Assessing feature importance with random forests
In previous sections, you learned how to use L1 regularization to zero out irrelevant features via logistic regression, and use the SBS algorithm for feature selection and apply it to a KNN algorithm. Another useful approach to select relevant features from a dataset is to use a random forest, an ensemble technique that we introduced in Chapter 3, A Tour of Machine Learning Classifiers Using scikit-learn. Using a random forest, we can measure the feature importance as the averaged impurity decrease computed from all decision trees in the forest, without making any assumptions about whether our data is linearly separable or not. Conveniently, the random forest implementation in scikit-learn already ...
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