Abstract
We propose a novel reinforcement learning-based approach for adaptive and iterative feature selection. Given a masked vector of input features, a reinforcement learning agent iteratively selects certain features to be unmasked, and uses them to predict an outcome when it is sufficiently confident. The algorithm makes use of a novel environment setting, corresponding to a non-stationary Markov Decision Process. A key component of our approach is a guesser network, trained to predict the outcome from the selected features and parametrizing the reward function. Applying our method to a national survey dataset, we show that it not only outperforms strong baselines when requiring the prediction to be made based on a small number of input features, but is also highly more interpretable. Our code is publicly available at https://github.com/ushaham/adaptiveFS.
Original language | English |
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Pages (from-to) | 2-26 |
Number of pages | 25 |
Journal | Proceedings of Machine Learning Research |
Volume | 126 |
State | Published - 1 Jan 2020 |
Externally published | Yes |
Event | 5th Machine Learning for Healthcare Conference, MLHC 2020 - Virtual, Online Duration: 7 Aug 2020 → 8 Aug 2020 |
ASJC Scopus subject areas
- Artificial Intelligence
- Software
- Control and Systems Engineering
- Statistics and Probability