Check out these posts: https://blog.kxy.ai/tag/feature-selection/ https://blog.kxy.ai/tag/feature-selection/. This one in particular compares a few methods on

Check out these posts: https://blog.kxy.ai/tag/feature-selection/ https://blog.kxy.ai/tag/feature-selection/. This one in particular compares a few methods on 38 datasets and has some Python code: https://blog.kxy.ai/adding-feature-selection-to-any-model-in-python/ https://blog.kxy.ai/adding-feature-selection-to-any-model-in.... Disclaimer: I wrote the original blog post.