FEATURE SELECTION BASED ON MINIMUM ERROR MINIMAX PROBABILITY MACHINE
Feature selection is an important task in pattern recognition. Support Vector Machine (SVM) and Minimax Probability Machine (MPM) have been successfully used as the classification framework for feature selection. However, these paradigms cannot automatically control the balance between prediction accuracy and the number of selected features. In addition, the selected feature subsets are also not stable in different data partitions. Minimum Error Minimax Probability Machine (MEMPM) has been proposed for classification recently. In this paper, we outline MEMPM to select the optimal feature subset with good stability and automatic balance between prediction accuracy and the size of feature subset. The experiments against feature selection with SVM and MPM show the advantages of the proposed MEMPM formulation in stability and automatic balance between the feature subset size and the prediction accuracy.