Kernel Feature Selection via Conditional Covariance Minimization

Part of Advances in Neural Information Processing Systems 30 (NIPS 2017)

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Authors

Jianbo Chen, Mitchell Stern, Martin J. Wainwright, Michael I. Jordan

Abstract

<p>We propose a method for feature selection that employs kernel-based measures of independence to find a subset of covariates that is maximally predictive of the response. Building on past work in kernel dimension reduction, we show how to perform feature selection via a constrained optimization problem involving the trace of the conditional covariance operator. We prove various consistency results for this procedure, and also demonstrate that our method compares favorably with other state-of-the-art algorithms on a variety of synthetic and real data sets.</p>