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Feature Selection via Dependence Maximization
We introduce a framework of feature selection based on dependence maximization between the selected features and the labels of an estimation problem, using the Hilbert-Schmidt Independence Criterion. The key idea is that good features should be highly dependent on the labels. Our approach leads to a greedy procedure for feature selection. We show that a number of existing feature selectors are special cases of this framework. Experiments on both artificial and real-world data show that our feature selector works well in practice.
@article{SongSGBB2012, title = {Feature Selection via Dependence Maximization}, journal = {Journal of Machine Learning Research}, abstract = {We introduce a framework of feature selection based on dependence maximization between the selected features and the labels of an estimation problem, using the Hilbert-Schmidt Independence Criterion. The key idea is that good features should be highly dependent on the labels. Our approach leads to a greedy procedure for feature selection. We show that a number of existing feature selectors are special cases of this framework. Experiments on both artificial and real-world data show that our feature selector works well in practice.}, volume = {13}, pages = {1393-1434}, month = may, year = {2012}, slug = {songsgbb2012}, author = {Song, L. and Smola, A. and Gretton, A. and Bedo, J. and Borgwardt, K.}, month_numeric = {5} }