An instance voting approach to feature selection

In this work, we address the problem of supervised feature selection (FS) for high-dimensional datasets with a small number of instances. Here, we propose a novel heuristic FS approach, Conditional Priority Coverage Maximization (CPCM) which seeks to leverage the local information provided by the small set of instances. We define the vote assigned by an instance to a feature as the local relevance of the latter. Also, we show that the proposed voting scheme is asymptotically related to the Bayes' decision rule for minimum risk classification. Next, we exploit the instance votes for feature selection by posing it as a set-covering problem - we seek to select a subset of features such that they can together cover the instances. This approach avoids the selection of redundant features, while selecting relevant ones. In addition, we formulate the stopping criterion to select a compact subset of features. Through experiments on synthetic and real datasets, we demonstrated that CPCM outperforms other graph based FS techniques and state-of-the-art FS approaches employing mutual information (MI). Further, we evaluated the stability of CPCM to minor variations in the training data and found it to be reasonably robust. (C) 2019 Elsevier Inc. All rights reserved.