I'm trying to optimize my features in a dataset to get a better predictive model. I used Exhaustive feature selector from mlxtend. This checks all possible combinations of features. I have a dataset with 80+ features, and I set the maximum of features to be selected to 20 with 10-Fold cross validation. There are 9k entries and the estimator is Random Forest Regressor. It's been roughly three days this has been running. Is this normal? Previously I have run Recursive Feature Elimination on the same dataset with 10 fold cross validation. It took roughly 24 hours.
efs = EFS(RandomForestRegressor(), min_features=3, max_features=20, scoring='neg_mean_squared_error', cv=10) efs.fit(X, Y)