In this article, we advocate the ensemble approach for variable selection. We point out that the stochastic mechanism used to generate the variable-selection ensemble (VSE) must be picked with care. We construct a VSE using a stochastic stepwise algorithm, and compare its performance with numerous state-of-the-art algorithms.
@article{arxiv.1003.5930,
title = {Stochastic Stepwise Ensembles for Variable Selection},
author = {Lu Xin and Mu Zhu},
journal= {arXiv preprint arXiv:1003.5930},
year = {2015}
}