Feature selection algorithm in classification learning using support vector machines

An algorithm for selecting features in the classification learning problem is considered. The algorithm is based on a modification of the standard criterion used in the support vector machine method. The new criterion adds to the standard criterion a penalty function that depends on the selected features. The solution of the problem is reduced to finding the minimax of a convex-concave function. As a result, the initial set of features is decomposed into three classes – unconditionally selected, weighted selected, and eliminated features.