Particle Swarm Optimization Trained Auto Associative Neural Networks Used as Single Class Classifier

We propose the particle swarm optimization (PSO) trained auto associative neural network (AANN) as a single class classifier (PSOAANN). The proposed architecture consists of three layers namely input layer, hidden layer and output layer unlike that of the traditional AANN. The efficacy of the proposed single class classifier is evaluated on bankruptcy prediction datasets namely Spanish banks, Turkish banks, US banks and UK banks; UK credit dataset and the benchmark WBC dataset. PSOAANN achieved better results when compared to Modified Great Deluge Algorithm trained auto associative neural network (MGDAAANN) [1]. It is concluded that PSOAANN as a single class classifier can be used as an effective tool in classifying datasets, where the class of interest (usually the positive class) is either totally missing or disproportionately present in the training data, which is the case in many real life problems for e.g. financial fraud detection.

[1]  A. Asuncion,et al.  UCI Machine Learning Repository, University of California, Irvine, School of Information and Computer Sciences , 2007 .

[2]  Yogesh Chaba,et al.  Computer Networks and Information Technologies , 2011 .

[3]  Sungzoon Cho,et al.  Bankruptcy prediction for credit risk using an auto-associative neural network in Korean firms , 2003, 2003 IEEE International Conference on Computational Intelligence for Financial Engineering, 2003. Proceedings..

[4]  D. Fraser,et al.  The Determinants of Bank Profits: An Analysis of Extremes , 1976 .

[5]  Jonathan N. Crook,et al.  Credit Scoring and Its Applications , 2002, SIAM monographs on mathematical modeling and computation.

[6]  Edward I. Altman,et al.  FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY , 1968 .

[7]  Vadlamani Ravi,et al.  Bankruptcy Prediction in Banks by Fuzzy Rule Based Classifier , 2007, 2006 1st International Conference on Digital Information Management.

[8]  Gordon V. Karels,et al.  Multivariate Normality and Forecasting of Business Bankruptcy , 1987 .

[9]  Melody Y. Kiang,et al.  Predicting Bank Failures: A neural network approach , 1990, Appl. Artif. Intell..

[10]  Vadlamani Ravi,et al.  Bankruptcy prediction in banks and firms via statistical and intelligent techniques - A review , 2007, Eur. J. Oper. Res..

[11]  P. Ravikumar,et al.  Bankruptcy Prediction in Banks by an Ensemble Classifier , 2006, 2006 IEEE International Conference on Industrial Technology.

[12]  Vadlamani Ravi,et al.  Modified Great Deluge Algorithm based Auto Associative Neural Network for Bankruptcy Prediction in Banks , 2007 .

[13]  M.A.H. Farquad,et al.  Credit Scoring Using PCA-SVM Hybrid Model , 2011 .

[14]  E. Mine Cinar,et al.  Neural Networks: A New Tool for Predicting Thrift Failures , 1992 .

[15]  Amir F. Atiya,et al.  Bankruptcy prediction for credit risk using neural networks: A survey and new results , 2001, IEEE Trans. Neural Networks.

[16]  Rebel A. Cole,et al.  A CAMEL Rating's Shelf Life , 1995 .

[17]  Riccardo Poli,et al.  Particle swarm optimization , 1995, Swarm Intelligence.

[18]  Vadlamani Ravi,et al.  A Semi-Online Training Algorithm for the Radial Basis Function Neural Networks: Applications to Bankruptcy Prediction in Banks , 2008 .

[19]  M. Beynon,et al.  Variable precision rough set theory and data discretisation: an application to corporate failure prediction , 2001 .

[20]  Ramesh Sharda,et al.  Bankruptcy prediction using neural networks , 1994, Decis. Support Syst..

[21]  Ignacio Olmeda,et al.  Hybrid Classifiers for Financial Multicriteria Decision Making: The Case of Bankruptcy Prediction , 1997 .

[22]  Serpil Canbas,et al.  Prediction of commercial bank failure via multivariate statistical analysis of financial structures: The Turkish case , 2005, Eur. J. Oper. Res..

[23]  Kar Yan Tam,et al.  Neural network models and the prediction of bank bankruptcy , 1991 .

[24]  Vadlamani Ravi,et al.  Advances in Banking Technology and Management: Impacts of ICT and CRM , 2007 .

[25]  Vadlamani Ravi,et al.  Soft computing system for bank performance prediction , 2008, Appl. Soft Comput..

[26]  James A. Ohlson.  FINANCIAL RATIOS AND THE PROBABILISTIC PREDICTION OF BANKRUPTCY , 1980 .

[27]  Kyung-shik Shin,et al.  An application of support vector machines in bankruptcy prediction model , 2005, Expert Syst. Appl..

[28]  Ramesh Sharda,et al.  A neural network model for bankruptcy prediction , 1990, 1990 IJCNN International Joint Conference on Neural Networks.