Unsupervised Variable Selection for Ultrahigh-Dimensional Clustering Analysis

Abstract: Compared to supervised variable selection, the research on unsupervised variable selection is far behind. A forward partial-variable clustering full-variable loss (FPCFL) method is proposed for the corresponding challenges. An advantage is that the FPCFL method can distinguish active, redundant, and uninformative variables, which the previous methods cannot achieve. Theoretical and simulation studies show that the performance of a clustering method using all the variables can be worse if many uninformative variables are involved. Better results are expected if the uninformative variables are excluded. The research addresses a previous concern about how variable selection affects the performance of clustering. Rather than many previous methods attempting to select all the relevant variables, the proposed method selects a subset that can induce an equally good result. This phenomenon does not appear in the supervised variable selection problems.