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System and method for prediction using synthetic features and gradient boosted decision tree

  • US 10,366,451 B2
  • Filed: 01/27/2016
  • Issued: 07/30/2019
  • Est. Priority Date: 01/27/2016
  • Status: Active Grant
First Claim
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1. A computer-implemented method comprising:

  • the computer obtaining a set of data relating to a loan application, wherein the data includes an amount of loan requested and a transaction history of a loan applicant;

    the computer determining a plurality of synthetic features by at least;

    executing a plurality of machine learning algorithms that have been trained, each of the machine learning algorithms, when executed, receiving as an input at least some of the data and producing as an output a respective synthetic feature representing an initial probability of whether a loan default will occur, wherein at least two of the machine learning algorithms are different from each other and accept different inputs;

    wherein a first one of the machine learning algorithms is implemented using a neural network and accepts the transaction history of the loan applicant as its input and outputs a first synthetic feature representing a first initial probability of whether the loan default will occur, and wherein a second one of the machine learning algorithms accepts the amount of loan requested as its input and outputs a second synthetic feature representing a second initial probability of whether the loan default will occur;

    the computer executing a gradient boosted decision tree (GBDT) algorithm, the GBDT algorithm processing both;

    (i) the synthetic features including the first synthetic feature and the second synthetic feature, and (ii) at least some of the data, and producing an output representing a final probability of whether the loan default will occur;

    the computer generating an indication of whether or not to approve the loan based on whether a particular value is above or below a stored threshold, wherein the particular value is the final probability or is a function of the final probability.

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