A wrapper method for feature selection using Support Vector Machines

We introduce a novel wrapper Algorithm for Feature Selection, using Support Vector Machines with kernel functions. Our method is based on a sequential backward selection, using the number of errors in a validation subset as the measure to decide which feature to remove in each iteration. We compare our approach with other algorithms like a filter method or Recursive Feature Elimination SVM to demonstrate its effectiveness and efficiency. (C) 2009 Elsevier Inc. All rights reserved.