April, 9 2021 Rosa Arboretti, Riccardo Ceccato, Luca Pegoraro and Luigi Salmaso Variable selection plays a fundamental role in the analysis of data containing several variables which are redundant or irrelevant to the problem of interest. The ability to identify and discard these variables would make it possible to improve predictive performances and data interpretation, thus reducing costs and computational time. Although many methods have been proposed for feature selection, in some fields there is