Knockoff-Guided Feature Selection via A Single Pre-trained Reinforced
  Agent
Xinyuan Wang Dongjie Wang Wangyang Ying Rui Xie Haifeng Chen Yanjie Fu
Feature selection prepares the AI-readiness of data by eliminating redundant
features. Prior research falls into two primary categories: i) Supervised
Feature Selection, which identifies the optimal feature subset based on their
relevance to the target variable; ii) Unsupervised Feature Selection, which
reduces the feature space dimensionality by capturing the essential information
within the feature set instead of using target variable. However, SFS
approaches suffer from time-consuming processes and limited generalizability
due to the dependence on the target variable and downstream ML tasks. UFS
methods are constrained by the deducted feature space is latent and
untraceable. To address these challenges, we introduce an innovative framework
for feature selection, which is guided by knockoff features and optimized
through reinforcement learning, to identify the optimal and effective feature
subset. In detail, our method involves generating "knockoff" features that
replicate the distribution and characteristics of the original features but are
independent of the target variable. Each feature is then assigned a pseudo
label based on its correlation with all the knockoff features, serving as a
novel metric for feature evaluation. Our approach utilizes these pseudo labels
to guide the feature selection process in 3 novel ways, optimized by a single
reinforced agent: 1). A deep Q-network, pre-trained with the original features
and their corresponding pseudo labels, is employed to improve the efficacy of
the exploration process in feature selection. 2). We introduce unsupervised
rewards to evaluate the feature subset quality based on the pseudo labels and
the feature space reconstruction loss to reduce dependencies on the target
variable. 3). A new {\epsilon}-greedy strategy is used, incorporating insights
from the pseudo labels to make the feature selection process more effective.