On Estimating Model in Feature Selection With Cross-Validation

Both wrapper and hybrid methods in feature selection need the intervention of learning algorithm to train parameters. The preset parameters and dataset are used to construct several sub-optimal models, from which the final model is selected. The question is how to evaluate the performance of these sub-optimal models? What are the effects of different evaluation methods of sub-optimal model on the result of feature selection? Aiming at the evaluation problem of predictive models in feature selection, we chose a hybrid feature selection algorithm, FDHSFFS, and conducted comparative experiments on four UCI datasets with large differences in feature dimension and sample size by using five different cross-validation (CV) methods. The experimental results show that in the process of feature selection, twofold CV and leave-one-out-CV are more suitable for the model evaluation of low-dimensional and small sample datasets, tenfold nested CV and tenfold CV are more suitable for the model evaluation of high-dimensional datasets; tenfold nested CV is close to the unbiased estimation, and different optimal models may choose the same approximate optimal feature subset.