Feature selection algorithm based on XGBoost

Abstract

Feature selection in classification has always been an important but difficult problem.This kind of problem requires that feature selection algorithms can not only help classifiers to improve the classification accuracy,but also reduce the redundant features as much as possible.Therefore,in order to solve feature selection in the classification problems better,a new wrapped feature selection algorithm XGBSFS was proposed.The thought process of building trees in XGBoost was used for reference,and the importance of features from three importance metrics was measured to avoid the limitation of single importance metric.Then the improved sequential floating forward selection (ISFFS) was applied to search the feature subset so that it had high quality.Compared with the experimental results of eight datasets in UCI,the proposed algorithm has good performance.

Keywords

• feature selection;XGBoost;sequential floating forward selection