Optimization of nearest neighbor classifiers via metaheuristic algorithms for credit risk assessment |
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Authors: | Yannis Marinakis Magdalene Marinaki Michael Doumpos Nikolaos Matsatsinis Constantin Zopounidis |
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Institution: | (1) Decision Support Systems Laboratory Department of Production Engineering and Management, Technical University of Crete, 73100 Chania, Greece;(2) Industrial Systems Control Laboratory Department of Production Engineering and Management, Technical University of Crete, 73100 Chania, Greece;(3) Financial Engineering Laboratory Department of Production Engineering and Management, Technical University of Crete, 73100 Chania, Greece |
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Abstract: | The classification problem consists of using some known objects, usually described by a large vector of features, to induce
a model that classifies others into known classes. The present paper deals with the optimization of Nearest Neighbor Classifiers
via Metaheuristic Algorithms. The Metaheuristic Algorithms used include tabu search, genetic algorithms and ant colony optimization.
The performance of the proposed algorithms is tested using data from 1411 firms derived from the loan portfolio of a leading
Greek Commercial Bank in order to classify the firms in different groups representing different levels of credit risk. Also,
a comparison of the algorithm with other methods such as UTADIS, SVM, CART, and other classification methods is performed
using these data. |
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Keywords: | Metaheuristic algorithms Feature selection Classification Credit risk assessment |
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