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There are ways to estimate the importance of features in the model.

However, if I have a new feature and want to know whether this can help my existing classification model, what can analysis I do? Assuming retraining models with new features + old features is too computationally intensive.

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I suppose you could create a new model with no large computational cost that takes as input the old features, extended with the new one.

Then use the output of this new model as input to the trained existing model.

Then train this combination to see if the new feature improves the result.

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  • $\begingroup$ How could you use "the output of this new model as input to the trained existing model"? The input of the trained existing model is those old features only, right? $\endgroup$ Jan 29, 2017 at 19:15
  • $\begingroup$ If the new feature does not contribute any information needed for the classification that is not already in the old features, then the output of the new model should converge to those old features. But who knows ... It's just a thought. $\endgroup$ Jan 29, 2017 at 22:18

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