On 10/20/2014 04:29 PM, Lars Buitinck wrote: > 2014-10-20 22:08 GMT+02:00 George Bezerra <gbeze...@gmail.com>: >> Not an expert, but I think the idea is that you remove (or add) features one >> by one, starting from the ones that have the least (or most) impact. >> >> E.g., try removing a feature, if performance improves, keep it that way and >> move on to the next feature. It's a greedy approach; not optimal, but avoids >> exponential complexity. > No. That would be backward stepwise selection. Neither that, nor its > forward cousin (find most discriminative feature, then second-most, > etc.) are implemented in scikit-learn. > Isn't RFE the backward step selection using a maximum number of features?
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