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- alpha_investing(X, y, w0, dw)
- This function implements streamwise feature selection (SFS) algorithm alpha_investing for binary regression or
univariate regression
Input
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X: {numpy array}, shape (n_samples, n_features)
input data, assume feature arrives one at each time step
y: {numpy array}, shape (n_samples,)
input class labels or regression target
Output
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F: {numpy array}, shape (n_selected_features,)
index of selected features in a streamwise way
Reference
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Zhou, Jing et al. "Streaming Feature Selection using Alpha-investing." KDD 2006.
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