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Credit risk evaluation using adaptive Lq penalty SVM with Gauss kernel
  • 期刊名称:Journal of Southeast University
  • 时间:0
  • 页码:33-36
  • 语言:中文
  • 分类:F830.4[经济管理—金融学]
  • 作者机构:[1] Institute of Policy and Management, Chinese Academy of Sciences, Beijing 100190, China, [2] Graduate School, Chinese Academy of Sciences, Beijing 100039, China
  • 相关基金:The National Natural Science Foundation of China (No.70531040);; the National Basic Research Program of China (973 Program) (No.2004CB720103)
  • 相关项目:数据挖掘与智能知识管理:理论与应用研究
中文摘要:

In order to improve the performance of support vector machine (SVM) applications in the field of credit risk evaluation, an adaptive Lq SVM model with Gauss kernel (ALqG-SVM) is proposed to evaluate credit risks. The non-adaptive penalty of the object function is extended to (0, 2] to increase classification accuracy. To further improve the generalization performance of the proposed model, the Gauss kernel is introduced, thus the non-linear classification problem can be linearly separated in higher dimensio...

英文摘要:

In order to improve the performance of support vector machine (SVM) applications in the field of credit risk evaluation, an adaptive Lq SVM model with Gauss kernel (ALqG-SVM) is proposed to evaluate credit risks. The non-adaptive penalty of the object function is extended to (0, 2] to increase classification accuracy. To further improve the generalization performance of the proposed model, the Gauss kernel is introduced, thus the non-linear classification problem can be linearly separated in higher dimensio...

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