Feature Selection via 1-Penalized Squared-Loss Mutual Information

Wittawat JITKRITTUM  Hirotaka HACHIYA  Masashi SUGIYAMA  

IEICE TRANSACTIONS on Information and Systems   Vol.E96-D   No.7   pp.1513-1524
Publication Date: 2013/07/01
Online ISSN: 1745-1361
DOI: 10.1587/transinf.E96.D.1513
Print ISSN: 0916-8532
Type of Manuscript: PAPER
Category: Pattern Recognition
feature selection,  1-regularization,  squared-loss mutual information,  density-ratio estimation,  dimensionality reduction,  

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Feature selection is a technique to screen out less important features. Many existing supervised feature selection algorithms use redundancy and relevancy as the main criteria to select features. However, feature interaction, potentially a key characteristic in real-world problems, has not received much attention. As an attempt to take feature interaction into account, we propose 1-LSMI, an 1-regularization based algorithm that maximizes a squared-loss variant of mutual information between selected features and outputs. Numerical results show that 1-LSMI performs well in handling redundancy, detecting non-linear dependency, and considering feature interaction.