Geometric mean based boosting algorithm with over-sampling to resolve data imbalance problem for bankruptcy prediction

In classification or prediction tasks, data imbalance problem is frequently observed when most of instances belong to one majority class. Data imbalance problem has received considerable attention in machine learning community because it is one of the main causes that degrade the performance of classifiers or predictors. In this paper, we propose geometric mean based boosting algorithm (GMBoost) to resolve data imbalance problem. GMBoost enables learning with consideration of both majority and minority classes because it uses the geometric mean of both classes in error rate and accuracy calculation. To evaluate the performance of GMBoost, we have applied GMBoost to bankruptcy prediction task. The results and their comparative analysis with AdaBoost and cost-sensitive boosting indicate that GMBoost has the advantages of high prediction power and robust learning capability in imbalanced data as well as balanced data distribution.