Composite Feature Selection Using Deep Ensembles

Fergus Imrie, Alexander Luke Ian Norcliffe, Pietro Lio, Mihaela van der Schaar

Keywords: Feature Selection, Group Feature Selection

TL;DR: We introduce the problem of finding groups of predictive features without predefined partitions and propose a novel deep learning architecture to solve this problem.

Abstract: In many real world problems, features do not act alone but in combination with each other. For example, in genomics, diseases might not be caused by any single mutation but require the presence of multiple mutations. Prior work on feature selection either seeks to identify individual features or can only determine relevant groups from a predefined set. We investigate the problem of discovering groups of predictive features without predefined grouping. To do so, we define predictive groups in terms of linear and non-linear interactions between features. We introduce a novel deep learning architecture that uses an ensemble of feature selection models to find predictive groups, without requiring candidate groups to be provided. The selected groups are sparse and exhibit minimum overlap. Furthermore, we propose a new metric to measure similarity between discovered groups and the ground truth. We demonstrate the utility our model on multiple synthetic tasks and semi-synthetic chemistry datasets, where the ground truth structure is known, as well as an image dataset and a real-world cancer dataset.

Community Implementations: [ 6 code implementations](https://www.catalyzex.com/paper/arxiv:2211.00631/code)