特征选择MCFS算法，来自github

n many data analysis tasks, one is often confronted with very high dimensional data. Feature selection techniques are designed to find the relevant feature subset of the original features which can facilitate clustering, classification and retrieval. The feature selection problem is essentially a combinatorial optimization problem which is computationally expensive. Traditional feature selection methods address this issue by selecting the top ranked features based on certain scores computed independently for each feature. These approaches neglect the possible correlation between different features and thus can not produce an optimal feature subset. Inspired from the recent developments on manifold learning and L1-regularized models for subset selection, we propose here a new approach, called {\em Multi-Cluster/Class Feature Selection} (MCFS), for feature selection. Specifically, we select those features such that the multi-cluster/class structure of the data can be best preserved. The corresponding optimization problem can be efficiently solved since it only involves a sparse eigen-problem and a L1-regularized least squares problem. It is important to note that MCFS can be applied in superised, unsupervised and semi-supervised cases. If you find these algoirthms useful, we appreciate it very much if you can cite our following works: Papers Deng Cai, Chiyuan Zhang, Xiaofei He, "Unsupervised Feature Selection for Multi-cluster Data", 16th ACM SIGKDD Conference on Knowledge Discovery and Data Mining (KDD'10), July 2010. Bibtex source Xiaofei He, Deng Cai, and Partha Niyogi, "Laplacian Score for Feature Selection", Advances in Neural Information Processing Systems 18 (NIPS'05), Vancouver, Canada, 2005 Bibtex source