A Nash Equilibrium Approach based on Differential Evolution to Probit Classification

Abstract

The possibility of enhancing the performance of the Probit classification model by adding a game theoretic flavour to the model parameters is explored in this paper. A game in which each attribute of the data set represents a player choosing its parameter is devised. The Nash equilibrium of this game is approximated by using a Differential Evolution algorithm. Numerical examples illustrate the potential of this approach.