The invention relates to a credit scoring method based on hyper-parameter optimization, and the method comprises the steps: S1, collecting scoring main body
information data, carrying out the preprocessing and
feature selection of the data, and making a training
data set and a
test data set; S2, establishing a credit scoring model, selecting an XGBoost
algorithm for modeling, and optimizing hyper-parameters of the
algorithm by combining a
Gaussian process with Bayesian; S3, selecting an optimal hyper-parameter set to fix an XGBoost
algorithm, and training a credit scoring model by using the training
data set; and S4, predicting and evaluating the credit scoring model by adopting the
test data set, and calculating a credit
score through a formula
score = A-B * ln (p / (1-p)). According to theinvention, the hyper-parameters are optimized; when the target function curve cannot be determined, through conjecture
hypothesis, it is determined that the target function meets multivariable
Gaussian distribution, and the
hypothesis evaluation model is further corrected, so that the efficiency and reliability of hyper-parameter optimization are improved, the model generation efficiency is improved, the enterprise model replacement efficiency is improved, and the
risk control capability is improved.