Cost-Sensitive Feature Selection Based on the Set Covering Machine

This paper describes how to make use of the cost information related to the extraction of each feature in a feature selection algorithm. For instance, in medical diagnosis, the different tests a patient might take during the diagnosis process can have different associated costs. The main idea is to change the feature selection framework in order to get low-cost subsets of informative features. This work proposes a way to introduce this information in a well-known machine learning algorithm, the Set Covering Machine.