Group Feature Selection with Streaming Features

Group feature selection makes use of structural information among features to discover a meaningful subset of features. Existing group feature selection algorithms only deal with pre-given candidate feature sets and they are incapable of handling streaming features. On the other hand, feature selection algorithms targeted for streaming features can only perform at the individual feature level without considering intrinsic group structures of the features. In this paper, we perform group feature selection with streaming features. We propose to perform feature selection at the group and individual feature levels simultaneously in a manner of a feature stream rather than a pre-given candidate feature set. In our approach, the group structures are fully utilized to reduce the cost of evaluating streaming features. We have extensively evaluated the proposed method. Experimental results have demonstrated that our proposed algorithms statistically outperform state-of-the-art methods of feature selection in terms of classification accuracy.