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Concept
Feature selection
Summary
Feature selection is the process of selecting a subset of relevant features (variables, predictors) for use in model construction. Stylometry and DNA microarray analysis are two cases where feature selection is used. It should be distinguished from feature extraction.
Feature selection techniques are used for several reasons:
simplification of models to make them easier to interpret by researchers/users,
shorter training times,
to avoid the curse of dimensionality,
improve data's compatibility with a learning model class,
encode inherent symmetries present in the input space.
The central premise when using a feature selection technique is that the data contains some features that are either redundant or irrelevant, and can thus be removed without incurring much loss of information. Redundant and irrelevant are two distinct notions, since one relevant feature may be redundant in the presence of another relevant feature with which it is strongly correlated.
Feature extraction creates new features from functions of the original features, whereas feature selection returns a subset of the features. Feature selection techniques are often used in domains where there are many features and comparatively few samples (or data points).
A feature selection algorithm can be seen as the combination of a search technique for proposing new feature subsets, along with an evaluation measure which scores the different feature subsets. The simplest algorithm is to test each possible subset of features finding the one which minimizes the error rate. This is an exhaustive search of the space, and is computationally intractable for all but the smallest of feature sets. The choice of evaluation metric heavily influences the algorithm, and it is these evaluation metrics which distinguish between the three main categories of feature selection algorithms: wrappers, filters and embedded methods.
Wrapper methods use a predictive model to score feature subsets. Each new subset is used to train a model, which is tested on a hold-out set.
Official source
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