A general framework for formulating structured variable selection

Published: 25 Jan 2024, Last Modified: 25 Jan 2024Accepted by TMLREveryoneRevisionsBibTeX
Abstract: In variable selection, a selection rule that prescribes the permissible sets of selected variables (called a "selection dictionary") is desirable due to the inherent structural constraints among the candidate variables. Such selection rules can be complex in real-world data analyses, and failing to incorporate such restrictions could not only compromise the interpretability of the model but also lead to decreased prediction accuracy. However, no general framework has been proposed to formalize selection rules and their applications, which poses a significant challenge for practitioners seeking to integrate these rules into their analyses. In this work, we establish a framework for structured variable selection that can incorporate universal structural constraints. We develop a mathematical language for constructing arbitrary selection rules, where the selection dictionary is formally defined. We demonstrate that all selection rules can be expressed as combinations of operations on constructs, facilitating the identification of the corresponding selection dictionary. We use a detailed and complex example to illustrate the developed framework. Once this selection dictionary is derived, practitioners can apply their own user-defined criteria to select the optimal model. Additionally, our framework enhances existing penalized regression methods for variable selection by providing guidance on how to appropriately group variables to achieve the desired selection rule. Furthermore, our innovative framework opens the door to establishing new $\ell_0$-based penalized regression techniques that can be tailored to respect arbitrary selection rules, thereby expanding the possibilities for more robust and tailored model development.
Submission Length: Regular submission (no more than 12 pages of main content)
Changes Since Last Submission: Deanonymized and fix the typo (changed "LexApixaban" to "Let Apixaban").
Assigned Action Editor: ~Alessandro_Sperduti1
License: Creative Commons Attribution 4.0 International (CC BY 4.0)
Submission Number: 1730