Similarity of feature selection methods: An empirical study across data intensive classification tasks

• We empirically investigated the similarity among feature selection methods.
• Extensive experiments were carried out across high dimensional classification tasks.
• We obtained useful insight into the pattern of agreement of eight popular methods.

In the past two decades, the dimensionality of datasets involved in machine learning and data mining applications has increased explosively. Therefore, feature selection has become a necessary step to make the analysis more manageable and to extract useful knowledge about a given domain. A large variety of feature selection techniques are available in literature, and their comparative analysis is a very difficult task. So far, few studies have investigated, from a theoretical and/or experimental point of view, the degree of similarity/dissimilarity among the available techniques, namely the extent to which they tend to produce similar results within specific application contexts. This kind of similarity analysis is of crucial importance when two or more methods are combined in an ensemble fashion: indeed the ensemble paradigm is beneficial only if the involved methods are capable of giving different and complementary representations of the considered domain. This paper gives a contribution in this direction by proposing an empirical approach to evaluate the degree of consistency among the outputs of different selection algorithms in the context of high dimensional classification tasks. Leveraging on a proper similarity index, we systematically compared the feature subsets selected by eight popular selection methods, representatives of different selection approaches, and derived a similarity trend for feature subsets of increasing size. Through an extensive experimentation involving sixteen datasets from three challenging domains (Internet advertisements, text categorization and micro-array data classification), we obtained useful insight into the pattern of agreement of the considered methods. In particular, our results revealed how multivariate selection approaches systematically produce feature subsets that overlap to a small extent with those selected by the other methods.