004.855.5 Neural network methods for solving the problem of credit scoring

Kadiev A. D. (Bauman Moscow State Technical University), Chibisova A. V. (Bauman Moscow State Technical University)


doi: 10.18698/2309-3684-2022-4-8192

The mathematical derivation of the presented neural network model is demonstrated. Reduction of the classification problem to an optimization problem. Produced recon-naissance data analysis, as well as their preprocessing for further use in training classification algorithms. The architectures of neural networks were designed depending on the activation function, the number of hidden layers of the neural network and the number of neurons in the hidden layers. More than ten neural networks were trained to solve the task of credit scoring. The calculation of the learning time of neural networks was made. The solution of the problem using classical machine learning algorithms is presented. It could be seen that the standard deviation of accuracy and ROC AUC for neural networks is greater than that of a random forest. This is due to the fact that we choose the initial weights randomly and calculate the gradients not on the entire sample, but on small parts, which adds some learning error. But these deviations were not only for the worse. In the best situations, according to both metrics, neural networks showed the worst result by a couple of percent. The analysis of results is made. Comparative analysis shows that neural networks have better classification quality than classical machine learning algorithms, and also that neural networks have less training time than classical machine learning algorithms. Graphs and tables displaying the results obtained are presented.

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