Automated Feature Selection: A Reinforcement Learning Perspective

Feature selection is a critical step in machine learning that selects the most important features for a subsequent prediction task. Effective feature selection can help to reduce dimensionality, improve prediction accuracy, and increase result comprehensibility. It is traditionally challenging to find the optimal feature subset from the feature subset space as the space could be very large. While much effort has been made on feature selection, reinforcement learning can provide a new perspective towards a more globally-optimal searching strategy. In the preliminary work, we propose a multi-agent reinforcement learning framework for the feature selection problem. Specifically, we first reformulate feature selection with a reinforcement learning framework by regarding each feature as an agent. Besides, we obtain the state of the environment in three ways, i.e., statistic description, autoencoder, and graph convolutional network (GCN), in order to derive a fixed-length state representation as the input of reinforcement learning. In addition, we study how the coordination among feature agents can be improved by a more effective reward scheme. Also, we provide a GMM-based generative rectified sampling strategy to accelerate the convergence of multi-agent reinforcement learning. Our method searches the feature subset space more globally and can be easily adapted to real-time scenarios due to the nature of reinforcement learning. In the extended version, we further accelerate the framework from two aspects. From the sampling aspect, we show the indirect acceleration by proposing a rank-based softmax sampling strategy. From the exploration aspect, we show the direct acceleration by proposing an interactive reinforcement learning (IRL)-based exploration strategy. Extensive experimental results show the significant improvement of the proposed method over conventional approaches.