Efficient Top-K Feature Selection Using Coordinate Descent Method

Sparse learning based feature selection has been widely investigated in recent years. In this study, we focus on the l2,0-norm based feature selection, which is effective for exact top-k feature selection but challenging to optimize. To solve the general l2,0-norm constrained problems, we novelly develop a parameter-free optimization framework based on the coordinate descend (CD) method, termed CD-LSR. Specifically, we devise a skillful conversion from the original problem to solving one continuous matrix and one discrete selection matrix. Then the nontrivial l2,0-norm constraint can be solved efficiently by solving the selection matrix with CD method. We impose the l2,0-norm on a vanilla least square regression (LSR) model for feature selection and optimize it with CD-LSR. Extensive experiments exhibit the efficiency of CD-LSR, as well as the discrimination ability of l2,0-norm to identify informative features. More importantly, the versatility of CD-LSR facilitates the applications of the l2,0-norm in more sophisticated models. Based on the competitive performance of l2,0-norm on the baseline LSR model, the satisfactory performance of its applications is reasonably expected. The source MATLAB code are available at: https://github.com/solerxl/Code_For_AAAI_2023.