The only guaranteed technique for choosing the best subset of N properties from a set of M is to try all (MN) possible combinations. This is computationally impractical for sets of even moderate size, so heuristic techniques are required. This paper presents seven techniques for choosing good subsets of properties and compares their performance on a nine-class vectorcardiogram classification problem.
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Mucciardi et al. (1971) studied this question.
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