Recursive feature elimination method using support vector machines

摘要

Identification of a determinative subset of features from within a group of features is performed by training a support vector machine using training samples with class labels to determine a value of each feature, where features are removed based on their the value. One or more features having the smallest values are removed and an updated kernel matrix is generated using the remaining features. The process is repeated until a predetermined number of features remain which are capable of accurately separating the data into different classes. In some embodiments, features are eliminated by a ranking criterion based on a Lagrange multiplier corresponding to each training sample.