general info on feature selection
https://machinelearningmastery.com/feature-selection-with-real-and-categorical-data/
Attempt was made at using the below algorithm for a 500 feature dataset. https://johfischer.com/2021/08/06/correlation-based-feature-selection-in-python-from-scratch/ The time complexity is questionable at best.
Hence, an attempt was made at only considering best combo suggested by dendrogram from hierarchical cluster based on feature correlation. https://scikit-learn.org/stable/auto_examples/cluster/plot_agglomerative_dendrogram.html https://www.kaggle.com/code/sgalella/correlation-heatmaps-with-hierarchical-clustering
- code tba
also, the following implementation of the same algo (I think?) is found. maybe it’s faster? need further investigation when free. https://github.com/ZixiaoShen/Correlation-based-Feature-Selection/blob/master/CFSmethod/CFS.py
This only considers binary classification.