A Review of Feature Selection Methods Based on Mutual Information

In this work, we present a review of the state of the art of information-theoretic feature selection methods. The concepts of feature relevance, redundance, and complementarity (synergy) are clearly defined, as well as Markov blanket. The problem of optimal feature selection is defined. A unifying theoretical framework is described, which can retrofit successful heuristic criteria, indicating the approximations made by each method. A number of open problems in the field are presented.