What machine learning classifiers exists which provide after the learning phase a weight vector? I know about SVM, logistic regression, perceptron and LDA. Are there more?
My goal is to use these weight vector to draw an importance map.
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Actually any linear classifier has such a property by design.
As I understand, what you want to do is something like feature selection without cut-off of least useful ones.
See the paper
authors compare several methods for feature selection including usage of SVM weights and find the last to be the best.