Predicting Sparse Clients' Actions with CPOPT-Net in the Banking Environment

in 32nd Canadian Conference on Artificial Intelligence Proceedings (2019, May)

The digital revolution of the banking system with evolving European regulations have pushed the major banking actors to innovate by a newly use of their clients' digital information. Given highly sparse ... [more ▼]

The digital revolution of the banking system with evolving European regulations have pushed the major banking actors to innovate by a newly use of their clients' digital information. Given highly sparse client activities, we propose CPOPT-Net, an algorithm that combines the CP canonical tensor decomposition, a multidimensional matrix decomposition that factorizes a tensor as the sum of rank-one tensors, and neural networks. CPOPT-Net removes efficiently sparse information with a gradient-based resolution while relying on neural networks for time series predictions. Our experiments show that CPOPT-Net is capable to perform accurate predictions of the clients' actions in the context of personalized recommendation. CPOPT-Net is the first algorithm to use non-linear conjugate gradient tensor resolution with neural networks to propose predictions of financial activities on a public data set. [less ▲]