A new multi-criteria convex quadratic programming model for credit analysis
文献类型：期刊论文
| 作者 | Kou, Gang; Peng, Yi; Shi, Yong; Chen, Zhengxin |
| 刊名 | Computational science - iccs 2006, pt 4, proceedings
 |
| 出版日期 | 2006 |
| 卷号 | 3994页码:476-484 |
| 关键词 | Credit analysis Classification Mathematical programming Multicriteria decision making |
| ISSN号 | 0302-9743 |
| 通讯作者 | Peng, yi(ypeng@mail.unomaha.edu) |
| 英文摘要 | Mathematical programming based methods have been applied to credit risk analysis and have proven to be powerful tools. one challenging issue in mathematical programming is the computation complexity in finding optimal solutions. to overcome this difficulty, this paper proposes a multi-criteria convex quadratic programming model (mccqp). instead of looking for the global optimal solution, the proposed model only needs to solve a set of linear equations. we test the model using three credit risk analysis datasets and compare mccqp results with four well-known classification methods: lda, decision tree, svmlight, and libsvm. the experimental results indicate that the proposed mccqp model achieves as good as or even better classification accuracies than other methods. |
| WOS关键词 | SUPPORT VECTOR MACHINES ; CLASSIFICATION |
| WOS研究方向 | Computer Science |
| WOS类目 | Computer Science, Theory & Methods |
| 语种 | 英语 |
| WOS记录号 | WOS:000238417500067 |
| 出版者 | SPRINGER-VERLAG BERLIN |
| URI标识 | http://www.irgrid.ac.cn/handle/1471x/2379927 |
| 专题 | 中国科学院大学 |
| 通讯作者 | Peng, Yi |
| 作者单位 | 1.Univ Nebraska, Coll Informat Sci & Technol, Omaha, NE 68182 USA 2.Grad Univ, Res Ctr Data Technol & Knowledge Econ, Chinese Acad Sci, Beijing 100080, Peoples R China |
| 推荐引用方式 GB/T 7714 | Kou, Gang,Peng, Yi,Shi, Yong,et al. A new multi-criteria convex quadratic programming model for credit analysis[J]. Computational science - iccs 2006, pt 4, proceedings,2006,3994:476-484. |
| APA | Kou, Gang,Peng, Yi,Shi, Yong,&Chen, Zhengxin.(2006).A new multi-criteria convex quadratic programming model for credit analysis.Computational science - iccs 2006, pt 4, proceedings,3994,476-484. |
| MLA | Kou, Gang,et al."A new multi-criteria convex quadratic programming model for credit analysis".Computational science - iccs 2006, pt 4, proceedings 3994(2006):476-484. |
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来源：中国科学院大学
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