Similar to feature selection, we can use feature extraction to reduce the number of features in a dataset. However, while we maintained the original features when we used feature selection algorithms, such as sequential backward selection, we use feature extraction to transform or project the data onto a new feature space. In the context of dimensionality reduction, feature extraction can be understood as an approach to data compression with the goal of maintaining most of the relevant information. Feature extraction is typically used to improve computational efficiency but can also help to reduce the curse of dimensionality—especially if we are working with nonregularized models.
Principal component analysis (PCA) is an unsupervised linear transformation technique that is widely used across different fields, most prominently for dimensionality reduction. Other popular applications of PCA include exploratory data analyses...