A Proposal to Estimate the Variable Importance Measures in Predictive Models Using Results from a Wrapper

The methods for variable importance measures and feature selection in the task of classification/regression in data mining and Big Data enable the removal of noise caused by irrelevant or redundant variables, the reduction of computational cost in the construction of models and facilitate the understanding of these models. This paper presents a proposal to measure the importance of the input variables in a classification/regression problem, taking as input the solutions evaluated by a wrapper and the performance information (quality of classification expressed for example in accuracy, precision, recall, F measure, among others) associated with each of these solutions. The proposed method quantifies the effect on the classification/regression performance produced by the presence or absence of each input variable in the subsets evaluated by the wrapper. This measure has the advantage of being specific for each classifier, which makes it possible to differentiate the effects each input variable can generate depending on the model built. The proposed method was evaluated using the results of three wrappers - one based on genetic algorithms (GA), another on particle swarm optimization (PSO), and a new proposal based on covering arrays (CA) - and compared with two filters and the variable importance in Random Forest. The experiments were performed on three classifiers (Naive Bayes, Random Forest and Multi-Layer Perception) and seven data sets from the UCI repository. The comparisons were made using Friedman’s Aligned Ranks test and the results indicate that the proposed measure stands out for maintaining in the first input variables a higher quality in the classification, approximating better to the variables found by the feature selection methods.