Relevance vector machine based infinite decision agent ensemble learning for credit risk analysis

Authors:
Shukai Li;Ivor W. Tsang;Narendra S. Chaudhari
Affiliations:
Centre for Computational Intelligence, Nanyang Technological University, Singapore;Centre for Computational Intelligence, Nanyang Technological University, Singapore;Department of Computer Science and Engineering, Indian Institute of Technology Indore, India
Venue:
Expert Systems with Applications: An International Journal
Year:
2012

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Abstract

In this paper, a relevance vector machine based infinite decision agent ensemble learning (RVM"I"d"e"a"l) system is proposed for the robust credit risk analysis. In the first level of our model, we adopt soft margin boosting to overcome overfitting. In the second level, the RVM algorithm is revised for boosting so that different RVM agents can be generated from the updated instance space of the data. In the third level, the perceptron Kernel is employed in RVM to simulate infinite subagents. Our system RVM"I"d"e"a"l also shares some good properties, such as good generalization performance, immunity to overfitting and predicting the distance to default. According to the experimental results, our proposed system can achieve better performance in term of sensitivity, specificity and overall accuracy.