. In this paper, we represent the fluctuating attribute values of each sample by an interval vector in the feature space, and propose a discriminant method for a set of interval vectors. The proposed method is based on a linear interval model which maps an interval vector in the feature space to an interval in the decision space. A mathematical programming problem is formulated to determine the coefficients of this model. We also propose a set of discriminant rules to discriminate unknown samples. The proposed method is applied to a smell sensing problem.     

An integrated DEMATEL and Fuzzy ANP techniques for evaluation and selection of outsourcing provider for a telecommunication company

In recent years, strategy aspects related to core competency, risk analysis and organizational flexibility especially have been growing. This trend has led researchers and industries to become more interested in the multi-criteria decision making (MCDM) models for selecting outsourcing providers. The efficiency of decision-making mostly depends on the ability of decision-makers analyzing the complex cause and effect relationship between criteria and taking effective actions based on the analysis. Using an analytical method to select the most eligible outsourcing provider is significant for a company which desires to improve its competitiveness. In this study, a fuzzy integrated multi-criteria decision making method for evaluation and determination of an outsourcing provider for a telecommunication company is analyzed by using DEMATEL and Fuzzy ANP multi-criteria decision making techniques. First, DEMATEL method is used in order to put forward the interrelationship among the main criteria which are determined in the study for outsourcing selection process. Then, local weights of the sub-criteria and sub-subcriteria are calculated by Fuzzy ANP approach on the basis of cause-effect relationships that are exposed through DEMATEL method. The local weights are put into ANP supermatrix, and calculations are implemented to select out the most eligible outsourcing provider.     

Leveraging technological knowledge transfer by using fuzzy linear programming technique for multiattribute group decision making with fuzzy decision variables

Despite the importance of knowledge transfer for firms involved in foreign direct investment activities, this area has not received appropriate attention from the perspectives of both the knowledge transferor (i.e., MNC parent) and the knowledge recipient. To fill in the gap in the current literature we propose a model to understand the links between criteria complicating the transfer of knowledge and preferences that the company has to focus. This model is based on both the existing literature as well as views of company representatives and provides a useful methodology for identifying decision making problems on the transfer of knowledge. In this paper, we investigate the fuzzy linear programming technique (FLP) to analyze these links and for multiple attribute group decision making (MAGDM) problems with preference information on criteria. To reflect the decision maker’s subjective preference information and to determine the weight vector of attributes, the technique for order preference by similarity to ideal solution (TOPSIS) developed by Hwang and Yoon (1995) and the linear programming technique for multidimensional analysis of preference (LINMAP) developed by Sirinivasan and Shocker (Psychometrica 38:337–369, 1973) are used.