Try to speed up feature selection methods

[alex-hse-repository]

🚀 Feature Request

Now, TreeFeatureSelectionTransform works x40 faster than GaleShapleyFeatureSelectionTransform and MRMRFeatureSelectionTransform, see the notebook. We should try to speed them up.

Proposal

• Try to speed up the current implementations of the transforms or show that computational complexity does not allow to do that.
• Test the improved implementations on the syntactic datasets of different sizes and different number of features(of different types)
• The final version should work faster on the dataset from the notebook

Test cases

No response

Additional context

See code from the tasks ETNA-1210, ETNA-1226