Feature subset selection bias for classification learning

Feature selection is often applied to high-dimensional data prior to classification learning. Using the same training dataset in both selection and learning can result in so-called feature subset selection bias. This bias putatively can exacerbate data over-fitting and negatively affect classification performance. However, in current practice separate datasets are seldom employed for selection and learning, because dividing the training data into two datasets for feature selection and classifier learning respectively reduces the amount of data that can be used in either task. This work attempts to address this dilemma. We formalize selection bias for classification learning, analyze its statistical properties, and study factors that affect selection bias, as well as how the bias impacts classification learning via various experiments. This research endeavors to provide illustration and explanation why the bias may not cause negative impact in classification as much as expected in regression.