Neural Gaussian Mirror for Controlled Feature Selection in Neural
Networks
- URL: http://arxiv.org/abs/2010.06175v1
- Date: Tue, 13 Oct 2020 04:30:53 GMT
- Title: Neural Gaussian Mirror for Controlled Feature Selection in Neural
Networks
- Abstract summary: We introduce neural Gaussian mirrors (NGMs), in which mirrored features are created, via a structured perturbation based on a kernel-based conditional dependence measure, to help evaluate feature importance.
As shown in simulated and real data examples, the proposed method controls the feature selection error rate at a predefined level and maintains a high selection power even with the presence of highly correlated features.
- Score: 3.716862357836751
- License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
- Abstract: Deep neural networks (DNNs) have become increasingly popular and achieved
outstanding performance in predictive tasks. However, the DNN framework itself
cannot inform the user which features are more or less relevant for making the
prediction, which limits its applicability in many scientific fields. We
introduce neural Gaussian mirrors (NGMs), in which mirrored features are
created, via a structured perturbation based on a kernel-based conditional
dependence measure, to help evaluate feature importance. We design two
modifications of the DNN architecture for incorporating mirrored features and
providing mirror statistics to measure feature importance. As shown in
simulated and real data examples, the proposed method controls the feature
selection error rate at a predefined level and maintains a high selection power
even with the presence of highly correlated features.
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