SelectArena: A Modern Benchmark for Feature Selection on Real-world Tabular Data
Selecting a subset of features (columns) from a tabular dataset is a ubiquitous challenge in real-world applications. Industry experts seek to minimize model training costs, climate scientists require an interpretable subset of factors to understand extreme weather events, and clinicians need to choose among diagnostic tests due to financial and time constraints. When looking at the scientific literature to determine which feature selection method to use, practitioners across domains face an unrepresentative landscape of benchmarking. Despite extensive research, existing feature selection benchmarks provide limited guidance because they rely on outdated models, ad hoc evaluation protocols, or artificially generated data that do not reflect real-world problems. To close the gap between scientific benchmarking and real-world applications, we introduce SelectArena, a modern benchmark for feature selection. We compare 15 widely used feature selection methods on 71 manually curated real-world tabular datasets, covering classification and regression problems, using standardized evaluation protocols and state-of-the-art tabular (foundation) models. Our results reveal clear trade-offs across predictive performance, runtime, stability, and validity. Tree-based methods, CART and RFImportance, along with F-Test are Pareto-optimal when taking into account predictive performance and runtime. F-Test, information-theory-, and distance-based methods lead on stability and validity, with F-Test emerging as a balanced choice across our metrics. Search-based methods are slow, unstable and achieve low performance. SelectArena turns these findings into practical guidance and, as an extensible platform, supports future feature selection research.