Feature selection with distance correlation

Choosing which properties of the data to use as input to multivariate decision algorithms—also known as feature selection—is an important step in solving any problem with machine learning. While there is a clear trend towards training sophisticated deep networks on large numbers of relatively unprocessed inputs (so-called automated feature engineering), for many tasks in physics, sets of theoretically well-motivated and well-understood features already exist. Working with such features can bring many benefits, including greater interpretability, reduced training and run time, and enhanced stability and robustness. We develop a new feature selection method based on distance correlation, and demonstrate its effectiveness on the tasks of boosted top- and <a:math xmlns:a="http://www.w3.org/1998/Math/MathML" display="inline"><a:mrow><a:mi>W</a:mi></a:mrow></a:math>-tagging. Using our method to select features from a set of over 7,000 energy flow polynomials, we show that we can match the performance of much deeper architectures, by using only ten features and two orders-of-magnitude fewer model parameters.