On a set of 9 features I have applied Recursive Feature Elimination (RFE) algorithm using SVM estimator, following approach from (1). When requesting a subset of size 1 to be found, then RFE returned feature X.
However, when I trained SVM over each feature individually, I found another feature Y to have higher accuracy than SVM trained over X.
I thought that RFE finds features with the highest accuracy.
Is my understanding of RFE wrong?