Selects features for the model. see explain_instance_with_data to
           understand the parameters.

def feature_selection(self, data, labels, weights, num_features, method):
        """Selects features for the model. see explain_instance_with_data to
           understand the parameters."""
        if method == 'none':
            return np.array(range(data.shape[1]))
        elif method == 'forward_selection':
            return self.forward_selection(data, labels, weights, num_features)
        elif method == 'highest_weights':
            clf = Ridge(alpha=0, fit_intercept=True,
                        random_state=self.random_state)
            clf.fit(data, labels, sample_weight=weights)
            feature_weights = sorted(zip(range(data.shape[0]),
                                         clf.coef_ * data[0]),
                                     key=lambda x: np.abs(x[1]),
                                     reverse=True)
            return np.array([x[0] for x in feature_weights[:num_features]])
        elif method == 'lasso_path':
            weighted_data = ((data - np.average(data, axis=0, weights=weights))
                             * np.sqrt(weights[:, np.newaxis]))
            weighted_labels = ((labels - np.average(labels, weights=weights))
                               * np.sqrt(weights))
            nonzero = range(weighted_data.shape[1])
            _, coefs = self.generate_lars_path(weighted_data,
                                               weighted_labels)
            for i in range(len(coefs.T) - 1, 0, -1):
                nonzero = coefs.T[i].nonzero()[0]
                if len(nonzero) <= num_features:
                    break
            used_features = nonzero
            return used_features
        elif method == 'auto':
            if num_features <= 6:
                n_method = 'forward_selection'
            else:
                n_method = 'highest_weights'
            return self.feature_selection(data, labels, weights,
                                          num_features, n_method)