Feature Selection Search - Sampling of permutations

transferwise / hisel

Feature selection tool based on Hilbert-Schmidt Independence Criterion

Apache License 2.0

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Feature Selection Search - Sampling of permutations #27

Closed claudio-tw closed 1 year ago

claudio-tw commented 1 year ago

Context

This PR proposes a new feature selection method. It is a search algorithm in the space of permutation of the feature labels. These permutations are mapped to subset of features. It hinges around the multidimensionality of HSIC.

Checklist

[x] Change meets or does not compromise the Baseline Security Requirements