Mutual information and sensitivity analysis for feature selection in customer targeting: a comparative study

Background: Since 1990 many feature selection methods have been proposed across heterogeneous applications. To validate the usefulness of a new method, it needs to be compared against at least one baseline method from the existing literature on a feature selection task using at least one dataset. Recent developments in tabular Deep Learning (DL) and data valuation in Machine Learning (ML) suggest that the evaluation of new methods, algorithms, and models may be consciously or unconsciously biased. We hypothesise that a similar trend exists in feature selection (FS), particularly in filter feature selection (FFS). The aim of this study is therefore to examine FFS studies to identify factors that influence the evaluation and that might consist entry point for biases in order to recommend stronger principles for FFS evaluation. Methods: We analyse a sample of 28 high profile FFS studies published between 1994 and 2025. The analysis provides reflections on how to examine FFS studies, highlights lessons learned throughout the process, and gives five evidence-based recommendations for future FFS evaluation. Results: Multivariate Linear Regression analysis achieved a score of $R^2=0.33$. It means that 33% of the variance in the performance of new methods against chosen baselines (win rate) is explained by the number of datasets (#Datasets), the number of baselines (#Baselines), and the number of new methods (#NewMethods). Discussion: $R^2=0.33$ is considered medium explanation; which is promising given that this is the first such study. The medium explanation result is due to the fact that win rate is influenced by additional factors such as the maturity of the feature selection domain, the type of datasets and baselines, and the simplicity of the regression model used to explain the relationship.

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.

Feature selection is a fundamental machine learning and data mining task, involved with discriminating redundant features from informative ones. It is an attempt to address the curse of dimensionality by removing the redundant features, while unlike dimensionality reduction methods, preserving explainability. Feature selection is conducted in both supervised and unsupervised settings, with different evaluation metrics employed to determine which feature selection algorithm is the best. In this paper, we propose FSEVAL, a feature selection evaluation toolbox accompanied with a visualization dashboard, with the goal to make it easy to comprehensively evaluate feature selection algorithms. FSEVAL aims to provide a standardized, unified, evaluation and visualization toolbox to help the researchers working in the field, conduct extensive and comprehensive evaluation of feature selection algorithms with ease.