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Feature selection is an important data-preprocessing technique in classification problems such as bioinformatics and signal processing. Generally, there are some situations where a user is interested in not only maximizing the classification performance but also minimizing the cost that may be associated with features. This kind of problem is called cost-based feature selection. However, most existing feature selection approaches treat this task as a single-objective optimization problem. This paper presents the first study of multi-objective particle swarm optimization (PSO) for cost-based feature selection problems. The task of this paper is to generate a Pareto front of nondominated solutions, that is, feature subsets, to meet different requirements of decision-makers in real-world applications. In order to enhance the search capability of the proposed algorithm, a probability-based encoding technology and an effective hybrid operator, together with the ideas of the crowding distance, the external archive, and the Pareto domination relationship, are applied to PSO. The proposed PSO-based multi-objective feature selection algorithm is compared with several multi-objective feature selection algorithms on five benchmark datasets. Experimental results show that the proposed algorithm can automatically evolve a set of nondominated solutions, and it is a highly competitive feature selection method for solving cost-based feature selection problems.

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