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RFE recursive feature elimination object
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A=RFE(C,[H]) returns an rfe object initialized with base algorithm
C (usually an svm) and hyperparameters H.
RFE selects features via greedy backward selection: it trains a
base algorithm, and calls the method get_w of the base algorithm
and removes the feature(s) with the smallest absolute value returned
from this method. get_w in a linear svm for example returns the
weights for each dimension defining the hyperplane. Base algorithms
with a method get_w include: one_vs_one, one_vs_rest, lda, stab, svm, svr
Hyperparameters, and their defaults
feat=[] -- number of selected features to be selected, if feat=0,
then the minimum number of feature will be computed.
feature_group -- Use this to supply a vector containing a group
= [] index for each feature. Features with the same
group index are eliminated together. By default,
the vector 1:n is used, meaning features are
eliminated independently.
force=[] -- one value per feature or feature group. Features/groups
with negative values will be eliminated first (in
increasing order of force value). Features/groups
with positive values will be eliminated last (again,
in increasing force value order). A value of 0 means
that feature elimination order is determined by the
normal method.
speed=0 -- rfe only removes a single feature each iteration
if less than (speed) features left, otherwise it
halves the number of features each iteration.
output_rank=0 -- whether a ranking is desired, if set to 0 then a
classification is perfomed after feature selection.
child=svm -- The base classifier to be used at each step
Model
a.rank=[] -- ranking of features
a.child=svm -- base classifier trained at end of process
Methods:
train, test
Example:
d=gen(toy); a=rfe; a.feat=10; a.output_rank=1;[r,a]=train(a,d);
a.rank - lists the chosen features in order of importance
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Reference : Gene selection for cancer classification using support vector machines |
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Author : I. Guyon, J. Weston, S. Barnhill, and V. Vapnik |