Authors :
Benjamin Otieno; George Musumba; Franklin Wabwoba
Volume/Issue :
Volume 7 - 2022, Issue 12 - December
Google Scholar :
https://bit.ly/3IIfn9N
Scribd :
https://bit.ly/3ZojkK4
DOI :
https://doi.org/10.5281/zenodo.7514535
Abstract :
Bandits with Knapsacks (BwK) is a MultiArmed Bandit (MAB) problem under supply/budget
constraints. Risk scoring is a typical limited-resource
problem and as such can be modeled as a BwK problem.
This paper tries to solve the triple problem in risk scoring
– accuracy, fairness, and auditability by proposing
FuzzyBwK application in risk scoring. Theoretical
assessment of FuzzyBwK is made to establish whether the
regret function would perform better than StochasticBwK
and AdversarialBwK functions. An empirical experiment
is then set with secondary data (Australian and German
credit data) and primary data (Kakamega insurance data)
to determine whether the algorithm proposed would be fit
for the proposed problem. The results show that the
proposed algorithm has optimal regret function and from
the empirical test, the algorithm satisfies the test of
accuracy, fairness and auditability.
Keywords :
Multi-Armed Bandits, Bandits With Knapsacks, Fuzzy Logic, FURIA, Risk Scoring
Bandits with Knapsacks (BwK) is a MultiArmed Bandit (MAB) problem under supply/budget
constraints. Risk scoring is a typical limited-resource
problem and as such can be modeled as a BwK problem.
This paper tries to solve the triple problem in risk scoring
– accuracy, fairness, and auditability by proposing
FuzzyBwK application in risk scoring. Theoretical
assessment of FuzzyBwK is made to establish whether the
regret function would perform better than StochasticBwK
and AdversarialBwK functions. An empirical experiment
is then set with secondary data (Australian and German
credit data) and primary data (Kakamega insurance data)
to determine whether the algorithm proposed would be fit
for the proposed problem. The results show that the
proposed algorithm has optimal regret function and from
the empirical test, the algorithm satisfies the test of
accuracy, fairness and auditability.
Keywords :
Multi-Armed Bandits, Bandits With Knapsacks, Fuzzy Logic, FURIA, Risk Scoring
