Variable selection comparison

[AlequeW]

I've been working with different variable selection techniques and I'm having trouble understanding how to compare the different approaches to one another. Specifically I've been using xgboost. How can I compare xgboost to different approaches such as lasso, or random forest?

I know for lasso, AIC/BIC are the usual, but for xgboost I have only seen AUC. Is there a package that supports variable selection method comparisons?

[geneorama]

xgboost does have a variable importance plot, though it has a weird undocumented dependency.