Feature selection, in the context of machine learning, is the process of separating the highly predictive feature from those that might be irrelevant or redundant. Information theory has been recognized as a useful concept for this task, as the prediction power stems from the correlation, i.e., the mutual information, between features and labels. Many algorithms for feature selection in the literature have adopted the Shannon-entropy-based mutual information. In this paper, we explore the possibility of using Renyi min-entropy instead. In particular, we propose an algorithm based on a notion of conditional Renyi min-entropy that has been recently adopted in the field of security and privacy, and which is strictly related to the Bayes error. We prove that in general the two approaches are incomparable, in the sense that we show that we can construct datasets on which the Renyi-based algorithm performs better than the corresponding Shannon-based one, and datasets on which the situation is reversed. In practice, however, when considering datasets of real data, it seems that the Renyi-based algorithm tends to outperform the other one. We have effectuate several experiments on the BASEHOCK, SEMEION, and GISETTE datasets, and in all of them we have indeed observed that the Renyi-based algorithm gives better results.
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