I have 640 features and 1 target feature in 53,460 rows.
I am trying to select features using sklearn’s RFECV. Since I want to speed things up, I have configured both of them as shown below and I am sure that this is not a proper configuration of parameters, I would like suggestions from the community to complete things quicker.
from sklearn.feature_selection import RFECV
from xgboost import XGBClassifier
.......
xgb_rfe = XGBClassifier(objective='multi:softmax', num_class=3, eval_metric='logloss', use_label_encoder=False,
random_state=100, n_estimators=10_000, verbosity=0, early_stopping_rounds=3_000,
# i have cpu with 16 threads(with 8 cores)
n_jobs=7)
rfe = RFECV(estimator=xgb_rfe, min_features_to_select=2, verbose=2, n_jobs=2, cv=3)
rfe.fit(X=X_train, y=y_train)
Thanks.