合理的特征选择(feature set selection)有时能给模型表现与解释性、简洁性带来益处。本文以gradient boosting machine和support vector machine为例展示此过程。
Applied Machine Learning Using mlr3 in R - 6 Feature Selection
mlr-org - Recursive Feature Elimination on the Sonar Data Set
‘Currently, RFE works with support vector machines (SVM), decision tree algorithms and gradient boosting machines (GBM). Supported learners are tagged with the "importance"
property.’(RFE是基于重要度排序的)
RFE-CV是RFE的一种变体。‘RFE-CV estimates the optimal number of features with cross-validation first. Then one more RFE is