On Mon, Feb 20, 2012 at 10:35:51AM +0100, Mathias Verbeke wrote:
> I would have around 10000 features. I'm working on a sentence
> classification problem,

Graph lasso won't work on such a problem.

> I would like to do feature selection, to reduce the number of
> dimensions, and was thinking to take the graph structure into account
> for that. Would you have any ideas on what would be the best way to do
> that (with or without considering the graph structure)?

I would try hierarchical clustering, constraining it with the graph:

http://scikit-learn.org/dev/modules/clustering.html#adding-connectivity-constraints

Gael

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