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计算机系统应用英文版:2020,29(11):145-150
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基于改进GS-XGBoost的个人信用评估
(上海工程技术大学 数理与统计学院, 上海 201620)
Personal Credit Evaluation Based on Improved GS-XGBoost
(School of Mathematics, Physics and Statistics, Shanghai University of Engineering Science, Shanghai 201620, China)
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Received:March 04, 2020    Revised:March 27, 2020
中文摘要: 信用评估分类器的好坏能够直接影响信贷金融机构的盈利能力. 传统的网格搜索法进行参数寻优时会耗费大量的时间, 基于此提出改进的网格搜索法优化XGBoost (GS-XGBoost)的个人信用评估算法. 该算法利用随机森林进行特征选择后, 将改进的网格搜索法对XGBoost中的n_estimators和learning_rate进行参数寻优, 建立评估模型. 从UCI数据库中选取信贷数据进行分析, 分别与支持向量机、随机森林、逻辑回归、神经网络以及未改进的XGBoost进行比较. 实验结果表明, 该模型的F-scoreG-mean的值均有提高.
中文关键词: 网格搜索  信用评估  GS-XGBoost  参数寻优
Abstract:The quality of the credit evaluation classifier can directly affect the profitability of credit financial institutions. The traditional grid search takes a lot of time for parameter optimization. Based on this, we propose an improved grid search to optimize the XGBoost (GS-XGBoost) personal credit evaluation algorithm. After using the feature selection based on random forest, the algorithm uses the improved grid search method to optimize the parameters of n_estimators and learning_rate in XGBoost to establish an evaluation model. We analyze the credit data selected from the UCI database to compare with support vector machines, random forests, logistic regression, neural networks, and unimproved XGBoost. Experimental results show that the F-score and G-mean values of the model are improved.
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基金项目:国家自然科学基金(11602134, 11772148); 全国统计科学研究项目一般项目(2018LY16)
引用文本:
李欣,俞卫琴.基于改进GS-XGBoost的个人信用评估.计算机系统应用,2020,29(11):145-150
LI Xin,YU Wei-Qin.Personal Credit Evaluation Based on Improved GS-XGBoost.COMPUTER SYSTEMS APPLICATIONS,2020,29(11):145-150