Scalable Feature Selection via Distributed Diversity Maximization

Feature selection is a fundamental problem in machine learning and data mining. The majority of feature selection algorithms are designed for running on a single machine (centralized setting) and they are less applicable to very large datasets. Although there are some distributed methods to tackle this problem, most of them are distributing the data horizontally which are not suitable for datasets with a large number of features and few number of instances. Thus, in this paper, we introduce a novel vertically distributable feature selection method in order to speed up this process and be able to handle very large datasets in a scalable manner. In general, feature selection methods aim at selecting relevant and non-redundant features (Minimum Redundancy and Maximum Relevance). It is much harder to consider redundancy in a vertically distributed setting than a centralized setting since there is no global access to the whole data. To the best of our knowledge, this is the first attempt toward solving the feature selection problem with a vertically distributed filter method which handles the redundancy with consistently comparable results with centralized methods. In this paper, we formalize the feature selection problem as a diversity maximization problem by introducing a mutual-information-based metric distance on the features. We show the effectiveness of our method by performing an extensive empirical study. In particular, we show that our distributed method outperforms state-of-the-art centralized feature selection algorithms on a variety of datasets. From a theoretical point of view, we have proved that the used greedy algorithm in our method achieves an approximation factor of 1/4 for the diversity maximization problem in a distributed setting with high probability. Furthermore, we improve this to 8/25 expected approximation using multiplicity in our distribution.