A User-Guided Bayesian Framework for Ensemble Feature Selection in Life Science Applications (UBayFS)

Training machine learning models on high-dimensional datasets is a challenging task and requires measures to prevent overfitting and to keep model complexity low. Feature selection, which represents such a measure, plays a key role in data preprocessing and may provide insights into the systematic variation in the data. The latter aspect is crucial in domains that rely on model interpretability, such as life sciences. We propose UBayFS, an ensemble feature selection technique, embedded in a Bayesian statistical framework. Our approach considers two sources of information: data and domain knowledge. We build an ensemble of elementary feature selectors that extract information from empirical data and aggregate this information to form a meta-model, which compensates for inconsistencies between elementary feature selectors. The user guides UBayFS by weighting features and penalizing specific feature blocks or combinations. The framework builds on a multinomial likelihood and a novel version of constrained Dirichlet-type prior distribution, involving initial feature weights and side constraints. In a quantitative evaluation, we demonstrate that the presented framework allows for a balanced trade-off between user knowledge and data observations. A comparison with standard feature selectors underlines that UBayFS achieves competitive performance, while providing additional flexibility to incorporate domain knowledge.