Recursive Feature Elimination and Cross-Validated Selection Sample Clauses

Recursive Feature Elimination and Cross-Validated Selection. Recursive Feature Elimination (RFE) is a wrapper-type feature selection algorithm. This means that it selects a subset of the most relevant features for a dataset using a certain machine learning algorithm in the core of the model. The features are ranked by importance based on the model, after which the least important features are discarded and the model is re-fitted. With regular RFE, deciding the number of features one wants to end up with is a hyperparameter that needs to be chosen. To get this number automatically, Cross-Validated Selection is added to RFE (RFECV). In this research, 5-fold RFECV was used. This means that for each split, the training set will be transformed by RFE 5 times. This is done for all possible amount of features, after which RFECV transforms the entire set using the best scoring number of features. The importances are taken from the fitted model using either a coefficient or feature importances attribute. Since only the linear kernel of the SVM model supports such attributes, RFECV was not attempted for this algorithm as this kernel proved to be nonoptimal.
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