RENT

RENT: A Python Package for Repeated Elastic Net Feature Selection. RENT (Repeated Elastic Net Technique) is a feature selection method for binary classification and regression problems. At its core RENT trains an ensemble of generalized linear models using regularized elastic net to select features. Each model in the ensemble is trained using a randomly, iid sampled subset of rows of the full training data. A single data point can appear at most once in each subset, but may appear in multiple subsets. From these unique models one can acquire weight distributions for each feature that contain rich information on the stability of feature selection and from which several adjustable classification criteria may be defined.

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  1. Anna Jenul, Stefan Schrunner, Bao Ngoc Huynh, Oliver Tomic: RENT: A Python Package for Repeated Elastic Net Feature Selection (2021) not zbMATH