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Multi-objective Optimization for Feature Selection

thank you for the tutorial

Multi-objective Optimization for Feature Selection

I much appreciated, just a single question in the structural risk ie the number of features chosen what is its formula in terms of programming is what we do a ration the number chosen on the total number features ?? conceming the term C: trade off factor, its the interval between 0 and 1 ?? Thanks again

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sgenzer

cc'ing MOFS maestro @IngoRM

IngoRM

Hi,

just a single question in the structural risk ie the number of features chosen what is its formula in terms of programming is what we do a ration the number chosen on the total number features?

While you could do this that way, this would only work well for feature selection, not for feature construction. A good way to support both feature engineering tasks is simply to use the sum of features as the risk calculation. This works well since the multi-objective optimizations does not care about the scale of the criterion at all and also does not need any trade-off parameters.

conceming the term C: trade off factor, its the interval between 0 and 1 ?

No, the range is unrestricted between 0 and infinite. However, one of the beautiful things about a multi-objective regularization approach is that you actually do not need any C at all in the first place :-)

Hope this helps,
Ingo