12.9 Embedded Methods: LASSO and Tree Feature Importance
Right, so you’ve got your data, you’ve thrown a bunch of features at the wall, and now you’re wondering which ones are actually sticking. You’re not just throwing spaghetti at the wall to see what sticks; you’re trying to build a damn suspension bridge. This is where embedded methods come in—they’re the smart, multitasking construction crew that builds the bridge and tells you which steel beams are load-bearing and which are just for show. They perform feature selection as part of the model training process itself. No separate step. Efficient. I like it.