Hi Shuki and Yaniv, the sequential forward selection algorithm is already 
implemented in the mlxtend python package, which is complimentary to scikit 
learn. 
https://rasbt.github.io/mlxtend/user_guide/feature_selection/SequentialFeatureSelector/
  best wishes Oliver ---- On Mon, 03 Sep 2018 13:17:30 +0200 Shuki Cohen 
<shok...@gmail.com> wrote ---- On Mon, Sep 3, 2018 at 1:21 PM Shuki Cohen 
<shok...@gmail.com> wrote: Hi all, Me and a friend of mine found lack of 
feature selection functionalities in Scikit-learn and we thought to contribute 
in order to answer this need. More specifically, we want to add: 1. Sequential 
Forward Selection algorithm  2. Multivariate Feature Selection to the 
Scikit-learn code base, and this mail is to get your approval that such a 
project has good chances to be added to the next version. Thanks in advance 
Shuki & Yaniv _______________________________________________ scikit-learn 
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