CREDIT SCORING USING MULTI-KERNEL SUPPORT VECTOR MACHINE AND CHAOS PARTICLE SWARM OPTIMIZATION

摘要

Consumer credit scoring is considered as a crucial issue in the credit industry. SVM has been successfully utilized for classification in many areas including credit scoring. Kernel function is vital when applying SVM to classification problem for enhancing the prediction performance. Currently, most of kernel functions used in SVM are single kernel functions such as the radial basis function (RBF) which has been widely used. On the basis of the existing kernel functions, this paper proposes a multi-kernel function to improve the learning and generalization ability of SVM by integrating several single kernel functions. Chaos particle swarm optimization (CPSO) which is a kind of improved PSO algorithm is utilized to optimize parameters and to select features simultaneously. Two UCI credit data sets are used as the experimental data to evaluate the classification performance of the proposed method.