Day #46 - Recursive Feature Elimination

Recursive feature elimination is step wise backward feature elimination.

Backward Search

• Start with all features
• Greedily remove the least relevant feature
• Stop when selected the least number of features

Recursive Feature Elimination

• Train SVM
• Rank the Features
• Eliminate Feature with lowest Rank
• Repeat until required number of features are retained

For each iteration RFE eliminates one feature with minimum weight. Intuition is feature with minimum weight would least influence weight vector form.

Happy Learning!!!