This paper proposes a novel approach for constructing effective personalized policies when the observed data lacks counter-factual information, is biased and possesses many features. The approach is applicable in a wide variety of settings from healthcare to advertising to education to finance. These settings have in common that the decision maker can observe, for each previous instance, an array of features of the instance, the action taken in that instance, and the reward realized—but not the rewards of actions that were not taken: the counterfactual information. Learning in such settings is made even more difficult because the observed data is typically biased by the existing policy (that generated the data) and because the array of features that might affect the reward in a particular instance—and hence should be taken into account in deciding on an action in each particular instance—is often vast. The approach presented here estimates propensity scores for the observed data, infers counterfactuals, identifies a (relatively small) number of features that are (most) relevant for each possible action and instance, and prescribes a policy to be followed. Comparison of the proposed algorithm against state-of-art algorithms on actual datasets demonstrates that the proposed algorithm achieves a significant improvement in performance.
 Feature selection is an important problem for pattern classification systems. We study how to select good features according to the maximal statistical dependency criterion based on mutual information. Because of the difficulty in directly implementing the maximal dependency condition, we first derive an equivalent form, called minimal-redundancy-maximal-relevance criterion (mRMR), for first-order incremental feature selection. Then, we present a two-stage feature selection algorithm by combining mRMR and other more sophisticated feature selectors (e.g., wrappers). This allows us to select a compact set of superior features at very low cost. We perform extensive experimental comparison of our algorithm and other methods using three different classifiers (naive Bayes, support vector machine, and linear discriminate analysis) and four different data sets (handwritten digits, arrhythmia, NCI cancer cell lines, and lymphoma tissues). The results confirm that mRMR leads to promising improvement on feature selection and classification accuracy. In real-world concept learning problems, the representation of data often uses many features, only a few of which may be related to the target concept. In this situation, feature selection is important both to speed up learning and to improve concept quality. A new feature selection algorithm Relief uses a statistical method and avoids heuristic search. Relief requires linear time in the number of given features and the number of training instances regardless of the target concept to be learned. Although the algorithm does not necessarily find the smallest subset of features, the size tends to be small because only statistically relevant features are selected. This paper focuses on empirical test results in two artificial domains; the LED Display domain and the Parity domain with and without noise. Comparison with other feature selection algorithms shows Relief's advantages in terms of learning time and the accuracy of the learned concept, suggesting Relief's practicality.  Feature selection, as a preprocessing step to machine learning, is effective in reducing dimensionality, removing irrelevant data, increasing learning accuracy, and improving result comprehensibility. However, the recent increase of dimensionality of data poses a severe challenge to many existing feature selection methods with respect to efficiency and effectiveness. In this work, we introduce a novel concept, predominant correlation, and propose a fast filter method which can identify relevant features as well as redundancy among relevant features without pairwise correlation analysis. The efficiency and effectiveness of our method is demonstrated through extensive comparisons with other methods using real-world data of high dimensionality We introduce a framework for feature selection based on dependence maximization between the selected features and the labels of an estimation problem, using the Hilbert-Schmidt Independence Criterion. The key idea is that good features should be highly dependent on the labels. Our approach leads to a greedy procedure for feature selection. We show that a number of existing feature selectors are special cases of this framework. Experiments on both artificial and real-world data show that our feature selector works well in practice. Relief algorithms are general and successful attribute estimators. They are able to detect conditional dependencies between attributes and provide a unified view on the attribute estimation in regression and classification. In addition, their quality estimates have a natural interpretation. While they have commonly been viewed as feature subset selection methods that are applied in prepossessing step before a model is learned, they have actually been used successfully in a variety of settings, e.g., to select splits or to guide constructive induction in the building phase of decision or regression tree learning, as the attribute weighting method and also in the inductive logic programming. A broad spectrum of successful uses calls for especially careful investigation of various features Relief algorithms have. In this paper we theoretically and empirically investigate and discuss how and why they work, their theoretical and practical properties, their parameters, what kind of dependencies they detect, how do they scale up to large number of examples and features, how to sample data for them, how robust are they regarding the noise, how irrelevant and redundant attributes influence their output and how different metrics influences them. Nowadays, the growth of the high-throughput technologies has resulted in exponential growth in the harvested data with respect to both dimensionality and sample size. The trend of this growth of the UCI machine learning repository is shown in Figure 1. Efficient and effective management of these data becomes increasing challenging. Traditionally manual management of these datasets to be impractical. Therefore, data mining and machine learning techniques were developed to automatically discover knowledge and recognize ...