Feature Selection with Optuna

Feature selection is a critical step in machine learning pipelines that involves finding a reduced set of features for improved generalization, better inference, efficient training, and better interpretation. Optuna is a versatile and promising tool for feature selection that uses Bayesian optimization techniques to efficiently search the parameter space and find the best feature combinations. The article provides a hands-on example of using Optuna for feature selection and compares it to other common strategies.