Boruta – A System for Feature Selection

Machine learning methods are often used to classify objects described by hundreds of attributes; in many applications of this kind a great fraction of attributes may be totally irrelevant to the classification problem. Even more, usually one cannot decide a priori which attributes are relevant. In this paper we present an improved version of the algorithm for identification of the full set of truly important variables in an information system. It is an extension of the random forest method which utilises the importance measure generated by the original algorithm. It compares, in the iterative fashion, the importances of original attributes with importances of their randomised copies. We analyse performance of…