Comprehensive Guide to Feature Selection in Python Using Scikit-Learn

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Feature selection, a critical step in building effective machine learning models, involves selecting the most informative features from the dataset to train the model. By reducing the dimensionality of the data, feature selection can improve model interpretability, reduce overfitting, enhance generalization, and shorten training time.

Python’s Scikit-learn, a widely used machine learning library, offers various methods for feature selection. This article provides a detailed guide on performing feature selection in Python using Scikit-learn.

Understanding Feature Selection

Feature selection techniques are generally divided into three categories: filter methods, wrapper methods, and embedded methods. Filter methods rank features based on statistical measures and are generally faster. Wrapper methods consider the selection of a set of features as a search problem, where different combinations are prepared, evaluated, and compared. Embedded methods learn which features best contribute to the accuracy of the model while the model is being created.

Filter Methods

Filter methods evaluate features independently of the algorithm, often based on correlation with the target variable.

Variance Threshold

Scikit-learn provides a feature selector called VarianceThreshold that operates on a simple principle. It removes all features whose variance falls below a certain predefined threshold, implying that features with a low variance are less informative.

from sklearn.feature_selection import VarianceThreshold

# Instantiate a VarianceThreshold feature selector
sel = VarianceThreshold(threshold=(.8 * (1 - .8)))

# Fit the selector to the data
selected_features = sel.fit_transform(X)

Correlation Matrix with Heatmap

Correlation determines how features are interrelated or related to the target variable. Highly correlated variables are often redundant as they do not provide unique information. We can visualize this correlation using a heatmap.

import seaborn as sns

# Compute the correlation matrix
corr_matrix = X.corr()

# Draw a heatmap with the correlation matrix
sns.heatmap(corr_matrix, annot=True)

Wrapper Methods

These methods consider the model’s performance as the evaluation criterion.

Recursive Feature Elimination (RFE)

RFE is a feature ranking technique provided by Scikit-learn. It performs a search for the best performing feature subset. It iteratively trains models and decides the best or the worst-performing feature at each iteration, based on the chosen model performance metric.

from sklearn.feature_selection import RFE
from sklearn.linear_model import LogisticRegression

# Create an RFE model with LogisticRegression as the estimator
model = LogisticRegression(solver='lbfgs')
rfe = RFE(model, 3)

# Fit the model to the data
rfe =, y)

# Get the ranking of the features
ranking = rfe.ranking_

Embedded Methods

These methods learn and identify the most suitable features that contribute to the accuracy of the model during the model training process.

Lasso Regularization

Lasso Regularization is a method that can result in sparse models where some coefficients can become zero. This means that some features are entirely discarded and can be interpreted as the algorithm doing feature selection.

from sklearn.linear_model import LassoCV

# Create and fit a LassoCV model
lasso = LassoCV().fit(X, y)

# Get the features that have non-zero coefficients
important_features = np.sum(lasso.coef_ != 0)

Tree-based Feature Selection

Tree-based machine learning models like decision trees and random forests provide an easy-to-use method for feature selection. They provide a feature_importances_ attribute after fitting, which gives the relative importance of each feature.

from sklearn.ensemble import RandomForestClassifier

# Create and fit a RandomForestClassifier
model = RandomForestClassifier().fit(X, y)

# Get the importance of the features
importances = model.feature_importances_


Feature selection is an indispensable step in the machine learning pipeline. Its importance in constructing an understandable, efficient, and accurate predictive model cannot be overstated. As you continue to delve deeper into machine learning, understanding and mastering different feature selection techniques with Python and Scikit-learn will invariably prove to be a great asset. Keep exploring, and happy machine learning!

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