Variable selection in classification model via quadratic programming |
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Authors: | Jun Huang Wei Wang |
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Affiliation: | 1. Department of Management and Marketing, College of Business, Angelo State University, San Angelo, Texas, USA;2. Department of Management, College of Economics and Management, Changan University, XiAn, China |
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Abstract: | Variable selection is an important decision process in consumer credit scoring. However, with the rapid growth in credit industry, especially, after the rising of e-commerce, a huge amount of information on customer behavior is available to provide more informative implication of consumer credit scoring. In this study, a hybrid quadratic programming model is proposed for consumer credit scoring problems by variable selection. The proposed model is then solved with a bisection method based on Tabu search algorithm (BMTS), and the solution of this model provides alternative subsets of variables in different sizes. The final subset of variables used in consumer credit scoring model is selected based on both the size (number of variables in a subset) and predictive (classification) accuracy rate. Simulation studies are used to measure the performances of the proposed model, illustrating its effectiveness for simultaneous variable selection as well as classification. |
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Keywords: | Artificial intelligent Bisection method Consumer credit scoring Quadratic programming Tabu search variable selection |
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