Title: Comprehensible credit scoring models using rule extraction from support vector machines
Authors: Martens, David ×
Baesens, Bart
Van Gestel, Tony
Vanthienen, Jan #
Issue Date: Dec-2007
Publisher: Elsevier science bv
Series Title: European journal of operational research vol:183 issue:3 pages:1466-1476
Abstract: In recent years, support vector machines (SVMs) were successfully applied to a wide range of applications. However, since the classifier is described as a complex mathematical function, it is rather incomprehensible for humans. This opacity property prevents them from being used in many real-life applications where both accuracy and comprehensibility are required, such as medical diagnosis and credit risk evaluation. To overcome this limitation, rules can be extracted from the trained SVM that are interpretable by humans and keep as much of the accuracy of the SVM as possible. In this paper, we will provide an overview of the recently proposed rule extraction techniques for SVMs and introduce two others taken from the artificial neural networks domain, being Trepan and G-REX. The described techniques are compared using publicly available datasets, such as Ripley's synthetic dataset and the multi-class iris dataset. We will also look at medical diagnosis and credit scoring where comprehensibility is a key requirement and even a regulatory recommendation. Our experiments show that the SVM rule extraction techniques lose only a small percentage in performance compared to SVMs and therefore rank at the top of comprehensible classification techniques. (c) 2006 Elsevier B.V. All rights reserved.
ISSN: 0377-2217
Publication status: published
KU Leuven publication type: IT
Appears in Collections:Research Center for Management Informatics (LIRIS), Leuven
× corresponding author
# (joint) last author

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