Stochastic Local Search Heuristics for Efficient Feature Selection: An Experimental Study


  • Ole Jakob Mengshoel
  • Eirik Flogard
  • Jon Riege
  • Tong Yu


Feature engineering, including feature selection, plays a key role in data science, knowledge discovery, machine learning, and statistics. Recently, much progress has been made in increasing the accuracy of machine learning for complex problems. In part, this is due to improvements in feature engineering, for example by means of deep learning or feature selection. This progress has, to a large extent, come at the cost of dramatic and perhaps unsustainable increases in the computational resources used. Consequently, there is now a need to emphasize not only accuracy but also computational cost in research on and applications of machine learning including feature selection. With a focus on both the accuracy and computational cost of feature selection, we study stochastic local search (SLS) methods when applied to feature selection in this paper. With an eye to containing computational cost, we consider an SLS method for efficient feature selection, SLS4FS. SLS4FS is an amalgamation of several heuristics, including filter and wrapper methods, controlled by hyperparameters. While SLS4FS admits, for certain hyperparameter settings, analysis by means of homogeneous Markov chains, our focus is on experiments with several realworld datasets in this paper. Our experimental study suggests that SLS4FS is competitive with several existing methods, and is useful in settings where one wants to control the computational cost.