特征选择

Filter methods:

• information gain
• chi-square test
• fisher score
• correlation coefficient
• variance threshold

Wrapper methods:

• recursive feature elimination
• sequential feature selection algorithms
• genetic algorithms

Embedded methods:

• L1 (LASSO) regularization
  
  • 增加惩罚项（正则项），用于控制过拟合
  • regularized_cost = cost + regularization_penalty
  • LASSO的方式：λ∑i|wi|$\lambda \sum _i|w_i|$
• decision tree