Heterogeneous feature representations are widely used in machine learning and pattern recognition, especially for multimedia analysis. The multi-modal, often also highdimensional, features may contain redundant and irrelevant information that can deteriorate the performance of modeling in classification. It is a challenging problem to select the informative features for a given task from the redundant and heterogeneous\udfeature groups. In this paper, we propose a novel framework to address this problem. This framework is composed of two modules, namely, multi-modal deep neural networks and feature selection with sparse group LASSO. Given diverse groups of discriminative features, the proposed technique first converts the multi-modal data into a unified representation with different branches of the multi-modal deep neural networks. Then, through solving a sparse group LASSO problem, the feature\udselection component is used to derive a weight vector to indicate the importance of the feature groups. Finally, the feature groups with large weights are considered more relevant and hence are selected. We evaluate our framework on three image classification datasets. Experimental results show that the proposed approach\udis effective in selecting the relevant feature groups and achieves competitive classification performance as compared with several recent baseline methods.
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