Online Feature Selection of Class Imbalance via PA Algorithm

Imbalance classification techniques have been frequently applied in many machine learning application domains where the number of the majority （or positive） class of a dataset is much larger than that of the minority （or negative） class. Meanwhile, feature selection （FS） is one of the key techniques for the high-dimensional classification task in a manner which greatly improves the classification performance and the computational efficiency. However, most studies of feature selection and imbalance classification are restricted to off-line batch learning, which is not well adapted to some practical scenarios. In this paper, we aim to solve high-dimensional imbalanced classification problem accurately and efficiently with only a small number of active features in an online fashion, and we propose two novel online learning algorithms for this purpose. In our approach, a classifier which involves only a small and fixed number of features is constructed to classify a sequence of imbalanced data received in an online manner. We formulate the construction of such online learner into an optimization problem and use an iterative approach to solve the problem based on the passive-aggressive （PA） algorithm as well as a truncated gradient （TG） method. We evaluate the performance of the proposed algorithms based on several real-world datasets, and our experimental results have demonstrated the effectiveness of the proposed algorithms in comparison with the baselines.