A novel hybrid feature selection method based on dynamic feature importance

Feature selection aims to eliminate unimportant and redundant features or to select effective and interacting features. It is a challenging task to accurately measure the relationships of candidate features, the selected features and categories in the selection process, especially for high-dimensional and small-sample-size data. To this end, a new measure named Dynamic Feature Importance (DFI) is proposed, as well as its corresponding feature selection algorithm named Dynamic Feature Importance based Feature Selection (DFIFS). In order to obtain higher classification accuracy with smaller number of features, a newly Modified-Dynamic Feature Importance based Feature Selection (M-DFIFS) algorithm is developed by combining DFIFS with classical filters. Based on experiments with 14 public high-dimensional datasets, the lately M-DFIFS algorithm shows significantly better performance than five typical filter algorithms in terms of their average accuracy with acceptable computing time. When using random forest as the classifier, M-DFIFS brings a great advantage in the number decrease of selected features. Hence the new feature selection framework Filter + DFIFS'' is verified very effective to solve problems of obtaining high accuracy with a few features. (C) 2020 Elsevier B.V. All rights reserved.