Multi-label feature selection using sklearn - python-2.7

Question

I'm looking to perform feature selection with a multi-label dataset using sklearn. I want to get the final set of features across labels, which I will then use in another machine learning package. I was planning to use the method I saw here, which selects relevant features for each label separately.
from sklearn.svm import LinearSVC
from sklearn.feature_selection import chi2, SelectKBest
from sklearn.multiclass import OneVsRestClassifier
clf = Pipeline([('chi2', SelectKBest(chi2, k=1000)),
('svm', LinearSVC())])
multi_clf = OneVsRestClassifier(clf)
I then plan to extract the indices of the included features, per label, using this:
selected_features = []
for i in multi_clf.estimators_:
selected_features += list(i.named_steps["chi2"].get_support(indices=True))
Now, my question is, how do I choose which selected features to include in my final model? I could use every unique feature (which would include features that were only relevant for one label), or I could do something to select features that were relevant for more labels.
My initial idea is to create a histogram of the number of labels a given feature was selected for, and to identify a threshold based on visual inspection. My concern is that this method is subjective. Is there a more principled way of performing feature selection for multilabel datasets using sklearn?

Answer 1

According to the conclusions in this paper:
[...] rank features according to the average or the maximum
Chi-squared score across all labels, led to most of the best
classifiers while using less features.
Then, in order to select a good subset of features you just need to do (something like) this:
from sklearn.feature_selection import chi2, SelectKBest
selected_features = []
for label in labels:
selector = SelectKBest(chi2, k='all')
selector.fit(X, Y[label])
selected_features.append(list(selector.scores_))
// MeanCS
selected_features = np.mean(selected_features, axis=0) > threshold
// MaxCS
selected_features = np.max(selected_features, axis=0) > threshold
Note: in the code above I'm assuming that X is the output of some text vectorizer (the vectorized version of the texts) and Y is a pandas dataframe with one column per label (so I can select the column Y[label]). Also, there is a threshold variable that should be fixed beforehand.

Answer 2

http://scikit-learn.org/stable/modules/feature_selection.html
There is a multitude of options, but SelectKBest and Recursive feature elimination are two reasonably popular ones.
RFE works by leaving uniformative features out of the model, and retraining, and comparing the results, so that the features left at the end are the ones which enable the best prediction accuracy.
What is best is highly dependant on your data and use case.
Aside from what can loosely be described as cross validation approaches to feature selection, you can look at Bayesian model selection, which is a more theoretical approach and tends to favor more simple models over complex ones.