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Published in the World Congress on Nature and Biologically Inspired Computing (NaBIC'09), Coimbatore, India, Dec 09-11, 2009




       A New Model for Credit Approval Problems: A Quantum-Inspired Neuro-
              Evolutionary Algorithm with Binary-Real Representation


            Anderson Guimarães de Pinho                              Marley Vellasco                    André Vargas Abs da Cruz
                                         Department of Electrical Engineering, PUC-Rio
                                                     Rio de Janeiro, Brazil
                                   agp@gmail.com marley@ele.puc-rio.br andrev@ele.puc-rio.br


Abstract—This paper presents a new model for neuro-                            topology and weights of a feed-forward neural network. This
evolutionary systems. It is a new quantum-inspired                             model is an extension of the QIEA- proposed by Cruz in
evolutionary algorithm with binary-real representation                         [6], which is a quantum-inspired evolutionary algorithm with
(QIEA-BR) for evolution of a neural network. The proposed                      real representation for numerical problems.
model is an extension of the QIEA- developed for numerical                        Cruz developed a quantum inspired evolutionary
optimization. The Quantum-Inspired Neuro-Evolutionary                          algorithm with a numerical representation to optimize the
Computation model (QINEA-BR) is able to completely                             weights of a neural network. On this paper, a binary
configure a feed-forward neural network in terms of selecting                  representation is added to the chromosome opening the
the relevant input variables, number of neurons in the hidden
                                                                               possibility to optimize other types of variables that are
layer and all existent synaptic weights. QINEA-BR is evaluated
in a benchmark problem of financial credit evaluation. The
                                                                               important for modeling a neural network, such as: which
results obtained demonstrate the effectiveness of this new                     attributes are relevant to be used on the input layer; how
model in comparison with other machine learning and                            many neurons to use on the hidden layer and which kind of
statistical models, providing good accuracy in separating good                 activation function to use on the hidden and output layers.
from bad customers.                                                            Such decisions are of categorical nature, and cannot be
                                                                               efficiently represented as real numbers, thus leading to the
   Keywords-quantum-inspired algorithms; genetic algorithms;                   use of a mix of representations into a single algorithm.
hybrid neuro-genetic systems;classification.                                       This paper shows that the use of Quantum-Inspired
                                                                               Evolutionary algorithms for training neural networks can be
                      I.     INTRODUCTION                                      used to successfully perform a binary classification. The
                                                                               results presented here show a significant improvement when
     A precise prediction of breach of contract has been the                   compared to other models.
objective of many companies in several segments. One of                            This paper is divided as follows: Section II presents
them, which has been extensively studied in the financial                      details of the new proposed quantum-inspired evolutionary
literature, is the credit default analysis. In this area, many                 algorithm, the QIEA-BR; Section III describes the
quantitative methods for creating models to separate bad and                   application of the proposed model to define the feed-forward
good customers have been explored [1], [2], [3], [14], [15],                   neural network configuration, the so-called QINEA-BR;
[16], [17], [18], [19], [20].                                                  Section IV evaluates the proposed QINEA-BR model in a
     Huang in [20] divides these methods in fields of the                      benchmark credit analysis application and compares its
science: such as discriminant analysis; logistic regression;                   results with other techniques; finally, Section V presents the
mathematical programming methods; recursive partitioning;                      conclusions and future work.
expert systems; neural networks; non-parametric methods of
smoothing; and models of time series.
     Bose and Chen in [1] detailed some machine learning                                          II.     THE QIEA-BR ALGORITHM
techniques, such as: artificial neural networks; support vector                    The quantum-inspired genetic algorithm with binary-real
machines; genetic algorithms; genetic programming;                             representation (QIEA-BR) is a model where numerical and
evolutionary programming; and hybrid models of these                           binary parameters must be optimized.
techniques, with or without other statistical models.                              The binary representation part of the problem is based on
     The use of hybrid models (neuro-genetic algorithms, for                   the concept of q-bits [7]. A q-bit can be in the "1" state, the
example), can help to overcome minor issues like neural                        "0" state, or in a superposition of both [4]. A state of a q-bit
networks overfitting problems and, thus, be more attractive                    can be represented as:
to solve complex problems with large volumes of data, such
as credit approval problems.                                                                                0  1                       (1)
     In this paper, a new model to evaluate credit approval in
financial problems is proposed. It is a Quantum-Inspired                           Where  and
                                                                                                        
                                                                                                    are complex numbers that determine
Neuro-Evolutionary         Algorithm       with     binary-real                the probability of observing the corresponding state, such
representation (QINEA-BR), which determines the final                          that:
Published in the World Congress on Nature and Biologically Inspired Computing (NaBIC'09), Coimbatore, India, Dec 09-11, 2009




                                   2          2                                        ii)   while t <= T
                                               1                   (2)                   t = t+1
                                                                                       iii) generate classic population P(t) with mix
    Thus, a q-bit, the smallest unit of information, can be                                  representation, observing Q(t)
defined as a pair of numbers ( ,  ) as:
                                                                                       iv) evaluate P(t)
                                                                                       v)    if t=1 then
                                                                                                  B(t) = P(t)
                                                                                          otherwise
                                                                    (3)
                                                                                       vi)        P(t) = Classic recombination of P(t) and B(t-1)
                                        
                                                                                       vii)       evaluate P(t)
                                                                                       viii)      B(t) = Best individuals of [P(t) U B(t-1)]
   where (2) applies.                                                                  ix)        updates the binary part of Q(t) with the best
                                                                                                  individuals of B(t), using q-gate
    The representation of the numerical (continuous) part of                           x)         updates the real part of Q(t) with the best
the chromosome is performed as in [6], using a probability                                        individuals of B(t), using quantum-crossover
density functions (PDF). For a simple PDF, a uniform                                         end
distribution inside a defined interval, this numerical gene can                        end
be represented as a pair of parameters called center and                                         q0
width of the gene. Thus, the center () and width () are all                   i)    Each        j   in Q(t) is initialized with equal probabilities
the parameters that are needed to represent this function, as
follows:                                                                              for all states. In
                                                                                                            q j b , all q-bits are equal to 1/ 2 .
                                                                                                                0



                                        
                                                                                      In
                                                                                          q j r , considering that all the weights of a network
                                                                                             0

                                                                    (4)
                                                                                    could be optimized assuming values in the range of (-
                                                                                           
                                                                                      2,2), and  would be equal to 0 and 2, respectively.
    For a specific x  (   ,    ) , the number to be                                                   q0
optimized, where:                                                                     Note that initially, a j is the linear superposition of all
                                                                                   possible states, with equal probability of occurrence.

                           
                                   p( x) dx  1 ,                      (5)      ii) While t, the current generation, is less than the total
                                                                                    number of generations, QIEA-BR continues looping.

    Thus, a quantum individual j, in an instant of time t,                      iii) The classical population P(t) is generated in compliance
representing mixed numeric and binary features, can be                               to the quantum states of individuals in Q(t). For each q-
defined as:                                                                          bit, the algorithm generates a random number between 0
                                                                                                                                                  2
                                                                                                                                     
                             
                             
                                 
                       qtj   qtj   qt  
                                   b j r
                                        
                                                                                      and 1. If this number is between 0 and            , then the
                                                                                      classic bit is generated with a value of 0; otherwise the
             t  t                                                                 classical bit is 1. For the real classic gene, a number in
                             tjk    tj1  tj 2  tjm  
            j1 j 2
                        ...                     ...                               the interval (    ) to (    ) is randomly chosen.
            t t             t   t  t            t  
             j1  j 2  jk b  j1 j 2  jm r 
                                                        
                                                                     (6)      iv) Since the QIEA-BR model was developed for
                                                                                    classification problems, the evaluation of each
Thus, a population Q(t) in generation t, with n possible                                        qt
                                                                                    individual j in P(t) considers the number of correctly
         qt                                                                         classified patterns, that is, correctly indicated states “1”
solutions j can be given as follows:
                                                                                    and “0”. Therefore, the evaluation function is calculated

                                                      
                                     t t           t
                                                                                    by (8):
                            Q(t )  q1 , q2 ,..., qn                   (7)
                                                                                                                       ( A j  D j  rc1/ c0 )
   A detailed description of all steps of the QIEA-BR                                                         fj                                     (8)
                                                                                                                     (C j  rc1/ c0  B j )  
algorithm is provided below:

                      QIEA-BR Algorithm                                                           Aj                                    D
                                                                                      Where,     is the number of true-positive samples, j
                            start
                                                                                                     B                     C
          t=0                                                                         true-negative, j false-negative and j false-positive.
    i)    initializes quantum population Q(t) with mixed                               rc1/ c0
          representation                                                                       is the ratio between total of “1” and “0”, in the
Published in the World Congress on Nature and Biologically Inspired Computing (NaBIC'09), Coimbatore, India, Dec 09-11, 2009




    training sample. This ratio is used to avoid problems of                                                                                
                                                                                      the quantum individual jn . Then, the update of jn
    specialization in unbalanced databases. Finally,  is a                           occurs as follows:
    small parameter to avoid division by zero when the
    problem is fully separable by the optimized model (i.e.                                            jn'   jn  ( g jn   jn )* random (10)
     Cj       B
         and j are equal to zero).                                                    where random is a random number between 0 and 1,
                                                                                      generated for each quantum center, that determines the
v) In the first generation, the population of best individuals                                              
   founded in B(1) is the population observed P(1).                                   speed of the update of jn in the direction of g jn . The
                                                                                      second parameter of the numerical gene, the pulse
vi) If it is not the first generation, the recombination occurs
    - as in traditional genetic algorithms - between B(t-1),                          width  jn , is updated in a similar way, by calculating
    the population of the best individuals in the previous                            the total height of B(t) among all individuals, given
    generation, and P(t). In all experiments carried out in                           by max( g jn )  min(g jn ) . So,  jn is updated by:
    this work the uniform crossover operator has been
    applied, acting differently if gene is real or binary and                         jn'   jn  ((max( g jn )  min( g jn ))   jn )* random (11)
    applied in a pair of genes of an individual of B(t-1) and
    another individual of P(t). Probability of crossover was                          This type of update for numerical representation on
    specified by the user. No mutation operators have been                            quantum algorithms is inspired on the work of Cruz [6].
    employed. Since quantum algorithms have good
    potential of exploration and exploitation simultaneously,
    classic mutation operation is no longer motivated on this                       III.    QIEA-BR MODEL APPLIED TO NEURO-EVOLUTION
    study, because we want to obtain potential results                              The main objective of the QIEA-BR is to apply it to
    proved essentially by the quantum algorithm and                             neuro-evolution, that is, to completely configure a feed-
    operators.                                                                  forward neural network, with one hidden layer, to binary
                                                                                classification models. With this objective in mind, the
vii) Evaluate the new population P(t)', resultant of the                        following parameters must be defined by the QIEA-BR
     recombination of P(t) and B(t-1), applying (8).                            model:
                                                                                     a. Which variables, among the available ones, are
viii) The new population in B(t) is given by the best                                     relevant to be used as inputs for the neural network?
      individuals from the union of P(t) with B(t-1),                                b. How many neurons must be used in the single
      respecting the size of B(t) population defined by the                               hidden layer?
      user.                                                                          c. What kind of activation function must be applied
                                          qt                                              throughout the network? Sigmoid logistic or
ix) The q-bit of a quantum individual j is updated by the                                 hyperbolic?
      q-gate rotation operators [7], [11]. Initially, one classic                   The above parameters will be represented as binary genes
      individual from B(t) and another from Q(t) are selected                   in the hybrid chromosome representation of the QIEA-BR
      randomly. Each q-bit is updated in the direction of the                   model. The main reason that we choose between logistic and
      individual from B(t), increasing or decreasing the                        hyperbolic activation function is that according to Haykin
      probability of a state "0" or "1". A new q-bit can be                     [23], page 40, these function are the most common used
      obtained as follows:                                                      when constructing artificial neural networks.
                                                                                    Other important neural network configuration
                        cos( )  sin( )    j1 
                                                   t                            parameters, which will be represented as numerical genes in
                                                                   (9)      the QIEA-BR chromosome, are the following:
                        sin( ) cos( )    tj1 
                                                                                   d. Synaptic weights of the single hidden layer;
                                                                                     e. Synaptic weights of the output layer;
    where  is the angle of rotation and should be                                  f. Threshold value, at the output neuron, that separates
    assigned considering the type of problem by the user.                                 the two output classes.
    Depending on the intention of increase or decrease the                          Therefore, to optimize all these parameters, the proposed
    probability, the sine terms (positive and negative) are                     QIEA-BR model, described in the previous section, is
    exchanged.                                                                  applied, with the following parameters:
                                                                                      nh: Maximum number of neurons in the hidden
x) To update the numeric genes of the quantum individual                                  layer;
   Q(t), the same classic individual B(t), used in the                                numQuantum: number of quantum individuals;
   previous step, is employed. Consider the n-th numeric                              numClassic: number of classic individuals;
                                  g                                                   numGeneration: Number of generations;
   gene of a classic individual as jn , and the n-th gene of                          C- Crossover: classical crossover rate;
Published in the World Congress on Nature and Biologically Inspired Computing (NaBIC'09), Coimbatore, India, Dec 09-11, 2009




          : parameter to update the binary part of the                        chromosome, only if its weights are active by the binary
         quantum individuals;                                                    genes. If the binary genes are inactive, real genes are kept
      Q- Crossover: parameter to update the real part of                        unchangeable when applying q-crossover. On the other side,
         the quantum individual.                                                 if binary genes are active, real genes could suffer updates by
    Therefore, the final chromosome representation depends                       the crossover at least a number of “minGeneration”
on the maximum number of neurons defined by the user and                         controlled by the user.
the maximum number of possible variables in the input                                 It is important to stress that all parameters presented
layer, so the length of the chromosome is fixed during the                       above should be adjusted according to the specific
evolutionary process. For example, in the case of a                              application problem.
maximum of 20 neurons in hidden layer and 30 available
input variables, the representation of an individual j, in an                             IV.     EXPERIMENTAL RESULTS AND DISCUSSION
instant of time t, will contain 51 pairs of genes in the
quantum binary part: 30 to determine whether a variable in                           The proposed QIEA-BR model was evaluated in a
the input layer is active or not; 20 for activating the neurons                  benchmark application related to credit approval: the
in the hidden layer; and 1 gene to define the activation                         "Australian credit approval problem", which is available in
function that should be used in all layers (sigmoid or                           the UCI Machine Learning Repository [21]. As in any credit
hyperbolic). The numeric part of the chromosome                                  analysis problem, this database provides a set of customers
representation contains, in this case, 621 pairs: 600 to define                  that are divided in good and bad payers. For confidential
the weight values for the synapses between input and hidden                      reasons, the meaning of the attributes is not provided by their
layers; 20 for the weights between hidden and output layers;                     administrators.
and 1 for the threshold value. This chromosome                                       The database consists of 690 samples, with 307 (44.5%)
representation is provided below:                                                composed of bad payers and 383 (55.5%) of good payers.

                                 
                                                                                 There are a total of 15 continuous and categorical attributes
                     qtj   qtj   qt  
                           
                                b j r                                         (14 explanatory variables, and 1 that informs the class of the
                                                                                 costumer: good or bad). The database contained about 5% of
          t  t        tj 51    tj 52  tj 53  tj 672       (12)       customers with missing values in at least one attribute, which
         j1 j 2                                                            were treated by including the average and median (only one
         t t       ...                            ...
                           t   t            t        t      
          j1  j 2  j 51 b  j 52  j 53  j 672 r 
                                                           
                                                                                 for each attribute treated). Both categorical and numerical
                                                                                 attributes were pre-processed.         Categorical attributes
                                                                                 (variable 5, 6 and 12) were transformed into the 1-of-N
    It must be pointed out that the binary and numeric genes                     encoding. Variables 2, 3, 10, 13, and 14 were normalized by
are dependents. When a neuron is inactive in the classic                         mean and standard deviation.
individual, the crossover operator must no be applied to the                         The database was divided into 70% for training and 30%
weights associated to this neuron in the numeric part.                           for testing, in a 3-fold cross-validation process, thereby
Similarly, these weights can not be used to update the                           obtaining three sets of data for training and testing. We
parameters of the quantum individual.                                            choose 3-fold for the cross-validation process, for
    There are two additional parameters included in the                          comparisons with authors (see Lacerda page 178).
algorithm:
      minGeneration: minimum number of generations
         that a neuron remains active before it can be                           A. Results
         disabled by a crossover. This parameter is important
         to avoid that a neuron is turned off before the                             The QINEA-BR model was implemented and tested in
         evolutionary process had enough time to optimize                        Matlab. Varying the parameters presented in section III, we
         its weights.                                                            could observe the results given by the evaluation function in
      updateGeneration: number of rounds that must be                           (8) from the best individual. After many tests, the parameters
         executed before thee q-gate and q-crossover are                         presented in Table I were defined. Here we are going to
         applied on the binary and numeric genes of the                          present just the final parameters adjusted. Sensitive analysis
         quantum individual. This parameter controls the                         of how to control these parameters will be considered in
         exploitation and exploration aspects of the                             futures works.
         evolutionary process. That is, if a slower and                              After setting the parameters, each of the three training
         gradual optimization process is desired, for a                          and test samples was subjected to evaluation by 3 neural
         greater exploration of the search space, the higher                     networks, each developed independently. At the end, 9
         his parameter should be.                                                neural networks were obtained by the neuron-quantum
                                                                                 evolution. The results were evaluated by the percentage of
     See that the binary part of a classic chromosome which                      wrong classified patterns (PWCP) and can be seen in Table
is responsible for enable or disable a neuron on the input and                   II.
hidden layers, is conditioned to the real part which                                 As can be observed from Table II, among all the
determines the weights between neurons. And so, the                              experiments and samples, the model QINEA-BR showed an
algorithm must consider updating the real genes of a                             average PWCP of 15.0%, with a standard deviation of 2.9%.
Published in the World Congress on Nature and Biologically Inspired Computing (NaBIC'09), Coimbatore, India, Dec 09-11, 2009




    The results obtained by the QINEA-BR were also                                                M odel         PWCP Average Standart D.
compared with other models provided in Lacerda &                                                NEIQ-BR             15,0%        2,9%
Carvalho in [14], for the same issue of Australian credit                                  Average Other M odels    16,5%        3,4%
approval. This comparison is provided in Table III below.
                                                                                             M LP-Backprop          17,1%        1,8%
    It can be observed that, on average, the QINEA-BR
model presents a lower PWCP average than the models                                         Cascade correlation     18,0%        3,0%
estimated by Lacerda and Carvalho. However, the statistical                                       Tower             14,7%        3,2%
t-test [22] for the difference between means leads to the                                        Pyramid            16,9%        2,1%
acceptance of the equal means hypothesis by the level of 5%                                        SVM              16,7%        2,6%
of confidence, i.e., the difference is not significant.                                        RBF - Batch          16,7%        3,9%
Considering the confidence of 10%, the t-test is significant
                                                                                                RBF - DF            16,3%        2,5%
with p-value of 0,096. We should say that before we applied
the t-test to compare means, each sample was proved to be                                        RBF - IO           17,8%        4,0%
normally distributed by the Kolmogorov-Smirnov test, where                                     RBF - DFIO           16,7%        4,3%
null hypothesis was accepted [22].                                                             RBF - IODF           17,3%        4,4%
    Other algorithms from Carvalho and Lacerda apud Jones                                     RBF - On line         16,9%        4,4%
and Quinlan, and their comparison with the QINEA-BR                                           RBF - Optimal         15,9%        4,7%
model can be found in Table IV.
                                                                                                RBF - GA            14,0%        3,5%
                   TABLE I.          PARAMETERS SET

                 nh                               20                                TABLE IV.         COMPARISON WITH OTHER MODELS IN CARVALHO AND
                 numQuantum                       2                                                   LACERDA APUD JONES AND QUINLAN
                 numClassic                       400                                                     M odel          PWCP Average
                 numGeneration                    200                                                   NEIQ-BR             15,0%
                 C-Crossover                      0,95
                                                                                                 Average of Other M odels   16,5%
                                                0,020*pi
                 Q-Crossover                      0,95                                                 C4.5 Rules           15,5%
                 minGeneration                    3                                                    C4.5 Trees           15,1%
                 updatesGeneration                10                                                    Foil trad.1         17,8%
                                                                                                        Foil trad.2         17,4%
                                                                                                        Foil trad.3         17,0%
  TABLE II.        RESULTS OBTAINED FOR THE "AUSTRALIAN CREDIT
                        APPROVAL PROBLEM”                                                               Foil exd.1          18.,0%
                                                                                                        Foil exd.2          16,4%
                            Samples                   PWCP
     Experiment                                                                                         Foil exd.3          16,4%
                   1            2        3       Aver. Stand. D.
          1      16,9%       13,5%    13,0%      14,5%    2,1%                       Again, the QINEA-BR model presented the lowest
          2      18,4%       18,8%    11,1%      16,1%    4,3%                    PWCP average, but this difference is not proved by statistical
          3      17,4%       13,5%    12,1%      14,3%    2,7%                    evidences.
      Average 17,6%          15,3%    12,1%      15,0%      -
     Standart D. 0,7%         3,1%     1,0%         -     2,9%                                                V.     CONCLUSIONS
                                                                                      This paper presented a new quantum-inspired
                                                                                  evolutionary computation model based on a hybrid binary
    TABLE III.       COMPARISON WITH OTHER MODELS PROVIDED IN                     and numeric representation, named QIEA-BR. The proposed
                     CARVALHO AND LACERDA [14]                                    model was developed for a neuro-evolution application, and
                                                                                  tested in a benchmark application of credit approval.
                                                                                      The resultant neuro-evolution model provides the user
                                                                                  with a high degree of flexibility, avoiding the necessity to
                                                                                  perform variable selection and the specification of all neural
                                                                                  networks parameters, such as number of neurons in the
                                                                                  hidden layer and the threshold value used in the output layer
                                                                                  to define the final classification of the input pattern.
                                                                                      Although the difference in the percentage of wrong
                                                                                  classified patterns (PWCP) obtained by the QINEA-BR and
                                                                                  others models used in the literature has not been significant,
                                                                                  the results were quite surprising. It was shown that, on
                                                                                  average, the QINEA-BR model could replace but it is not
                                                                                  significant better than the others.
Published in the World Congress on Nature and Biologically Inspired Computing (NaBIC'09), Coimbatore, India, Dec 09-11, 2009




    Many parameters, however, must be defined in the                                      2005, Springer Science and Business Media, Inc. Manufactured in
QINEA-BR model, which is directly related to the potential                                The Netherlands.
for classification and generalization of the neural network                        [15]   YU, Lean; WANG, Shouyang; LAI, Kin Keung. Credit risk
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modeling. A more detailed analysis of the dependency and                                  approach. Expert Systems with Applications 34 (2008) 1434-1444,
impact on the results of these parameters must be carried out                             Elsevier.
in the future.                                                                     [16]   CHEN, Mu-Chen; HUANG, Shih-Hsien. Credit scoring and rejected
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model. However, the model can be easily extended to                                       Expert Systems with Applications 24 (2003) 433-441, Elsevier.
multiple class problems, with a more general multi-layer                           [17]   HUANG, Jih-Jeng; TZENG, Gwo-Hshiung; ONG, Chorng-Shyong.
perceptron topology.                                                                      Two-stage genetic programming (2SGP) for credit scoring model.
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New Model for Credit Approval Problems Using Quantum-Inspired Neuroevolutionary Algorithm (39

  • 1. Published in the World Congress on Nature and Biologically Inspired Computing (NaBIC'09), Coimbatore, India, Dec 09-11, 2009 A New Model for Credit Approval Problems: A Quantum-Inspired Neuro- Evolutionary Algorithm with Binary-Real Representation Anderson Guimarães de Pinho Marley Vellasco André Vargas Abs da Cruz Department of Electrical Engineering, PUC-Rio Rio de Janeiro, Brazil agp@gmail.com marley@ele.puc-rio.br andrev@ele.puc-rio.br Abstract—This paper presents a new model for neuro- topology and weights of a feed-forward neural network. This evolutionary systems. It is a new quantum-inspired model is an extension of the QIEA- proposed by Cruz in evolutionary algorithm with binary-real representation [6], which is a quantum-inspired evolutionary algorithm with (QIEA-BR) for evolution of a neural network. The proposed real representation for numerical problems. model is an extension of the QIEA- developed for numerical Cruz developed a quantum inspired evolutionary optimization. The Quantum-Inspired Neuro-Evolutionary algorithm with a numerical representation to optimize the Computation model (QINEA-BR) is able to completely weights of a neural network. On this paper, a binary configure a feed-forward neural network in terms of selecting representation is added to the chromosome opening the the relevant input variables, number of neurons in the hidden possibility to optimize other types of variables that are layer and all existent synaptic weights. QINEA-BR is evaluated in a benchmark problem of financial credit evaluation. The important for modeling a neural network, such as: which results obtained demonstrate the effectiveness of this new attributes are relevant to be used on the input layer; how model in comparison with other machine learning and many neurons to use on the hidden layer and which kind of statistical models, providing good accuracy in separating good activation function to use on the hidden and output layers. from bad customers. Such decisions are of categorical nature, and cannot be efficiently represented as real numbers, thus leading to the Keywords-quantum-inspired algorithms; genetic algorithms; use of a mix of representations into a single algorithm. hybrid neuro-genetic systems;classification. This paper shows that the use of Quantum-Inspired Evolutionary algorithms for training neural networks can be I. INTRODUCTION used to successfully perform a binary classification. The results presented here show a significant improvement when A precise prediction of breach of contract has been the compared to other models. objective of many companies in several segments. One of This paper is divided as follows: Section II presents them, which has been extensively studied in the financial details of the new proposed quantum-inspired evolutionary literature, is the credit default analysis. In this area, many algorithm, the QIEA-BR; Section III describes the quantitative methods for creating models to separate bad and application of the proposed model to define the feed-forward good customers have been explored [1], [2], [3], [14], [15], neural network configuration, the so-called QINEA-BR; [16], [17], [18], [19], [20]. Section IV evaluates the proposed QINEA-BR model in a Huang in [20] divides these methods in fields of the benchmark credit analysis application and compares its science: such as discriminant analysis; logistic regression; results with other techniques; finally, Section V presents the mathematical programming methods; recursive partitioning; conclusions and future work. expert systems; neural networks; non-parametric methods of smoothing; and models of time series. Bose and Chen in [1] detailed some machine learning II. THE QIEA-BR ALGORITHM techniques, such as: artificial neural networks; support vector The quantum-inspired genetic algorithm with binary-real machines; genetic algorithms; genetic programming; representation (QIEA-BR) is a model where numerical and evolutionary programming; and hybrid models of these binary parameters must be optimized. techniques, with or without other statistical models. The binary representation part of the problem is based on The use of hybrid models (neuro-genetic algorithms, for the concept of q-bits [7]. A q-bit can be in the "1" state, the example), can help to overcome minor issues like neural "0" state, or in a superposition of both [4]. A state of a q-bit networks overfitting problems and, thus, be more attractive can be represented as: to solve complex problems with large volumes of data, such as credit approval problems.   0  1 (1) In this paper, a new model to evaluate credit approval in financial problems is proposed. It is a Quantum-Inspired Where  and  are complex numbers that determine Neuro-Evolutionary Algorithm with binary-real the probability of observing the corresponding state, such representation (QINEA-BR), which determines the final that:
  • 2. Published in the World Congress on Nature and Biologically Inspired Computing (NaBIC'09), Coimbatore, India, Dec 09-11, 2009 2 2 ii) while t <= T   1 (2) t = t+1 iii) generate classic population P(t) with mix Thus, a q-bit, the smallest unit of information, can be representation, observing Q(t) defined as a pair of numbers ( ,  ) as: iv) evaluate P(t) v) if t=1 then B(t) = P(t)   otherwise   (3) vi) P(t) = Classic recombination of P(t) and B(t-1)   vii) evaluate P(t) viii) B(t) = Best individuals of [P(t) U B(t-1)] where (2) applies. ix) updates the binary part of Q(t) with the best individuals of B(t), using q-gate The representation of the numerical (continuous) part of x) updates the real part of Q(t) with the best the chromosome is performed as in [6], using a probability individuals of B(t), using quantum-crossover density functions (PDF). For a simple PDF, a uniform end distribution inside a defined interval, this numerical gene can end be represented as a pair of parameters called center and q0 width of the gene. Thus, the center () and width () are all i) Each j in Q(t) is initialized with equal probabilities the parameters that are needed to represent this function, as follows: for all states. In  q j b , all q-bits are equal to 1/ 2 . 0   In  q j r , considering that all the weights of a network 0   (4)   could be optimized assuming values in the range of (-  2,2), and  would be equal to 0 and 2, respectively. For a specific x  (   ,    ) , the number to be q0 optimized, where: Note that initially, a j is the linear superposition of all   possible states, with equal probability of occurrence.    p( x) dx  1 , (5) ii) While t, the current generation, is less than the total number of generations, QIEA-BR continues looping. Thus, a quantum individual j, in an instant of time t, iii) The classical population P(t) is generated in compliance representing mixed numeric and binary features, can be to the quantum states of individuals in Q(t). For each q- defined as: bit, the algorithm generates a random number between 0 2       qtj   qtj qt   b j r  and 1. If this number is between 0 and , then the classic bit is generated with a value of 0; otherwise the   t  t classical bit is 1. For the real classic gene, a number in  tjk    tj1  tj 2  tjm    j1 j 2 ...   ...   the interval (    ) to (    ) is randomly chosen.  t t t   t  t t     j1  j 2  jk b  j1 j 2  jm r       (6) iv) Since the QIEA-BR model was developed for classification problems, the evaluation of each Thus, a population Q(t) in generation t, with n possible qt individual j in P(t) considers the number of correctly qt classified patterns, that is, correctly indicated states “1” solutions j can be given as follows: and “0”. Therefore, the evaluation function is calculated   t t t by (8): Q(t )  q1 , q2 ,..., qn (7) ( A j  D j  rc1/ c0 ) A detailed description of all steps of the QIEA-BR fj  (8) (C j  rc1/ c0  B j )   algorithm is provided below: QIEA-BR Algorithm Aj D Where, is the number of true-positive samples, j start B C t=0 true-negative, j false-negative and j false-positive. i) initializes quantum population Q(t) with mixed rc1/ c0 representation is the ratio between total of “1” and “0”, in the
  • 3. Published in the World Congress on Nature and Biologically Inspired Computing (NaBIC'09), Coimbatore, India, Dec 09-11, 2009 training sample. This ratio is used to avoid problems of   the quantum individual jn . Then, the update of jn specialization in unbalanced databases. Finally,  is a occurs as follows: small parameter to avoid division by zero when the problem is fully separable by the optimized model (i.e.  jn'   jn  ( g jn   jn )* random (10) Cj B and j are equal to zero). where random is a random number between 0 and 1, generated for each quantum center, that determines the v) In the first generation, the population of best individuals  founded in B(1) is the population observed P(1). speed of the update of jn in the direction of g jn . The second parameter of the numerical gene, the pulse vi) If it is not the first generation, the recombination occurs - as in traditional genetic algorithms - between B(t-1), width  jn , is updated in a similar way, by calculating the population of the best individuals in the previous the total height of B(t) among all individuals, given generation, and P(t). In all experiments carried out in by max( g jn )  min(g jn ) . So,  jn is updated by: this work the uniform crossover operator has been applied, acting differently if gene is real or binary and  jn'   jn  ((max( g jn )  min( g jn ))   jn )* random (11) applied in a pair of genes of an individual of B(t-1) and another individual of P(t). Probability of crossover was This type of update for numerical representation on specified by the user. No mutation operators have been quantum algorithms is inspired on the work of Cruz [6]. employed. Since quantum algorithms have good potential of exploration and exploitation simultaneously, classic mutation operation is no longer motivated on this III. QIEA-BR MODEL APPLIED TO NEURO-EVOLUTION study, because we want to obtain potential results The main objective of the QIEA-BR is to apply it to proved essentially by the quantum algorithm and neuro-evolution, that is, to completely configure a feed- operators. forward neural network, with one hidden layer, to binary classification models. With this objective in mind, the vii) Evaluate the new population P(t)', resultant of the following parameters must be defined by the QIEA-BR recombination of P(t) and B(t-1), applying (8). model: a. Which variables, among the available ones, are viii) The new population in B(t) is given by the best relevant to be used as inputs for the neural network? individuals from the union of P(t) with B(t-1), b. How many neurons must be used in the single respecting the size of B(t) population defined by the hidden layer? user. c. What kind of activation function must be applied qt throughout the network? Sigmoid logistic or ix) The q-bit of a quantum individual j is updated by the hyperbolic? q-gate rotation operators [7], [11]. Initially, one classic The above parameters will be represented as binary genes individual from B(t) and another from Q(t) are selected in the hybrid chromosome representation of the QIEA-BR randomly. Each q-bit is updated in the direction of the model. The main reason that we choose between logistic and individual from B(t), increasing or decreasing the hyperbolic activation function is that according to Haykin probability of a state "0" or "1". A new q-bit can be [23], page 40, these function are the most common used obtained as follows: when constructing artificial neural networks. Other important neural network configuration  cos( )  sin( )    j1  t parameters, which will be represented as numerical genes in     (9) the QIEA-BR chromosome, are the following:  sin( ) cos( )    tj1    d. Synaptic weights of the single hidden layer; e. Synaptic weights of the output layer; where  is the angle of rotation and should be f. Threshold value, at the output neuron, that separates assigned considering the type of problem by the user. the two output classes. Depending on the intention of increase or decrease the Therefore, to optimize all these parameters, the proposed probability, the sine terms (positive and negative) are QIEA-BR model, described in the previous section, is exchanged. applied, with the following parameters:  nh: Maximum number of neurons in the hidden x) To update the numeric genes of the quantum individual layer; Q(t), the same classic individual B(t), used in the  numQuantum: number of quantum individuals; previous step, is employed. Consider the n-th numeric  numClassic: number of classic individuals; g  numGeneration: Number of generations; gene of a classic individual as jn , and the n-th gene of  C- Crossover: classical crossover rate;
  • 4. Published in the World Congress on Nature and Biologically Inspired Computing (NaBIC'09), Coimbatore, India, Dec 09-11, 2009   : parameter to update the binary part of the chromosome, only if its weights are active by the binary quantum individuals; genes. If the binary genes are inactive, real genes are kept  Q- Crossover: parameter to update the real part of unchangeable when applying q-crossover. On the other side, the quantum individual. if binary genes are active, real genes could suffer updates by Therefore, the final chromosome representation depends the crossover at least a number of “minGeneration” on the maximum number of neurons defined by the user and controlled by the user. the maximum number of possible variables in the input It is important to stress that all parameters presented layer, so the length of the chromosome is fixed during the above should be adjusted according to the specific evolutionary process. For example, in the case of a application problem. maximum of 20 neurons in hidden layer and 30 available input variables, the representation of an individual j, in an IV. EXPERIMENTAL RESULTS AND DISCUSSION instant of time t, will contain 51 pairs of genes in the quantum binary part: 30 to determine whether a variable in The proposed QIEA-BR model was evaluated in a the input layer is active or not; 20 for activating the neurons benchmark application related to credit approval: the in the hidden layer; and 1 gene to define the activation "Australian credit approval problem", which is available in function that should be used in all layers (sigmoid or the UCI Machine Learning Repository [21]. As in any credit hyperbolic). The numeric part of the chromosome analysis problem, this database provides a set of customers representation contains, in this case, 621 pairs: 600 to define that are divided in good and bad payers. For confidential the weight values for the synapses between input and hidden reasons, the meaning of the attributes is not provided by their layers; 20 for the weights between hidden and output layers; administrators. and 1 for the threshold value. This chromosome The database consists of 690 samples, with 307 (44.5%) representation is provided below: composed of bad payers and 383 (55.5%) of good payers.    There are a total of 15 continuous and categorical attributes qtj   qtj qt     b j r  (14 explanatory variables, and 1 that informs the class of the costumer: good or bad). The database contained about 5% of   t  t  tj 51    tj 52  tj 53  tj 672   (12) customers with missing values in at least one attribute, which  j1 j 2     were treated by including the average and median (only one  t t ... ... t   t t t     j1  j 2  j 51 b  j 52  j 53  j 672 r       for each attribute treated). Both categorical and numerical attributes were pre-processed. Categorical attributes (variable 5, 6 and 12) were transformed into the 1-of-N It must be pointed out that the binary and numeric genes encoding. Variables 2, 3, 10, 13, and 14 were normalized by are dependents. When a neuron is inactive in the classic mean and standard deviation. individual, the crossover operator must no be applied to the The database was divided into 70% for training and 30% weights associated to this neuron in the numeric part. for testing, in a 3-fold cross-validation process, thereby Similarly, these weights can not be used to update the obtaining three sets of data for training and testing. We parameters of the quantum individual. choose 3-fold for the cross-validation process, for There are two additional parameters included in the comparisons with authors (see Lacerda page 178). algorithm:  minGeneration: minimum number of generations that a neuron remains active before it can be A. Results disabled by a crossover. This parameter is important to avoid that a neuron is turned off before the The QINEA-BR model was implemented and tested in evolutionary process had enough time to optimize Matlab. Varying the parameters presented in section III, we its weights. could observe the results given by the evaluation function in  updateGeneration: number of rounds that must be (8) from the best individual. After many tests, the parameters executed before thee q-gate and q-crossover are presented in Table I were defined. Here we are going to applied on the binary and numeric genes of the present just the final parameters adjusted. Sensitive analysis quantum individual. This parameter controls the of how to control these parameters will be considered in exploitation and exploration aspects of the futures works. evolutionary process. That is, if a slower and After setting the parameters, each of the three training gradual optimization process is desired, for a and test samples was subjected to evaluation by 3 neural greater exploration of the search space, the higher networks, each developed independently. At the end, 9 his parameter should be. neural networks were obtained by the neuron-quantum evolution. The results were evaluated by the percentage of See that the binary part of a classic chromosome which wrong classified patterns (PWCP) and can be seen in Table is responsible for enable or disable a neuron on the input and II. hidden layers, is conditioned to the real part which As can be observed from Table II, among all the determines the weights between neurons. And so, the experiments and samples, the model QINEA-BR showed an algorithm must consider updating the real genes of a average PWCP of 15.0%, with a standard deviation of 2.9%.
  • 5. Published in the World Congress on Nature and Biologically Inspired Computing (NaBIC'09), Coimbatore, India, Dec 09-11, 2009 The results obtained by the QINEA-BR were also M odel PWCP Average Standart D. compared with other models provided in Lacerda & NEIQ-BR 15,0% 2,9% Carvalho in [14], for the same issue of Australian credit Average Other M odels 16,5% 3,4% approval. This comparison is provided in Table III below. M LP-Backprop 17,1% 1,8% It can be observed that, on average, the QINEA-BR model presents a lower PWCP average than the models Cascade correlation 18,0% 3,0% estimated by Lacerda and Carvalho. However, the statistical Tower 14,7% 3,2% t-test [22] for the difference between means leads to the Pyramid 16,9% 2,1% acceptance of the equal means hypothesis by the level of 5% SVM 16,7% 2,6% of confidence, i.e., the difference is not significant. RBF - Batch 16,7% 3,9% Considering the confidence of 10%, the t-test is significant RBF - DF 16,3% 2,5% with p-value of 0,096. We should say that before we applied the t-test to compare means, each sample was proved to be RBF - IO 17,8% 4,0% normally distributed by the Kolmogorov-Smirnov test, where RBF - DFIO 16,7% 4,3% null hypothesis was accepted [22]. RBF - IODF 17,3% 4,4% Other algorithms from Carvalho and Lacerda apud Jones RBF - On line 16,9% 4,4% and Quinlan, and their comparison with the QINEA-BR RBF - Optimal 15,9% 4,7% model can be found in Table IV. RBF - GA 14,0% 3,5% TABLE I. PARAMETERS SET nh 20 TABLE IV. COMPARISON WITH OTHER MODELS IN CARVALHO AND numQuantum 2 LACERDA APUD JONES AND QUINLAN numClassic 400 M odel PWCP Average numGeneration 200 NEIQ-BR 15,0% C-Crossover 0,95 Average of Other M odels 16,5%  0,020*pi Q-Crossover 0,95 C4.5 Rules 15,5% minGeneration 3 C4.5 Trees 15,1% updatesGeneration 10 Foil trad.1 17,8% Foil trad.2 17,4% Foil trad.3 17,0% TABLE II. RESULTS OBTAINED FOR THE "AUSTRALIAN CREDIT APPROVAL PROBLEM” Foil exd.1 18.,0% Foil exd.2 16,4% Samples PWCP Experiment Foil exd.3 16,4% 1 2 3 Aver. Stand. D. 1 16,9% 13,5% 13,0% 14,5% 2,1% Again, the QINEA-BR model presented the lowest 2 18,4% 18,8% 11,1% 16,1% 4,3% PWCP average, but this difference is not proved by statistical 3 17,4% 13,5% 12,1% 14,3% 2,7% evidences. Average 17,6% 15,3% 12,1% 15,0% - Standart D. 0,7% 3,1% 1,0% - 2,9% V. CONCLUSIONS This paper presented a new quantum-inspired evolutionary computation model based on a hybrid binary TABLE III. COMPARISON WITH OTHER MODELS PROVIDED IN and numeric representation, named QIEA-BR. The proposed CARVALHO AND LACERDA [14] model was developed for a neuro-evolution application, and tested in a benchmark application of credit approval. The resultant neuro-evolution model provides the user with a high degree of flexibility, avoiding the necessity to perform variable selection and the specification of all neural networks parameters, such as number of neurons in the hidden layer and the threshold value used in the output layer to define the final classification of the input pattern. Although the difference in the percentage of wrong classified patterns (PWCP) obtained by the QINEA-BR and others models used in the literature has not been significant, the results were quite surprising. It was shown that, on average, the QINEA-BR model could replace but it is not significant better than the others.
  • 6. Published in the World Congress on Nature and Biologically Inspired Computing (NaBIC'09), Coimbatore, India, Dec 09-11, 2009 Many parameters, however, must be defined in the 2005, Springer Science and Business Media, Inc. Manufactured in QINEA-BR model, which is directly related to the potential The Netherlands. for classification and generalization of the neural network [15] YU, Lean; WANG, Shouyang; LAI, Kin Keung. Credit risk assessment with a multistage neural network ensemble learning modeling. A more detailed analysis of the dependency and approach. Expert Systems with Applications 34 (2008) 1434-1444, impact on the results of these parameters must be carried out Elsevier. in the future. [16] CHEN, Mu-Chen; HUANG, Shih-Hsien. Credit scoring and rejected The model has been tested for a binary classification instances reassigning through evolutionary computation techniques. model. 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