Bayesian Network-Based Multi-objective Estimation of Distribution Algorithm for Feature Selection Tailored to Regression Problems

Feature selection is an essential pre-processing step in Machine Learning for improving the performance of models, reducing the time of predictions, and, more importantly, identifying the most significant features. Sometimes, this identification can reduce the time and cost of obtaining feature values because it could imply buying fewer sensors or spending less human time. This paper proposes an Estimation of Distribution Algorithm (EDA) for feature selection tailored to regression problems with a multi-objective approach. The objective is to maximize the performance of learning models and minimize the number of selected features. We use a Bayesian Network (BN) as the EDA distribution probability model. The main contribution of this work is the process used to create this BN structure. It aims to capture the redundancy and relevance among features. Also, the BN is used to create the initial EDA population. We test and compare the performance of our proposal with other multi-objective algorithms: an EDA with a Bernoulli distribution probability model, NSGA II, and AGEMOEA, using different datasets. The experimental results show that the proposed algorithm found solutions with a considerably fewer number of features. Additionally, the proposed algorithm achieves comparable results on models' performance compared with the other algorithms. Our proposal generally expended less time and had fewer objective function evaluations.