A filter feature selection for high-dimensional data

In a classification problem, before building a prediction model, it is very important to identify informative features rather than using tens or thousands which may penalize some learning methods and increase the risk of over-fitting. To overcome these problems, the best solution is to use feature selection. In this article, we propose a new filter method for feature selection, by combining the Relief filter algorithm and the multi-criteria decision-making method called TOPSIS (Technique for Order Preference by Similarity to Ideal Solution), we modeled the feature selection task as a multi-criteria decision problem. Exploiting the Relief methodology, a decision matrix is computed and delivered to Technique for Order Preference by Similarity to Ideal Solution in order to rank the features. The proposed method ends up giving a ranking to the features from the best to the mediocre. To evaluate the performances of the suggested approach, a simulation study including a set of experiments and case studies was conducted on three synthetic dataset scenarios. Finally, the obtained results approve the effectiveness of our proposed filter to detect the best informative features.