Optimizing Support Vector Machine Parameters with Genetic Algorithm for Credit Risk Assessment

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Abstract

Support vector machine (SVM) is a popular classification method known to have strong generalization capabilities. SVM can solve the problem of classification and linear regression or nonlinear kernel which can be a learning algorithm for the ability of classification and regression. However, SVM also has a weakness that is difficult to determine the optimal parameter value. SVM calculates the best linear separator on the input feature space according to the training data. To classify data which are non-linearly separable, SVM uses kernel tricks to transform the data into a linearly separable data on a higher dimension feature space. The kernel trick using various kinds of kernel functions, such as : linear kernel, polynomial, radial base function (RBF) and sigmoid. Each function has parameters which affect the accuracy of SVM classification. To solve the problem genetic algorithms are proposed to be applied as the optimal parameter value search algorithm thus increasing the best classification accuracy on SVM. Data taken from UCI repository of machine learning database: Australian Credit Approval. The results show that the combination of SVM and genetic algorithms is effective in improving classification accuracy. Genetic algorithms has been shown to be effective in systematically finding optimal kernel parameters for SVM, instead of randomly selected kernel parameters. The best accuracy for data has been upgraded from kernel Linear: 85.12%, polynomial: 81.76%, RBF: 77.22% Sigmoid: 78.70%. However, for bigger data sizes, this method is not practical because it takes a lot of time.

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Manurung, J., Mawengkang, H., & Zamzami, E. (2017). Optimizing Support Vector Machine Parameters with Genetic Algorithm for Credit Risk Assessment. In Journal of Physics: Conference Series (Vol. 930). Institute of Physics Publishing. https://doi.org/10.1088/1742-6596/930/1/012026

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