Playing the Game of Feature Selection

We present and examine a novel Contribution-Selection algorithm (CSA) for feature selection based on the Multi-perturbation Shapley Analysis. The algorithm combines both the filter and wrapper approaches in a multi-phasic manner to estimate features’ usefulness and select them accordingly, either using forward selection or backward elimination. Empirical comparison of several feature selection methods shows that the CSA algorithm with backward elimination obtains better results on several datasets.