Particle Swarm Optimization for Preference Disaggregation in Multicriteria Credit Scoring Problems

Marco Corazza (), Stefania Funari () and Riccardo Gusso
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Marco Corazza: Ca’ Foscari University of Venice, Department of Economics and Advanced School of Economics in Venice
Stefania Funari: Ca’ Foscari University of Venice, Department of Management
Riccardo Gusso: Ca’ Foscari University of Venice, Department of Economics

A chapter in Mathematical and Statistical Methods for Actuarial Sciences and Finance, 2014, pp 119-130 from Springer

Abstract: Abstract In this paper we deal with the problem of preference disaggregation in credit scoring problems developed by using multicriteria analysis. In order to determine the values of the parameters that characterize the preference model of the decision maker, we adopt Particle Swarm Optimization, which is a biologically-inspired heuristics based on swarm intelligence. We test the ability of PSO to find the optimal values of the parameters on a real data set provided by an Italian bank.

Keywords: Particle Swarm Optimization; Fitness Function; Particle Swarm Optimization Algorithm; Differential Evolution Algorithm; Mathematical Programming Problem (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-319-02499-8_11

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DOI: 10.1007/978-3-319-02499-8_11

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