Select machine learning features in Matlab

Question

Ke Dang 2012-3-29

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Hi All, Thank you for your time. I want to ask a question in below:

Given a training set, a test set, a list of features and a result set using all features in the machine learning, I would liek to know:

1. Some way to know how to select the set of features that would produce best result 2. What features contributed most to the classification 3. What features did not contribute to the classification

Is there a function that can do it in Matlab?

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Answer 1

Ilya 2012-3-29

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编辑：Ilya 2012-9-20

Here are Statistics Toolbox utilities you should look into:

sequentialfs
relieff
predictorImportance method of ClassificationTree, or its older version, varimportance method of classregtree
Ensembles of decision trees. In particular, TreeBagger has several properties for estimation of predictor importance, especially DeltaCritDecisionSplit and OOBPermutedVarDeltaError
Discriminant analysis with thresholding available in 12a from ClassificationDiscriminant. See DeltaPredictor property.

If you can recast your classification problem as a (generalized) linear regression model, functions lasso and lassoglm would help. Also, LinearModel.stepwise and GeneralizedLinearModel.stepwise, if you have a sufficiently recent version of MATLAB.

As you see, there are plenty of options. Without knowing more about your data, it's hard to say what might work best for you.