We investigate feature selection problem for generic machine learning (ML) models. We introduce a novel framework that selects features considering the predictions of the model. Our framework innovates by using a novel feature masking approach to eliminate the features during the selection process, instead of completely removing them from the dataset. This allows us to use the same ML model during feature selection, unlike other feature selection methods where we need to train the ML model again as the dataset has different dimensions on each iteration. We obtain the mask operator using the predictions of the ML model, which offers a comprehensive view on the subsets of the features essential for the predictive performance of the model. A variety of approaches exist in the feature selection literature. However, no study has introduced a training-free framework for a generic ML model to select features while considering the importance of the feature subsets as a whole, instead of focusing on the individual features. We demonstrate significant performance improvements on the real-life datasets under different settings using LightGBM and Multi-Layer Perceptron as our ML models. Additionally, we openly share the implementation code for our methods to encourage the research and the contributions in this area.

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