mC-ReliefF - An Extension of ReliefF for Cost-based Feature Selection.

The proliferation of high-dimensional data in the last few years has brought a necessity to use dimensionality reduction techniques, in which feature selection is arguably the most famous one. Feature selection consists of detecting relevant features and discarding the irrelevant ones. However, there are some situations where the users are not only interested in the relevance of the selected features but also in the costs that they imply (e.g. economical or computational costs). In this paper an extension of the well-known ReliefF method for feature selection is proposed, which consists of adding a new term to the function which updates the weights of the features so as to be able to reach a trade-off between the relevance of a feature and its associated cost. The behavior of the proposed method is tested on twelve heterogeneous classification datasets as well as a real application, using a support vector machine (SVM) as a classifier. The results of the experimental study show that the approach is sound, since it allows the user to reduce the cost significantly without compromising the classification error.