The changes made introduced feature selection by specifying the number of features to choose (K).
If it's not provided, all features will be used.
If it's specified, say 100. Features will be applied(first both steps: SOLUV algorithm and XGBoost, and second only XBoost if first case returned less features).
If features returned are less than the desired number of features in both cases KBest selection is used.
It was noted however that using KBest(last option) to increase the number of features doesn't improve performance.
The changes made introduced feature selection by specifying the number of features to choose (K). If it's not provided, all features will be used. If it's specified, say 100. Features will be applied(first both steps: SOLUV algorithm and XGBoost, and second only XBoost if first case returned less features). If features returned are less than the desired number of features in both cases KBest selection is used.
It was noted however that using KBest(last option) to increase the number of features doesn't improve performance.