PR multivariate feature selection into scikit-learn

[sampan501]

Is your feature request related to a problem? Please describe.

Describe the solution you'd like

Describe alternatives you've considered

Additional context (e.g. screenshots)

[srecupe2]

Interested after our discussion today

[sampan501]

I would look at this first since you will be modifying these algorithms: https://scikit-learn.org/stable/modules/feature_selection.html. I would make pseudocode for each of these algorithms and we can talk more about what to modify

[PSSF23]

@srecupe2 are you still working on #213?

[srecupe2]

@PSSF23 I will now be focusing on this issue for this semester. In my conversation with Sambit, #213 could be an issue I focus on next semester, but for now just this issue #209

[sampan501]

https://github.com/srecupe2/scikit-learn