Speed up SVM-RFE Procedure Using Margin Distribution

In this paper, a new method is introduced to speed up the recursive feature ranking procedure by using the margin distribution of a trained SVM. The method, M-RFE, continuously eliminates features without retraining the SVM as long as the margin distribution of the SVM does not change significantly. Synthetic datasets and two benchmark microarray datasets were tested on M-RFE. Comparison with original SVM-RFE shows that our method speeds up the feature ranking procedure considerably with little or no performance degradation. Comparison of M-RFE to a similar speed up technique, E-RFE, provides similar classification performance, but with reduced complexity