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Algorithm 1 Feature selection. |
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1:
fordo
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Rank the features in fold i based on their SHAP values;
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Selected features i = Top features in fold i;
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end for
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Find union of selected features in all folds;
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for feature in union set do
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Find in how many folds this features makes it to top ;
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end for
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Rank features in the union based on the number of times each feature appears in the top ;
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Output the ranked list of features;
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