1. 0 0.05 0.1 0.15 0.2 0.25 0.3 0.35 0.4 0.45 0.5 0.55 0.6 Sample size = 200 Sample size = 500 Sample size = 5000 N/A 0 0.05 0.1 0.15 0.2 0.25 0.3 0.35 0.4 0.45 0.5 0.55 0.6 0 0.05 0.1 0.15 0.2 0.25 0.3 0.35 0.4 0.45 0.5 0.55 0.6 HITON-PC (max k=4)HITON-PC (max k=3)HITON-PC (max k=2)HITON-PC (max k=1) HITON-PC-FDR (max k=4)HITON-PC-FDR (max k=3)HITON-PC-FDR (max k=2)HITON-PC-FDR (max k=1) HITON-MB (max k=3) RFE (reduction by 50%)RFE (reduction by 20%) UAF-KW-SVM (50%)UAF-KW-SVM (20%) UAF-S2N-SVM (50%)UAF-S2N-SVM (20%) L0 LARS-EN (multiclass) LARS-EN (one-versus-rest) (a)

2. Sample size = 200 Sample size = 500 Sample size = 5000 N/A 0 0.05 0.1 0.15 0.2 0.25 0.3 0.35 0.4 0.45 0.5 0.55 0.6 0 0.05 0.1 0.15 0.2 0.25 0.3 0.35 0.4 0.45 0.5 0.55 0.6 0 0.05 0.1 0.15 0.2 0.25 0.3 0.35 0.4 0.45 0.5 0.55 0.6 HITON-PC (max k=4)HITON-PC (max k=3)HITON-PC (max k=2)HITON-PC (max k=1) HITON-PC-FDR (max k=4)HITON-PC-FDR (max k=3)HITON-PC-FDR (max k=2)HITON-PC-FDR (max k=1) HITON-MB (max k=3) RFE (reduction by 50%)RFE (reduction by 20%) UAF-KW-SVM (50%)UAF-KW-SVM (20%) UAF-S2N-SVM (50%)UAF-S2N-SVM (20%) L0 LARS-EN (multiclass) LARS-EN (one-versus-rest) (b)

3. Sample size = 200 Sample size = 500 Sample size = 5000 N/A 0 0.03 0.06 0.09 0.12 0.15 0.18 0.21 0.24 0.27 0 0.03 0.06 0.09 0.12 0.15 0.18 0.21 0.24 0.27 0 0.03 0.06 0.09 0.12 0.15 0.18 0.21 0.24 0.27 HITON-PC (max k=4)HITON-PC (max k=3)HITON-PC (max k=2)HITON-PC (max k=1) HITON-PC-FDR (max k=4)HITON-PC-FDR (max k=3)HITON-PC-FDR (max k=2)HITON-PC-FDR (max k=1) HITON-MB (max k=3) RFE (reduction by 50%)RFE (reduction by 20%) UAF-KW-SVM (50%)UAF-KW-SVM (20%) UAF-S2N-SVM (50%)UAF-S2N-SVM (20%) L0 LARS-EN (multiclass) LARS-EN (one-versus-rest) (c)

4. 10 -2 10 10 0 1 2 Sample size = 200 Sample size = 500 Sample size = 5000 N/A 10 -2 10 10 0 1 2 -2 10 10 0 1 2 HITON-PC (max k=4)HITON-PC (max k=3)HITON-PC (max k=2)HITON-PC (max k=1) HITON-PC-FDR (max k=4)HITON-PC-FDR (max k=3)HITON-PC-FDR (max k=2)HITON-PC-FDR (max k=1) HITON-MB (max k=3) RFE (reduction by 50%)RFE (reduction by 20%) UAF-KW-SVM (50%)UAF-KW-SVM (20%) UAF-S2N-SVM (50%)UAF-S2N-SVM (20%) L0 LARS-EN (multiclass) LARS-EN (one-versus-rest) (d)

5. Sample size = 200 Sample size = 500 Sample size = 5000 N/A 0.5 0.55 0.6 0.65 0.7 0.75 0.8 0.85 0.9 0.95 1 0.5 0.55 0.6 0.65 0.7 0.75 0.8 0.85 0.9 0.95 1 0.5 0.55 0.6 0.65 0.7 0.75 0.8 0.85 0.9 0.95 1 HITON-PC (max k=4)HITON-PC (max k=3)HITON-PC (max k=2)HITON-PC (max k=1) HITON-PC-FDR (max k=4)HITON-PC-FDR (max k=3)HITON-PC-FDR (max k=2)HITON-PC-FDR (max k=1) HITON-MB (max k=3) RFE (reduction by 50%)RFE (reduction by 20%) UAF-KW-SVM (50%)UAF-KW-SVM (20%) UAF-S2N-SVM (50%)UAF-S2N-SVM (20%) L0 LARS-EN (multiclass) LARS-EN (one-versus-rest) All features (e)