A feature selection algorithm capable of handling extremely large data dimensionality

With the advent of high throughput technologies, feature selection has become increasingly important in a wide range of scientific disciplines. We propose a new feature selection algorithm that performs extremely well in the presence of a huge number of irrelevant features. The key idea is to decompose an arbitrarily complex nonlinear models into a set of locally linear ones through local learning, and then estimate feature relevance globally within a large margin framework. The algorithm is capable of processing many thousands of features within a few minutes on a personal computer, yet maintains a close-to-optimum accuracy that is nearly insensitive to a growing number of irrelevant features. Experiments on eight synthetic and real-world datasets are presented that demonstrate the effectiveness of the algorithm.