Abstract
A Multi-Objective Evolutionary Algorithm (MOEA) was adapted in order to deal with problems of feature selection in data-mining. 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.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
References
Atiya, F.: Bankruptcy prediction for credit risk using neural networks: A survey and new results. IEEE Transactions on Neural Networks 12, 12–16 (2001)
Eisenbeis, R.A.: Pitfalls in the Application of Discriminant Analysis in Business, Finance and Economics. J. of Finance 32, 875–900 (1997)
Martin, D.: Early Warning of Bank Failure: A Logit Regression Approach. J. of Banking and Finance 1, 249–276 (1977)
Charitou, A., Neophytou, E., Charalambous, C.: Predicting corporate failure: empirical evidence for the UK. European Accounting Review 13, 465–497 (2004)
Neves, J.C., Vieira, A.S.: Improving Bankruptcy Prediction with Hidden Layer Learning Vector Quantization. European Accounting Review 15, 253–271 (2006)
Fan, A., Palaniswami, M.: Selecting bankruptcy predictors using a support vector machine approach. In: Proceedings of IJCNN 2000, pp. 354–359 (2000)
Coats, P.K., Fant, L.F.: Recognizing Financial Distress Patterns Using a Neural Network Tool. Financial Management 22, 142–155 (1993)
Yang, D.T.: Urban-biased policies and rising income inequality in China. American Economic Review Papers and Proceedings 89, 306–310 (1999)
Tan, C.N.W., Dihardjo, H.: A Study on Using Artificial Neural Networks to Develop an Early Warning Predictor for Credit Union Financial Distress with Comparison to the Probit Model. Managerial Finance 27, 56–77 (2001)
Vieira, A.S., Duarte, J., Ribeiro, B., Neves, J.C.: Accurate Prediction of Financial Distress of Companies with Machine Learning Algorithms. In: Kolehmainen, V., Toivanen, P., Beliczynski, B. (eds.) ICANNGA 2009. LNCS, vol. 5495, pp. 569–576. Springer, Heidelberg (2009)
Guyon, I., Gunn, S., Nikravesh, M., Zadeh, L.: Feature Extraction Foundations and Applications. Springer, Heidelberg (2006)
Bi, J.: Multi-Objective Programming in SVMs. In: Proceedings of the Twentieth International Conference on Machine Learning, ICML 2003, Washington, DC (2003)
Igel, C.: Multi-Objective Model Selection for Support Vector Machines. In: Coello Coello, C.A., Hernández Aguirre, A., Zitzler, E. (eds.) EMO 2005. LNCS, vol. 3410, pp. 534–546. Springer, Heidelberg (2005)
Oliveira, L.S., Morita, M., Sabourin, R.: Feature Selection for Ensembles Using the Multi-Objective Optimization Approach. SCI, pp. 49–74 (2006)
Hamdani, T.M., Won, J.-M., Alimi, A.M., Karray, F.: Multi-objective Feature Selection with NSGA II. In: Beliczynski, B., Dzielinski, A., Iwanowski, M., Ribeiro, B. (eds.) ICANNGA 2007. LNCS, vol. 4431, pp. 240–247. Springer, Heidelberg (2007)
Deb, K., Pratap, A., Agarwal, S., Meyarivan, T.: A fast and elitist multi-objective genetic algorithm: NSGA-II. IEEE Transaction on Evolutionary Computation 6, 181–197 (2002)
Alfaro-Cid, E., Castillo, P.A., Esparcia, A., Sharman, K., Merelo, J.J., Prieto, A., Mora, A.M., Laredo, J.L.J.: Comparing Multiobjective Evolutionary Ensembles for Minimizing Type I and II Errors for Bankruptcy Prediction. In: CEC 2008, Washington, USA, pp. 2907–2913 (2008)
Handl, J., Knowles, J.: Feature subset selection in unsupervised learning via multiobjective optimization. Int. J. of Computational Intelligence Research 2, 217–238 (2006)
Gaspar-Cunha, A., Mendes, F., Duarte, J., Vieira, A., Ribeiro, B., Ribeiro, A., Neves, J.: Feature Selection for Bankruptcy Prediction: A Multi-Objective Optimization Approach. Int. J. of Natural Computing Research 1, 71–79 (2010)
Kulkarni, A., Jayaraman, V.K., Kulkarni, B.D.: Support vector classification with parameter tuning assisted by agent-based technique. Computers and Chemical Engineering 28, 311–318 (2008)
Cortes, C., Vapnik, V.: Support-Vector Networks. Machine Learning 20, 273–297 (1995)
Chang, C.-C., Lin, C.-J.: LIBSVM a library for support vector machines (Tech. Rep.). Dept. of Computer Science and Information Engineering, National Taiwan University, Taipei, Taiwan (2000)
Caruana, R., Niculescu-Mizil, A.: Data Mining in Metric Space: An Empirical Analysis of Supervised Learning Performance Criteria. In: KDD 2004, Seattle, Washington, pp. 69–78 (2004)
Provost, F., Fawcet, T.: Analysis and Verification of Classifier Performance: Classification under Imprecise Class and Cost Distributions. In: KDD 1997, Menlo Park, CA, pp. 43–48 (1997)
Fawcet, T.: An introduction to ROC analysis. Pattern Recognition Letters 27, 861–874 (2006)
Deb, K.: Multi-Objective Optimization using Evolutionary Algorithms. Wiley, New York (2001)
Gaspar-Cunha, A., Covas, J.A.: RPSGAe - A Multiobjective Genetic Algorithm with Elitism: Application to Polymer Extrusion. In: Dorigo, M., Birattari, M., Blum, C., Gambardella, L.M., Mondada, F., Stützle, T. (eds.) ANTS 2004. LNCS, vol. 3172, pp. 221–249. Springer, Heidelberg (2004)
Gaspar-Cunha, A.: Modelling and Optimization of Single Screw Extrusion. Published doctoral dissertation, 2000. Lambert Academic Publishing, Köln (2009)
Fonseca, C., Fleming, P.J.: On the performance assessment and comparison of stochastic multiobjective optimizers. In: Ebeling, W., Rechenberg, I., Voigt, H.-M., Schwefel, H.-P. (eds.) PPSN 1996. LNCS, vol. 1141, pp. 584–593. Springer, Heidelberg (1996)
Knowles, J.D., Thiele, L., Zitzler, E.: A tutorial on the performance assessment of stochastive multiobjective optimizers. TIK-Report No. 214 (2006)
Fonseca, V.G., Fonseca, C., Hall, A.: Inferential performance assessment of stochastic optimisers and the attainment function. In: Zitzler, E., Deb, K., Thiele, L., Coello Coello, C.A., Corne, D.W. (eds.) EMO 2001. LNCS, vol. 1993, pp. 213–225. Springer, Heidelberg (2001)
López-Ibañez, M., Paquete, L., Stützle, T.: Hybrid population based algorithms for the bi-objective quadratic assignment problem. J. of Math. Modelling and Algorithms 5, 111–137 (2006)
Author information
Authors and Affiliations
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 2010 Springer-Verlag Berlin Heidelberg
About this paper
Cite this paper
Gaspar-Cunha, A. et al. (2010). Multi-Objective Evolutionary Algorithms for Feature Selection: Application in Bankruptcy Prediction. In: Deb, K., et al. Simulated Evolution and Learning. SEAL 2010. Lecture Notes in Computer Science, vol 6457. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-17298-4_33
Download citation
DOI: https://doi.org/10.1007/978-3-642-17298-4_33
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-642-17297-7
Online ISBN: 978-3-642-17298-4
eBook Packages: Computer ScienceComputer Science (R0)