A comparative study on machine learning models combining with outlier detection and balanced sampling methods for credit scoring

Peer-to-peer (P2P) lending platforms have grown rapidly over the past decade as the network infrastructure has improved and the demand for personal lending has grown. Such platforms allow users to create peer-to-peer lending relationships without the help of traditional financial institutions. Assessing the borrowers' credit is crucial to reduce the default rate and benign development of P2P platforms. Building a personal credit scoring machine learning model can effectively predict whether users will repay loans on the P2P platform. And the handling of data outliers and sample imbalance problems can affect the final effect of machine learning models. There have been some studies on balanced sampling methods, but the effect of outlier detection methods and their combination with balanced sampling methods on the effectiveness of machine learning models has not been fully studied. In this paper, the influence of using different outlier detection methods and balanced sampling methods on commonly used machine learning models is investigated. Experiments on 44,487 Lending Club samples show that proper outlier detection can improve the effectiveness of the machine learning model, and the balanced sampling method only has a good effect on a few machine learning models, such as MLP.

Managing dataset shift by adversarial validation for credit scoring

Dataset shift is common in credit scoring scenarios, and the inconsistency between the distribution of training data and the data that actually needs to be predicted is likely to cause poor model performance. However, most of the current studies do not take this into account, and they directly mix data from different time periods when training the models. This brings about two problems. Firstly, there is a risk of data leakage, i.e., using future data to predict the past. This can result in inflated results in offline validation, but unsatisfactory results in practical applications. Secondly, the macroeconomic environment and risk control strategies are likely to be different in different time periods, and the behavior patterns of borrowers may also change. The model trained with past data may not be applicable to the recent stage. Therefore, we propose a method based on adversarial validation to alleviate the dataset shift problem in credit scoring scenarios. In this method, partial training set samples with the closest distribution to the predicted data are selected for cross-validation by adversarial validation to ensure the generalization performance of the trained model on the predicted samples. In addition, through a simple splicing method, samples in the training data that are inconsistent with the test data distribution are also involved in the training process of cross-validation, which makes full use of all the data and further improves the model performance. To verify the effectiveness of the proposed method, comparative experiments with several other data split methods are conducted with the data provided by Lending Club. The experimental results demonstrate the importance of dataset shift in the field of credit scoring and the superiority of the proposed method.

A differential evolution-based optimization tool for interplanetary transfer trajectory design

The extremely sensitive and highly nonlinear search space of interplanetary transfer trajectory design bring about big challenges on global optimization. As a representative, the current known best solution of the global trajectory optimization problem (GTOP) designed by the European space agency (ESA) is very hard to be found. To deal with this difficulty, a powerful differential evolution-based optimization tool named COoperative Differential Evolution (CODE) is proposed in this paper. CODE employs a two-stage evolutionary process, which concentrates on learning global structure in the earlier process, and tends to self-adaptively learn the structures of different local spaces. Besides, considering the spatial distribution of global optimum on different problems and the gradient information on different variables, a multiple boundary check technique has been employed. Also, Covariance Matrix Adaptation Evolutionary Strategies (CMA-ES) is used as a local optimizer. The previous studies have shown that a specific swarm intelligent optimization algorithm usually can solve only one or two GTOP problems. However, the experimental test results show that CODE can find the current known best solutions of Cassini1 and Sagas directly, and the cooperation with CMA-ES can solve Cassini2, GTOC1, Messenger (reduced) and Rosetta. For the most complicated Messenger (full) problem, even though CODE cannot find the current known best solution, the found best solution with objective function equaling to 3.38 km/s is still a level that other swarm intelligent algorithms cannot easily reach.