Binary Feature Mask Optimization for Feature Selection

Abstract

We investigate feature selection problem for generic machine learning models. We introduce a novel framework that selects features considering the outcomes of the model. Our framework introduces a novel feature masking approach to eliminate the features during the selection process, instead of completely removing them from the dataset. This allows us to use the same machine learning model during feature selection, unlike other feature selection methods where we need to train the machine learning model again as the dataset has different dimensions on each iteration. We obtain the mask operator using the predictions of the machine learning model, which offers a comprehensive view on the subsets of the features essential for the predictive performance of the model. A variety of approaches exist in the feature selection literature. However, to our knowledge, no study has introduced a training-free framework for a generic machine learning model to select features while considering the importance of the feature subsets as a whole, instead of focusing on the individual features. We demonstrate significant performance improvements on the real-life datasets under different settings using LightGBM and Multi-Layer Perceptron as our machine learning models. The high performance of our General Binary Mask Optimization algorithm stems from its feature masking approach to select features and its flexibility in the number of selected features. The algorithm selects features based on the validation performance of the machine learning model. Hence, the number of selected features is not predetermined and adjusts dynamically to the dataset. Additionally, we openly share the implementation or our code to encourage further research in this area.