Feature selection in the Team Data Science Process (TDSP)

This article explains the purposes of feature selection and provides examples of its role in the data enhancement process of machine learning. These examples are drawn from Azure Machine Learning Studio.

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The engineering and selection of features is one part of the Team Data Science Process (TDSP) outlined in What is the Team Data Science Process?. Feature engineering and selection are parts of the Develop features step of the TDSP.

  • feature engineering: This process attempts to create additional relevant features from the existing raw features in the data, and to increase predictive power to the learning algorithm.
  • feature selection: This process selects the key subset of original data features in an attempt to reduce the dimensionality of the training problem.

Normally feature engineering is applied first to generate additional features, and then the feature selection step is performed to eliminate irrelevant, redundant, or highly correlated features.

Filtering Features from Your Data - Feature Selection

Feature selection is a process that is commonly applied for the construction of training datasets for predictive modeling tasks such as classification or regression tasks. The goal is to select a subset of the features from the original dataset that reduce its dimensions by using a minimal set of features to represent the maximum amount of variance in the data. This subset of features are, then, the only features to be included to train the model. Feature selection serves two main purposes.

  • First, feature selection often increases classification accuracy by eliminating irrelevant, redundant, or highly correlated features.
  • Second, it decreases the number of features which makes model training process more efficient. This is particularly important for learners that are expensive to train such as support vector machines.

Although feature selection does seek to reduce the number of features in the dataset used to train the model, it is not usually referred to by the term "dimensionality reduction". Feature selection methods extract a subset of original features in the data without changing them. Dimensionality reduction methods employ engineered features that can transform the original features and thus modify them. Examples of dimensionality reduction methods include Principal Component Analysis, canonical correlation analysis, and Singular Value Decomposition.

Among others, one widely applied category of feature selection methods in a supervised context is called "filter based feature selection". By evaluating the correlation between each feature and the target attribute, these methods apply a statistical measure to assign a score to each feature. The features are then ranked by the score, which may be used to help set the threshold for keeping or eliminating a specific feature. Examples of the statistical measures used in these methods include Person correlation, mutual information, and the Chi squared test.

In Azure Machine Learning Studio, there are modules provided for feature selection. As shown in the following figure, these modules include Filter-Based Feature Selection and Fisher Linear Discriminant Analysis.

Feature selection example

Consider, for example, the use of the Filter-Based Feature Selection module. For the purpose of convenience, we continue to use the text mining example outlined above. Assume that we want to build a regression model after a set of 256 features are created through the Feature Hashing module, and that the response variable is the "Col1" and represents a book review ratings ranging from 1 to 5. By setting "Feature scoring method" to be "Pearson Correlation", the "Target column" to be "Col1", and the "Number of desired features" to 50. Then the module Filter-Based Feature Selection will produce a dataset containing 50 features together with the target attribute "Col1". The following figure shows the flow of this experiment and the input parameters we just described.

Feature selection example

The following figure shows the resulting datasets. Each feature is scored based on the Pearson Correlation between itself and the target attribute "Col1". The features with top scores are kept.

Feature selection example

The corresponding scores of the selected features are shown in the following figure.

Feature selection example

By applying this Filter-Based Feature Selection module, 50 out of 256 features are selected because they have the most correlated features with the target variable "Col1", based on the scoring method "Pearson Correlation".

Conclusion

Feature engineering and feature selection are two commonly Engineered and selected features increase the efficiency of the training process which attempts to extract the key information contained in the data. They also improve the power of these models to classify the input data accurately and to predict outcomes of interest more robustly. Feature engineering and selection can also combine to make the learning more computationally tractable. It does so by enhancing and then reducing the number of features needed to calibrate or train a model. Mathematically speaking, the features selected to train the model are a minimal set of independent variables that explain the patterns in the data and then predict outcomes successfully.

Note that it is not always necessarily to perform feature engineering or feature selection. Whether it is needed or not depends on the data we have or collect, the algorithm we pick, and the objective of the experiment.