Nature-inspired optimization algorithms based feature selection: Application in credit scoring

Abstract

Nature-inspired algorithms as problem-solving methodologies are extremely effective in discovery of optimized solutions in multi-dimensional and multi-modal problems. Because of qualities like “self-optimization”, “flexibility” and etc., nature-inspired algorithms for problem solving are effectively optimal. Feature selection is an approach to find approximate optimal subset of the features which are more relevant towards the particular outcome. In this study, we focused on how feature selection may improve the credit scoring model’s performance for prediction. Nature-inspired algorithms are applied for feature selection to improve the predictive performance of the credit scoring model. Additionally, four benchmark credit scoring datasets collected from the UCI repository are used to test feature selection by several Nature-inspired algorithms aggregated with “Random Forest (RF)”, “Logistic Regression (LR),” and “Multi-layer Perceptron (MLP)” for classification and results are compared in terms of classification accuracy and G-measures.