Monte Carlo feature selection for supervised classification

Pre-selection of informative features for supervised classification is a crucial, albeit delicate, task. It is desirable that feature selection provides the features that contribute most to the classification task per se and which should therefore be used by any classifier later used to produce classification rules. In this article, a conceptually simple but computer-intensive approach to this task is proposed. The reliability of the approach rests on multiple construction of a tree classifier for many training sets randomly chosen from the original sample set, where samples in each training set consist of only a fraction of all of the observed features.