INVASE: Instance-wise Variable Selection using Neural NetworksDownload PDF

27 Sept 2018, 22:35 (modified: 10 Feb 2022, 11:36)ICLR 2019 Conference Blind SubmissionReaders: Everyone
Keywords: Instance-wise feature selection, interpretability, actor-critic methodology
Abstract: The advent of big data brings with it data with more and more dimensions and thus a growing need to be able to efficiently select which features to use for a variety of problems. While global feature selection has been a well-studied problem for quite some time, only recently has the paradigm of instance-wise feature selection been developed. In this paper, we propose a new instance-wise feature selection method, which we term INVASE. INVASE consists of 3 neural networks, a selector network, a predictor network and a baseline network which are used to train the selector network using the actor-critic methodology. Using this methodology, INVASE is capable of flexibly discovering feature subsets of a different size for each instance, which is a key limitation of existing state-of-the-art methods. We demonstrate through a mixture of synthetic and real data experiments that INVASE significantly outperforms state-of-the-art benchmarks.
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