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Recursive feature elimination with cross-validationΒΆ

A recursive feature elimination example with automatic tuning of the number of features selected with cross-validation.


Script output:

Optimal number of features : 5

Python source code:


from sklearn.svm import SVC
from sklearn.cross_validation import StratifiedKFold
from sklearn.feature_selection import RFECV
from sklearn.datasets import make_classification
from sklearn.metrics import zero_one_loss

# Build a classification task using 3 informative features
X, y = make_classification(n_samples=1000, n_features=25, n_informative=3,
                           n_redundant=2, n_repeated=0, n_classes=8,
                           n_clusters_per_class=1, random_state=0)

# Create the RFE object and compute a cross-validated score.
svc = SVC(kernel="linear")
rfecv = RFECV(estimator=svc, step=1, cv=StratifiedKFold(y, 2),
              scoring='accuracy'), y)

print("Optimal number of features : %d" % rfecv.n_features_)

# Plot number of features VS. cross-validation scores
import pylab as pl
pl.xlabel("Number of features selected")
pl.ylabel("Cross validation score (nb of misclassifications)")
pl.plot(range(1, len(rfecv.grid_scores_) + 1), rfecv.grid_scores_)

Total running time of the example: 2.86 seconds