特征选择的三种方法,后面会完善详细的算法

特征选择方法大致分为三类:过滤式(filter)、包裹式(wrapper)和嵌入式(embedding)

过滤式:先对数据集进行特征选择,然后再训练学习器,特征选择过程与后续学习过程无关,比较著名的是relief(relevant features)方法

包裹式:包裹式特征选择直接把最终将要使用的模型性能作为特征子集的评价准则。因此他比过滤式选择要好,但是因为在特征选择过程中要多次训练学习器,因此开销通常要比过滤式大得多,比较典型的是lvw法

嵌入式:嵌入式特征选择是将特征选择过程与学习器训练过程融为一体,两者在同一个过程中完成

n many data analysis tasks, one is often confronted with very high dimensional data. Feature selection techniques are designed to find the relevant feature subset of the original features which can facilitate clustering, classification and retrieval. The feature selection problem is essentially a combinatorial optimization problem which is computationally expensive. Traditional feature selection methods address this issue by selecting the top ranked features based on certain scores computed independently for each feature. These approaches neglect the possible correlation between different features and thus can not produce an optimal feature subset. Inspired from the recent developments on manifold learning and L1-regularized models for subset selection, we propose here a new approach, called {\em Multi-Cluster/Class Feature Selection} (MCFS), for feature selection. Specifically, we select those features such that the multi-cluster/class structure of the data can be best preserved. The corresponding optimization problem can be efficiently solved since it only involves a sparse eigen-problem and a L1-regularized least squares problem. It is important to note that MCFS can be applied in superised, unsupervised and semi-supervised cases. If you find these algoirthms useful, we appreciate it very much if you can cite our following works: Papers Deng Cai, Chiyuan Zhang, Xiaofei He, "Unsupervised Feature Selection for Multi-cluster Data", 16th ACM SIGKDD Conference on Knowledge Discovery and Data Mining (KDD'10), July 2010. Bibtex source Xiaofei He, Deng Cai, and Partha Niyogi, "Laplacian Score for Feature Selection", Advances in Neural Information Processing Systems 18 (NIPS'05), Vancouver, Canada, 2005 Bibtex source
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