Feature selection using feature importances in random forests with scikit-learn

Question

I have plotted the feature importances in random forests with scikit-learn. In order to improve the prediction using random forests, how can I use the plot information to remove features? I.e. how to spot whether a feature is useless or even worse decrease of the random forests performance, based on the plot information? The plot is based on the attribute feature_importances_ and I use the classifier sklearn.ensemble.RandomForestClassifier.

I am aware that there exist other techniques for feature selection, but in this question I want to focus on how to use feature feature_importances_.

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Examples of such feature importance plots:

Answer 1

You can simply use the feature_importances_ attribute to select the features with the highest importance score. So for example you could use the following function to select the K best features according to importance.

def selectKImportance(model, X, k=5):
     return X[:,model.feature_importances_.argsort()[::-1][:k]]

Or if you're using a pipeline the following class

class ImportanceSelect(BaseEstimator, TransformerMixin):
    def __init__(self, model, n=1):
         self.model = model
         self.n = n
    def fit(self, *args, **kwargs):
         self.model.fit(*args, **kwargs)
         return self
    def transform(self, X):
         return X[:,self.model.feature_importances_.argsort()[::-1][:self.n]]

So for example:

>>> from sklearn.datasets import load_iris
>>> from sklearn.ensemble import RandomForestClassifier
>>> iris = load_iris()
>>> X = iris.data
>>> y = iris.target
>>> 
>>> model = RandomForestClassifier()
>>> model.fit(X,y)
RandomForestClassifier(bootstrap=True, class_weight=None, criterion='gini',
            max_depth=None, max_features='auto', max_leaf_nodes=None,
            min_samples_leaf=1, min_samples_split=2,
            min_weight_fraction_leaf=0.0, n_estimators=10, n_jobs=1,
            oob_score=False, random_state=None, verbose=0,
            warm_start=False)
>>> 
>>> newX = selectKImportance(model,X,2)
>>> newX.shape
(150, 2)
>>> X.shape
(150, 4)

And clearly if you wanted to selected based on some other criteria than "top k features" then you can just adjust the functions accordingly.