KGroups: A Versatile Univariate Max-Relevance Min-Redundancy Feature Selection Algorithm for High-dimensional Biological Data

As a precursor to high-dimensional biomedical data modeling, reliable feature selection can reduce computational expense, improve modeling performance, and yield simpler, more interpretable models. However, most filter-based feature selection methods struggle to detect feature interactions, while wrapper or embedded feature selection methods are computationally expensive. Relief-based algorithms (RBAs) are filter methods that are sensitive to feature interactions while mitigating these other limitations. This study (1) refactors, optimizes, and expands the scikit-rebate Python package with existing and newly proposed RBA variants and (2) conducts rigorous RBA benchmark comparisons across diverse genomic simulations. We expand scikit-rebate to include SWRF*, mu-Relief, and 5 novel RBA variants implementing alternative strategies for neighbor selection and feature scoring. All RBAs were evaluated to compare predictive feature ranking and runtime across simulated genomic datasets varying in sample size, number of features, heritability, and underlying association type (e.g. main effects and interactions). All RBAs, except mu-Relief, were proficient in detecting 2-way interactions in noisy data. RBAs utilizing 'far' scoring were best at detecting 2-way interactions - with MultiSWRFDB* top-performing - but were far less sensitive to main effects. SWRF, MultiSWRF, MultiSURF, and MultiSWRFDB yielded top performance across main effect and 2-way interaction datasets with MultiSWRFDB performing best when also considering 3-way interactions. Refactoring of scikit-rebate resulted in 10 to 35-fold reductions in RBA runtimes. The newly introduced RBAs were among the strongest performing, and by robustly retaining both main effects and 2-way epistatic interactions, these algorithms preserve predictive signals for downstream modeling.

Unsupervised feature selection is critical for improving clustering performance in high-dimensional data, where irrelevant features can obscure meaningful structure. In this work, we propose the Minkowski weighted $k$-means++, a novel initialisation strategy for the Minkowski Weighted $k$-means. Our initialisation selects centroids probabilistically using feature relevance estimates derived from the data itself. Building on this, we propose two new feature selection algorithms, FS-MWK++, which aggregates feature weights across a range of Minkowski exponents identifying stable and informative features, and SFS-MWK++, a scalable variant based on subsampling. We support our approach with a theoretical analysis, demonstrating that, under explicit assumptions on noise features and cluster structure, relevant features are assigned consistently higher weights than noise features across a range of Minkowski exponents. Our software can be found at https://github.com/xzhang4-ops1/FSMWK.

High-dimensional feature selection is routinely required to balance statistical power with strict control of multiple-error metrics such as the k-Family-Wise Error Rate (k-FWER) and the False Discovery Proportion (FDP), yet some existing frameworks are confined to the narrower goal of controlling the expected False Discovery Rate (FDR) and can not exploit the group-structure of the covariates, such as Sorted L-One Penalized Estimation (SLOPE). We introduce the Group Stepdown SLOPE, a unified optimization procedure which is capable of embedding the Lehmann-Romano stepdown rules into SLOPE to achieve finite-sample guarantees under k-FWER and FDP thresholds. Specifically, we derive closed-form regularization sequences under orthogonal designs that provably bound k-FWER and FDP at user-specified levels, and extend these results to grouped settings via gk-SLOPE and gF-SLOPE, which control the analogous group-level errors gk-FWER and gFDP. For non-orthogonal general designs, we provide a calibrated data-driven sequence inspired by Gaussian approximation and Monte-Carlo correction, preserving convexity and scalability. Extensive simulations are conducted across sparse, correlated, and group-structured regimes. Empirical results corroborate our theoretical findings that the proposed methods achieve nominal error control, while yielding markedly higher power than competing stepdown procedures, thereby confirming the practical value of the theoretical advances.