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        Predicting Corporate Bankruptcy using Simulated Annealing-based Random Forests

        박호연,김경재 한국지능정보시스템학회 2018 지능정보연구 Vol.24 No.4

        Predicting a company's financial bankruptcy is traditionally one of the most crucial forecasting problems in business analytics. In previous studies, prediction models have been proposed by applying or combining statistical and machine learning-based techniques. In this paper, we propose a novel intelligent prediction model based on the simulated annealing which is one of the well-known optimization techniques. The simulated annealing is known to have comparable optimization performance to the genetic algorithms. Nevertheless, since there has been little research on the prediction and classification of business decision-making problems using the simulated annealing, it is meaningful to confirm the usefulness of the proposed model in business analytics. In this study, we use the combined model of simulated annealing and machine learning to select the input features of the bankruptcy prediction model. Typical types of combining optimization and machine learning techniques are feature selection, feature weighting, and instance selection. This study proposes a combining model for feature selection, which has been studied the most. In order to confirm the superiority of the proposed model in this study, we apply the real-world financial data of the Korean companies and analyze the results. The results show that the predictive accuracy of the proposed model is better than that of the naïve model. Notably, the performance is significantly improved as compared with the traditional decision tree, random forests, artificial neural network, SVM, and logistic regression analysis.

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