Toward Optimal Feature Selection

Daphne KollerMehran Sahami

article1996ICML1,913 citations

Develops an information-theoretic filter algorithm that efficiently eliminates both irrelevant and redundant features, providing a theoretically grounded solution for high-dimensional classification tasks without the computational burden of wrapper methods.

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Modern classification tasks frequently involve datasets with hundreds or thousands of variables, many of which are irrelevant or redundant. High-dimensional data significantly slows model training—often exponentially—and increases the risk of overfitting, especially when available training samples are limited. Existing methods to select useful variables either scale poorly due to computationally prohibitive iterative model training or fail to eliminate redundant, correlated features.

The article develops and evaluates an information-theoretic framework and an efficient heuristic algorithm to eliminate uninformative variables prior to model training without sacrificing predictive accuracy.

The proposed method operates as a preprocessing filter using backward elimination. Rooted in information theory, it measures information loss via cross-entropy (Kullback-Leibler distance) and leverages the concept of a Markov blanket—a subset of features that renders a target feature conditionally independent of the class and all other variables. Because computing exact Markov blankets across all features is computationally intractable, the authors developed a heuristic algorithm that conditions on a small set of strongly correlated features to approximate information loss. The approach was evaluated on synthetic benchmarks (Corral, LED-24), standard benchmark datasets (Congressional Voting, DNA), and two high-dimensional text classification subsets from the Reuters corpus comprising over 1,600 features, comparing downstream classification performance against Naive Bayes and C4.5 decision tree models.

The evaluation yielded several key findings: First, the filter drastically compressed feature spaces while maintaining or improving predictive accuracy, notably reducing the DNA dataset from 180 features down to 30 or 80 features with equal or improved model accuracy. Second, the backward elimination approach successfully handled complex feature interactions where traditional forward selection failed, such as correctly removing misleading correlated features in the Corral dataset to boost C4.5 decision tree accuracy from 81.2% to 100%. Third, in high-dimensional text datasets, the algorithm removed approximately 1,000 features (reducing feature count by roughly 60%) in about 1.5 hours on standard hardware, whereas wrapper-based alternatives would require estimated thousands of hours. Finally, on the DNA benchmark, the algorithm performed feature reduction in 6 to 15 minutes, representing a two-order-of-magnitude runtime reduction compared to a 15-hour wrapper approach that achieved comparable accuracy.

These findings demonstrate that information-theoretic filtering enables organizations to deploy machine learning on high-dimensional domains, such as text classification and bioinformatics, at a fraction of the computational overhead and runtime cost of existing wrapper methods. Because the selection process is decoupled from specific downstream classifiers, the reduced feature subset can be generated once and shared across multiple modeling algorithms without retraining.

Organizations handling massive feature sets should adopt this filtering approach as a standard preprocessing step to prune noisy and redundant inputs before deploying complex or computationally heavy classification algorithms. When maximum accuracy is paramount, teams can use this filter to rapidly discard the vast majority of irrelevant features before applying specialized wrapper searches on the remaining compact subset. Practitioners should also evaluate whether simple, unconditioned feature selection suffices for domains with minimal feature interaction to further save preprocessing time.

The primary limitation of the algorithm is its heuristic approximation of Markov blankets, which uses a fixed number of conditioning variables. Increasing the conditioning set size can fragment small training samples and cause non-monotonic fluctuations in estimated feature relevance. Consequently, users should exercise caution and tune the conditioning parameter appropriately when working with limited training data.

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Abstract

In this paper, we examine a method for feature subset selection based on Information Theory. Initially, a framework for defining the theoretically optimal, but computationally intractable, method for feature subset selection is presented. We show that our goal should be to eliminate a feature if it gives us little or no additional information beyond that subsumed by the remaining features. In particular, this will be the case for both irrelevant and redundant features. We then give an efficient algorithm for feature selection which computes an approximation to the optimal feature selection criterion. The conditions under which the approximate algorithm is successful are examined. Empirical results are given on a number of data sets, showing that the algorithm effectively handles datasets with a very large number of features.

Table of Contents

  • 1. Introduction
  • 2. Theoretical Framework
  • 3. An Approximate Algorithm
  • 4. Results
  • 5. Conclusions

Knowls

  1. Knowl 1 — Cross-Entropy Criterion for Optimal Feature Subset Selection

    equation

    Let F={F1,…,Fn}F = \{F_1, \dots, F_n\} be the complete set of features, C∈{c1,…,cℓ}C \in \{c_1, \dots, c_\ell\} be the discrete target class variable, and G⊆FG \subseteq F be a candidate subset of features. For any instance assignment f=(f1,…,fn)f = (f_1, \dots, f_n) to FF, let fGf_G denote the projection of ff onto the variables in GG. The information loss incurred by restricting the feature set from FF to GG is measured by the expected Kullback-Leibler divergence (cross-entropy) between the true conditional distribution Pr⁡(C∣F=f)\Pr(C \mid F = f) and the projected conditional distribution Pr⁡(C∣G=fG)\Pr(C \mid G = f_G):

    ΔG=∑fPr⁡(F=f) D(Pr⁡(C∣F=f) ∥ Pr⁡(C∣G=fG))\Delta_G = \sum_{f} \Pr(F = f) \, D(\Pr(C \mid F = f) \,\|\, \Pr(C \mid G = f_G))

    where the cross-entropy D(μ ∥ σ)D(\mu \,\|\, \sigma) for two distributions μ\mu and σ\sigma over the class space {c1,…,cℓ}\{c_1, \dots, c_\ell\} is:

    D(μ ∥ σ)=∑k=1ℓμ(ck)log⁡μ(ck)σ(ck)D(\mu \,\|\, \sigma) = \sum_{k=1}^\ell \mu(c_k) \log \frac{\mu(c_k)}{\sigma(c_k)}

    The theoretically optimal feature selection objective is to find a minimal subset G⊆FG \subseteq F for which ΔG\Delta_G is minimized (with ΔF=0\Delta_F = 0).

  2. Knowl 2 — Markov Blanket Condition for Zero-Divergence Feature Elimination

    theoretical result

    Let FF be the full feature set, CC be the target class variable, and G⊆FG \subseteq F be a current active feature subset.

    A feature Fi∈GF_i \in G is conditionally independent of CC given G′=G∖{Fi}G' = G \setminus \{F_i\} if and only if ΔG′=ΔG\Delta_{G'} = \Delta_G, where ΔG\Delta_G is the expected cross-entropy ∑fPr⁡(f)D(Pr⁡(C∣F=f) ∥ Pr⁡(C∣G=fG))\sum_{f} \Pr(f) D(\Pr(C \mid F = f) \,\|\, \Pr(C \mid G = f_G)).

    A subset of features M⊆F∖{Fi}M \subseteq F \setminus \{F_i\} is defined as a Markov blanket for FiF_i if FiF_i is conditionally independent of all other features (F∖M∖{Fi})(F \setminus M \setminus \{F_i\}) given MM:

    Pr⁡(F∖M∖{Fi}∣M,Fi)=Pr⁡(F∖M∖{Fi}∣M)\Pr(F \setminus M \setminus \{F_i\} \mid M, F_i) = \Pr(F \setminus M \setminus \{F_i\} \mid M)

    If some subset M⊆GM \subseteq G is a Markov blanket for FiF_i, then the target class CC is conditionally independent of FiF_i given MM (i.e., Pr⁡(C∣M,Fi)=Pr⁡(C∣M)\Pr(C \mid M, F_i) = \Pr(C \mid M)), which implies that:

    ΔG∖{Fi}=ΔG\Delta_{G \setminus \{F_i\}} = \Delta_G

    Therefore, removing any feature FiF_i that possesses a Markov blanket within the remaining features causes zero information loss with respect to predicting the class distribution.

  3. Knowl 3 — Invariance of Markov Blanket Redundancy Under Successive Feature Removal

    theoretical result

    Let G⊆FG \subseteq F be the current set of features. Suppose a previously removed feature Fi∉GF_i \notin G has a Markov blanket within GG. If another feature Fj∈GF_j \in G is removed based on a Markov blanket Mj⊆GM_j \subseteq G, then FiF_i is guaranteed to retain a valid Markov blanket within the reduced set G∖{Fj}G \setminus \{F_j\}.

    Specifically, if Mi⊆GM_i \subseteq G was a Markov blanket for FiF_i before removing FjF_j:

    1. If Fj∉MiF_j \notin M_i, then Mi⊆G∖{Fj}M_i \subseteq G \setminus \{F_j\} remains a valid Markov blanket for FiF_i.
    2. If Fj∈MiF_j \in M_i, letting Mi′=Mi∖{Fj}M_i' = M_i \setminus \{F_j\}, the union Mi′∪Mj⊆G∖{Fj}M_i' \cup M_j \subseteq G \setminus \{F_j\} is a valid Markov blanket for FiF_i.

    This invariance guarantees that removing an unnecessary feature (whether irrelevant or redundant) never renders a previously eliminated feature necessary again, validating monotonic backward elimination.

  4. Knowl 4 — Approximate Markov Blanket Feature Elimination Algorithm

    algorithm

    The algorithm approximates Markov blanket backward elimination by identifying a candidate conditioning set MiM_i of KK features strongly correlated with FiF_i and evaluating its expected cross-entropy.

    Input: Full feature set F={F1,…,Fn}F = \{F_1, \dots, F_n\}, dataset of mm instances, class variable CC, conditioning set size K≥0K \ge 0, number of features to eliminate rr
    Output: Reduced feature subset G⊆FG \subseteq F of size n−rn - r
    for each pair of features Fi,Fj∈FF_i, F_j \in F with i≠ji \ne j:
        Compute Pearson correlation:
        ρij=Cov(Fi,Fj)Stddev(Fi) Stddev(Fj)\rho_{ij} = \frac{\text{Cov}(F_i, F_j)}{\text{Stddev}(F_i) \, \text{Stddev}(F_j)}
    Initialize active feature set G=FG = F
    for step = 1 to rr:
        for each feature Fi∈GF_i \in G:
            Let Mi⊆G∖{Fi}M_i \subseteq G \setminus \{F_i\} be the set of KK features Fj∈G∖{Fi}F_j \in G \setminus \{F_i\} with the largest correlation magnitude ∣ρij∣|\rho_{ij}|
            Compute expected cross-entropy:
            δG(Fi∣Mi)=∑fMi,fiPr⁡(Mi=fMi,Fi=fi) D(Pr⁡(C∣Mi=fMi,Fi=fi) ∥ Pr⁡(C∣Mi=fMi))\delta_G(F_i \mid M_i) = \sum_{f_{M_i}, f_i} \Pr(M_i = f_{M_i}, F_i = f_i) \, D(\Pr(C \mid M_i = f_{M_i}, F_i = f_i) \,\|\, \Pr(C \mid M_i = f_{M_i}))
        Select feature F∗=arg⁡min⁡Fi∈GδG(Fi∣Mi)F^* = \arg\min_{F_i \in G} \delta_G(F_i \mid M_i)
        Update active set: G=G∖{F∗}G = G \setminus \{F^*\}
    return GG

    If MiM_i is a true Markov blanket for FiF_i, δG(Fi∣Mi)=0\delta_G(F_i \mid M_i) = 0. The feature with the smallest value is greedily removed at each iteration.

  5. Knowl 5 — Computational Complexity of Markov Blanket Filter Feature Selection

    theoretical result

    For a dataset with nn initial features, mm instances, cc classes, and an elimination target of rr features with a conditioning set size of KK features:

    1. Correlation Matrix Computation: Computing all pairwise Pearson correlation factors ρij\rho_{ij} and sorting them for each feature requires: O(n2(m+log⁡n))O(n^2(m + \log n))

    2. Iterative Elimination: Evaluating the candidate Markov blanket MiM_i and the expected cross-entropy over 2K2^K value configurations across all active features over rr elimination steps requires: O(r⋅n⋅K⋅m⋅2K⋅c)O(r \cdot n \cdot K \cdot m \cdot 2^K \cdot c)

    3. Caching Optimization: Because eliminating a feature F∗F^* only alters MiM_i for the few remaining features that contained F∗F^* in their top-KK correlations, caching allows the elimination phase complexity to be reduced by approximately a factor of nn.

    Unlike wrapper methods that require running induction algorithms O(2n)O(2^n) or O(r⋅n)O(r \cdot n) times, this filter method is classifier-independent and scales efficiently to thousands of features.

  6. Knowl 6 — Theoretical Justification of Backward Elimination over Forward Selection

    model/method

    Feature selection can be viewed as navigation in probability distribution space between the prior class distribution Pr⁡(C)\Pr(C) (no features) and the full conditional distribution Pr⁡(C∣F)\Pr(C \mid F) (all features).

    Backward elimination begins at Pr⁡(C∣F)\Pr(C \mid F), where cross-entropy ΔF=0\Delta_F = 0, and removes features that cause the minimal increase in ΔG\Delta_G. Because each elimination step explicitly bounds divergence from the full conditional distribution, the feature set stays close to the true target distribution throughout the search trajectory.

    In contrast, forward selection begins at Pr⁡(C)\Pr(C) and greedily adds the feature FjF_j maximizing information gain (expected cross-entropy between Pr⁡(C∣G)\Pr(C \mid G) and Pr⁡(C∣G∪{Fj})\Pr(C \mid G \cup \{F_j\})). While this takes large steps away from Pr⁡(C)\Pr(C), taking a large step away from the prior distribution does not guarantee moving closer to the target distribution Pr⁡(C∣F)\Pr(C \mid F), often leading forward selection into suboptimal subsets.

  7. Knowl 7 — Limitations of Heuristic Markov Blanket Approximation

    limitation

    The heuristic Markov blanket feature selection algorithm exhibits two primary limitations as the conditioning set size KK varies:

    1. Non-Monotonicity of Conditional Independence: Conditional independence is non-monotonic: a feature FiF_i may be conditionally independent of class CC given a candidate blanket MM, yet strongly correlated with CC given a superset M∪{Fj}M \cup \{F_j\}. As a result, selecting conditioning variables solely based on pairwise correlation can misjudge feature relevance, causing estimated relevance to fluctuate unpredictably as KK increases.
    2. Data Sample Fragmentation: Evaluating expected cross-entropy requires estimating probabilities conditioned on joint assignments of MiM_i. For discrete binary features, the sample space splits into 2K2^K bins. Increasing KK fragments finite training data into small partitions, degrading probability estimates and cross-entropy reliability.
  8. Knowl 8 — Classification Performance on Benchmark UCI and Synthetic Datasets

    data/table

    The approximate Markov blanket feature selection algorithm was evaluated using Naive Bayes and C4.5 decision tree classifiers across synthetic and UCI benchmark datasets, comparing original feature sets against forward selection and backward elimination with conditioning set sizes K∈{0,1,2,3,4}K \in \{0, 1, 2, 3, 4\}.

    Dataset # Features KK Naive Bayes Accuracy C4.5 Accuracy
    Orig. / Final Orig. Fwd. Bckwd. Orig. Fwd. Bckwd.
    Corral 6 / 4 0 90.6% 84.4% 84.4% 81.2% 81.2% 75.0%
    1 90.6% 81.3% 81.3% 81.2% 75.0% 81.2%
    2 90.6% 81.3% 87.5% 81.2% 81.2% 100.0%
    3 90.6% 81.3% 81.3% 81.2% 81.2% 81.2%
    4 90.6% 81.3% 81.3% 81.2% 81.2% 75.0%
    LED-24 24 / 14 0 64.2% 67.9% 67.9% 65.7% 65.3% 65.6%
    1 64.2% 67.2% 67.8% 65.7% 64.6% 67.3%
    2 64.2% 66.6% 64.6% 65.7% 63.0% 64.1%
    LED-24 24 / 7 0 64.2% 70.5% 70.5% 65.7% 68.9% 68.9%
    1 64.2% 51.6% 53.0% 65.7% 51.1% 51.7%
    2 64.2% 63.9% 68.5% 65.7% 61.7% 64.2%
    Vote 48 / 28 0 91.9% 91.9% 91.9% 97.0% 97.0% 97.0%
    1 91.9% 91.9% 91.9% 97.0% 97.0% 95.6%
    2 91.9% 91.9% 91.9% 97.0% 97.0% 97.0%
    Vote 48 / 8 0 91.9% 95.6% 94.8% 97.0% 97.0% 97.0%
    1 91.9% 95.6% 94.8% 97.0% 97.0% 97.0%
    2 91.9% 97.0% 96.3% 97.0% 97.0% 97.0%
    DNA 180 / 80 0 93.3% 94.5% 94.9% 92.3% 93.6% 93.4%
    1 93.3% 92.2% 92.5% 92.3% 92.2% 91.2%
    2 93.3% 93.6% 94.4% 92.3% 93.8% 93.4%
    DNA 180 / 30 0 93.3% 93.3% 93.8% 92.3% 93.9% 93.8%
    1 93.3% 83.0% 91.2% 92.3% 82.0% 92.7%
    2 93.3% 77.1% 93.6% 92.3% 77.4% 93.4%

    Key results:

    • On Corral (target: (A∧B)∨(C∧D)(A \land B) \lor (C \land D), 1 irrelevant feature, 1 correlated feature matching class 75%75\% of the time), backward elimination with K=2K=2 successfully removed the correlated and irrelevant features, allowing C4.5 to reach 100.0%100.0\% accuracy, whereas forward selection always retained the correlated feature.
    • On LED-24 (7 relevant, 17 irrelevant features independent given class), setting K=0K=0 achieved optimal feature selection (70.5% for Naive Bayes, 68.9% for C4.5).
    • On DNA, reducing features from 180 down to 30 with backward elimination (K=2K=2) maintained high accuracy (93.6%93.6\% Naive Bayes, 93.4%93.4\% C4.5), whereas forward selection degraded to 77.1%77.1\% and 77.4%77.4\%.
  9. Knowl 9 — Feature Selection on High-Dimensional Text Categorization

    empirical result

    The Markov blanket backward elimination algorithm was evaluated on text classification datasets from the Reuters collection:

    • Reuters1: 1675 word features, 3 classes (coffee, iron-steel, livestock), characterized by distinct vocabularies across topics.
    • Reuters2: 1646 word features, 3 classes (reserves, gold, gross national product), characterized by overlapping vocabulary across topics.

    Eliminating 1000 features reduced the feature space to nearly 1/31/3 of its initial size:

    Dataset # Features KK Naive Bayes Accuracy C4.5 Accuracy
    Orig. / Final Orig. Fwd. Bckwd. Orig. Fwd. Bckwd.
    Reuters1 1675 / 675 0 94.2% 95.2% 95.2% 95.2% 96.2% 96.2%
    2 94.2% 91.4% 97.1% 95.2% 88.5% 95.2%
    Reuters2 1646 / 646 0 87.5% 87.5% 87.5% 89.8% 93.0% 89.8%
    2 87.5% 88.3% 89.1% 89.8% 91.4% 92.2%

    Eliminating 1000 features required approximately 1.51.5 hours on a Sun Sparc 10 workstation (compared to thousands of hours estimated for wrapper methods). On Reuters1 with K=2K=2, backward elimination achieved 97.1%97.1\% accuracy for Naive Bayes and 95.2%95.2\% for C4.5, outperforming forward selection (91.4%91.4\% and 88.5%88.5\%, respectively).

Coverage note — No substantial contributed material was omitted from the extraction.

References

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Citation

MLA
Koller, D., and M. Sahami. “Toward Optimal Feature Selection”. International Conference on Machine Learning, 1996, pp. 284–92, http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.155.2293.
APA
Koller, D., & Sahami, M. (1996). Toward optimal feature selection. International Conference on Machine Learning, 284–292. http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.155.2293
Chicago
Koller, D., and M. Sahami. 1996. “Toward Optimal Feature Selection”. International Conference on Machine Learning, 284–92. http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.155.2293.
Harvard
Koller, D. and Sahami, M. (1996) “Toward optimal feature selection”, International Conference on Machine Learning, pp. 284–292. Available at: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.155.2293.
Vancouver
1. Koller D, Sahami M (1996) Toward optimal feature selection. International Conference on Machine Learning 284–292

BibTeX

@article{koller1996toward,
  title = {Toward optimal feature selection},
  author = {Koller, Daphne and Sahami, Mehran},
  year = {1996},
  journal = {International Conference on Machine Learning},
  pages = {284-292},
  url = {http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.155.2293}
}
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