The process of feature extraction and engineering helps us extract as well as generate features from underlying datasets. There are cases where this leads to large inputs to an algorithm for processing. It such cases, it is suspected that many of the features in the input might be redundant and may lead to complex models and even overfitting. Feature selection is the process of identifying representative features from the complete feature set that is available/generated. The selected set of features are expected to contain the required information such that the algorithm is able to solve the given task without running into processing, complexity, and overfitting issues. Feature selection also helps in better understanding the data that is being used for the modeling process along with making processing quicker.
Feature selection methods can be broadly classified into the following three categories:
- Filter methods: As the name suggests, these methods help us rank features based on a statistical score. We then select a subset of these features. These methods are usually not concerned with model outputs, rather evaluating features independently. Threshold based techniques and statistical tests such as correlation coefficients and chi-squared tests are some popular choices.
- Wrapper methods: These methods perform a comparative search on the performance of different combinations of subsets of features, and then help us select the best performing subset. Backward selection and forward elimination are two popular wrapper methods for feature selection.
- Embedded methods: These methods provide the best of the preceding two methods by learning which subset of features would be the best. Regularization and tree based methods are popular choices.
Feature selection is an important aspect in the process of building a ML system. It is also one of the major sources of biases that can get into the system if not handled with care. Readers should note that feature selection should be done using a dataset separate from your training dataset. Utilizing the training dataset for feature selection would invariably lead to overfitting, while utilizing the test set for feature selection would overestimate the model's performance.
Most popular libraries provide a wide array of feature selection techniques. Libraries such as scikit-learn provide these methods out of the box. We will see and utilize many of them in subsequent sections/chapters.
