MATLAB: Feature selection to perform classification using Multinomial Logistic Regression

Question

Hello, I need to do feature selection in a classification situation. I have two different situations normal versus pathological and the discrimination of five classes. I'm thinking to use Multinomial logistic regression implemented in stepwisefit Matlab function. After feature selection the classification is performed using SVM with RBF kernel. Do you think its a good aproach? Must data respect some constrainsts? I havent found any paper using this aproach!.

Thank you.

Maria

Answer 1

You should not use a linear model for feature selection and a nonlinear model for classification on the selected features. If you have the latest MATLAB (16b), the fscnca function in the Statistics and Machine Learning Toolbox can perform simultaneous feature selection and classification with an RBF kernel. If you do not have 16b, try sequential feature selection from sequentialfs using SVM with an RBF kernel for feature selection. Sequential feature selection could prove too slow if you have many features.