Monthly
288 pp. per issue
6 x 9, illustrated
ISSN
0899-7667
E-ISSN
1530-888X
2014 Impact factor:
2.21

Neural Computation

January 2014, Vol. 26, No. 1, Pages 185-207
(doi: 10.1162/NECO_a_00537)
© 2013 Massachusetts Institute of Technology
High-Dimensional Feature Selection by Feature-Wise Kernelized Lasso
Article PDF (649.27 KB)
Abstract

The goal of supervised feature selection is to find a subset of input features that are responsible for predicting output values. The least absolute shrinkage and selection operator (Lasso) allows computationally efficient feature selection based on linear dependency between input features and output values. In this letter, we consider a feature-wise kernelized Lasso for capturing nonlinear input-output dependency. We first show that with particular choices of kernel functions, nonredundant features with strong statistical dependence on output values can be found in terms of kernel-based independence measures such as the Hilbert-Schmidt independence criterion. We then show that the globally optimal solution can be efficiently computed; this makes the approach scalable to high-dimensional problems. The effectiveness of the proposed method is demonstrated through feature selection experiments for classification and regression with thousands of features.