An Uncertainty-Accuracy-based Score Function for Wrapper Methods in Feature Selection

Feature Selection (FS) is an effective preprocessing method to deal with the curse of dimensionality in machine learning. Redundant features in datasets decrease the classification performance and increase the computational complexity. Wrapper methods are an important category of FS methods that evaluate various feature subsets and select the best one using performance measures related to a classifier. In these methods, the accuracy of classifiers is the most common performance measure for FS. Although the performance of classifiers depends on their uncertainty, this important criterion is neglected in these methods. In this paper, we present a new performance measure called Uncertainty-Accuracy-based Performance Measure for Feature Selection (UAPMFS) that uses an ensemble approach to measure both the accuracy and uncertainty of classifiers. UAPMFS uses bagging and uncertainty confusion matrix. This performance measure can be used in all wrapper methods to improve FS performance. We design two experiments to evaluate the performance of UAPMFS in wrapper methods. In experiments, we use the leave-one-variable-out strategy as the common strategy in wrapper methods to evaluate features. We also define a feature score function based on UAPMFS to rank and select features. In the first experiment, we investigate the importance of considering uncertainty in the FS process and show how neglecting uncertainty affects FS performance. In the second experiment, we compare the performance of the UAPMFS-based feature score function with the most common feature score functions for FS. Experimental results show the effectiveness of the proposed performance measure on different datasets.