Scalable Feature Selection in High-Dimensional Data Based on GRASP

Feature selection in high-dimensional data is one of the active areas of research in pattern recognition. Most of the algorithms in this area try to select a subset of features in a way to maximize the accuracy of classification regardless of the number of selected features that affect classification time. In this article, a new method for feature selection algorithm in high-dimensional data is proposed that can control the trade-off between accuracy and classification time. This method is based on a greedy metaheuristic algorithm called greedy randomized adaptive search procedure (GRASP). It uses an extended version of a simulated annealing (SA) algorithm for local search. In this version of SA, new parameters are embedded that allow the algorithm to control the trade-off between accuracy and classification time. Experimental results show supremacy of the proposed method over previous versions of GRASP for feature selection. Also, they show how the trade-off between accuracy and classification time is controllable by the parameters introduced in the proposed method.