4 - Features, Reduced: Feature Selection, Dimensionality Reduction and Embeddings

Summary

This chapter presents a staple of Feature Engineering: the automatic reduction of features, either by direction selection or by projection to a smaller feature space.Central to Feature Engineering are efforts to reduce the number of features, as uninformative features bloat the ML model with unnecessary parameters. In turn, too many parameters then either produces suboptimal results, as they are easy to overfit, or require large amounts of training data. These efforts are either by explicitly dropping certain features (feature selection) or mapping the feature vector, if it is sparse, into a lower, denser dimension (dimensionality reduction). There are also cover some algorithms that perform feature selection as part of their inner computation (embedded feature selection or regularization). Feature selection takes the spotlight within Feature Engineering due to its intrinsic utility for Error Analysis. Some techniques such as feature ablation using wrapper methods are used as the starting step before a feature drill down. Moreover, as feature selection helps build understandable models, it intertwines with Error Analysis as the analysis profits from such understandable models.