本文深入探讨了特征选择的三种主要方法：Wrapper、Filter和Embedded方法。Wrapper方法通过评估特征对分类器性能的影响来衡量特征的实用性；Filter方法则依据特征本身的属性进行筛选，如信息增益、卡方检验等；Embedded方法将特征选择过程内嵌于模型训练中，如L1正则化和决策树。这些方法各有优劣，Wrapper方法虽然效果更佳，但计算成本较高。
- Wrapper methods measure the “usefulness” of features based on the classifier performance.
- information gain
- chi-square test
- fisher score
- correlation coefficient
- variance threshold
- Filter methods pick up the intrinsic properties of the features (i.e., the “relevance” of the features) measured via univariate statistics instead of cross-validation performance.
- recursive feature elimination
- sequential feature selection algorithms
- genetic algorithms
- Embedded methods, are quite similar to wrapper methods since they are also used to optimize the objective function or performance of a learning algorithm or model.
- L1 (LASSO) regularization
- decision tree
Wrapper methods are essentially solving the “real” problem (optimizing the classifier performance), but they are also computationally more expensive compared to filter methods due to the repeated learning steps and cross-validation.
The difference to wrapper methods is that an intrinsic model building metric is used during learning.
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