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Feature Selection via Coalitional Game Theory

scohen{at}cs.cmu.edu School of Computer Sciences, Tel-Aviv University, Tel-Aviv, Israel

Gideon Dror

gideon{at}mta.ac.il Department of Computer Sciences, Academic College of Tel-Aviv-Yaffo, Tel-Aviv, Israel

Eytan Ruppin

ruppin{at}post.tau.ac.il School of Computer Sciences, Tel-Aviv University, Tel-Aviv, Israel, and Department of Computer Sciences, Academic College of Tel-Aviv-Yaffo, Tel-Aviv, Israel

We present and study the contribution-selection algorithm (CSA), a novel algorithm for feature selection. The algorithm is based on the multiperturbation shapley analysis (MSA), a framework that relies on game theory to estimate usefulness. The algorithm iteratively estimates the usefulness of features and selects them accordingly, using either forward selection or backward elimination. It can optimize various performance measures over unseen data such as accuracy, balanced error rate, and area under receiver-operator-characteristic curve. Empirical comparison with several other existing feature selection methods shows that the backward elimination variant of CSA leads to the most accurate classification results on an array of data sets.