Multi-objective evolutionary algorithms for feature selection: application in bankruptcy prediction

  • Authors:
  • António Gaspar-Cunha;Fernando Mendes;João Duarte;Armando Vieira;Bernardete Ribeiro;André Ribeiro;João Neves

  • Affiliations:
  • IPC, I3N, Institute of Polymers and Composites, University of Minho, Guimarães, Portugal;IPC, I3N, Institute of Polymers and Composites, University of Minho, Guimarães, Portugal;Department of Physics, Instituto Superior de Engenharia do Porto, Porto, Portugal;Department of Physics, Instituto Superior de Engenharia do Porto, Porto, Portugal;Department of Informatics Engineering, Center of Informatics and Systems, University of Coimbra, Coimbra, Portugal;ISEG School of Economics and Management, Technical University of Lisbon, Portugal;ISEG School of Economics and Management, Technical University of Lisbon, Portugal

  • Venue:
  • SEAL'10 Proceedings of the 8th international conference on Simulated evolution and learning
  • Year:
  • 2010

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Abstract

A Multi-Objective Evolutionary Algorithm (MOEA) was adapted in order to deal with problems of feature selection in datamining. The aim is to maximize the accuracy of the classifier and/or to minimize the errors produced while minimizing the number of features necessary. A Support Vector Machines (SVM) classifier was adopted. Simultaneously, the parameters required by the classifier were also optimized. The validity of the methodology proposed was tested in the problem of bankruptcy prediction using a database containing financial statements of 1200 medium sized private French companies. The results produced shown that MOEA is an efficient feature selection approach and the best results were obtained when the accuracy, the errors and the classifiers parameters are optimized.