Filter request: ReliefF

[pat-s]

"This filter is an extension of the original Relief algorithm [31] that works by randomly sampling an instance from the dataset and then locating its nearest neighbor from the same and opposite class. The values of the nearest neigh- bor attributes are compared to the sampled instance and used to update relevance scores for each attribute. The rationale is that a useful attribute should differentiate between instances from different classes, and have the same value for instances from the same class. Compared to Relief, ReliefF is more robust, better handles multiclass problems and incomplete and noisy data, can be applied in all situations, has low bias, allows in- teraction among features, and may capture local dependencies which other methods miss."

Seijo-Pardo, B., Porto-Díaz, I., Bolón-Canedo, V., & Alonso-Betanzos, A. (2017). Ensemble feature selection: Homogeneous and heterogeneous approaches. Knowledge-Based Systems, 118, 124–139. https://doi.org/10/f9qgrv

-> This is available in FSelector::relief() but we would like to avoid FSelector due to its Java dep.

[mllg]

Maybe we can request this filter to be included into FSelectorRcpp?

[pat-s]

FSelectorRcpp now has the Relief filter, waiting for the CRAN release.