Grey wolf optimization evolving kernel extreme learning machine: Application to bankruptcy prediction

Abstract

This study proposes a new kernel extreme learning machine (KELM) parameter tuning strategy using a novel swarm intelligence algorithm called grey wolf optimization (GWO). GWO, which simulates the social hierarchy and hunting behavior of grey wolves in nature, is adopted to construct an effective KELM model for bankruptcy prediction. The derived model GWO-KELM is rigorously compared with three competitive KELM methods, which are typical in a comprehensive set of methods including particle swarm optimization-based KELM, genetic algorithm-based KELM, grid-search technique-based KELM, extreme learning machine, improved extreme learning machine, support vector machines and random forest, on two real-life datasets via 10-fold cross validation analysis. Results obtained clearly confirm the superiority of the developed model in terms of classification accuracy (training, validation, test), Type I error, Type II error, area under the receiver operating characteristic curve (AUC) criterion as well as computational time. Therefore, the proposed GWO-KELM prediction model is promising to serve as a powerful early warning tool with excellent performance for bankruptcy prediction.