We propose a computationally efficient wrapper feature selection method -called Autoencoder and Model Based Elimination of features using Relevance and Redundancy scores (AMBER) -that uses a single ranker model along with autoencoders to perform greedy backward elimination of features. The ranker model is used to prioritize the removal of features that are not critical to the classification task, while the autoencoders are used to prioritize the elimination of correlated features. We demonstrate the superior feature selection ability of AMBER on 4 well known datasets corresponding to different domain applications via comparing the accuracies with other computationally efficient state-of-the-art feature selection techniques. Interestingly, we find that the ranker model that is used for feature selection does not necessarily have to be the same as the final classifier that is trained on the selected features. Finally, we hypothesize that overfitting the ranker model on the training set facilitates the selection of more salient features.
In this paper, the authors present an iterative approach for feature selection which selects features based both on the relevance and redundancy of each feature. The relevance of each feature is determined using a mild variant of the Feature Quality Index; essentially, the relevance is computed as the loss in model performance when setting each feature value to the mean and measuring the change in performance. Similarly, the redundancy of each feature is determined by comparing the reconstruction loss of an autoencoder when setting the feature value to its mean for all training samples. These two values are combined to give a single score for each feature at each iteration. The feature with the worst value is removed. A limited set of experiments suggests the proposed approach mildly outperforms other efficient feature selection methods.
Major comments
The paper does not include relevant, recent work on using autoencoders for feature selection, such as [Han et al., ICASSP 2018; Balın et al., ICML 2019], among others. Thus, it is difficult to discern how this paper either theoretically or empirically advances the state of the art.
I found the proposed approach to efficient feature selection reasonable. However, there is no theoretical justification for the approach. Thus, I would expect a thorough empirical analysis. Only a few limited experiments on toy datasets (and one slightly more challenging one) are given.
The paper is not well-written. For example, it seems as though the proposed approach is not applicable to datasets with categorical features. It is not obvious (and, presumably, would need to be shown empirically) if the mode could be used to replace categorical values analogously to how the mean is used for real-valued features. Alternatively, one could imagine one-hot encoding the categorical variables and grouping them in some manner similar to that used for the RadioML pairs (since the one-hot values are obviously highly correlated). However, the authors do not address these issues.
Similarly, the entire discussion in Section 3 seems to assume the ranker model will be some sort of neural network. However, as far as I can tell, the ranker model is treated as a black box, so it could easily be some random forest model, etc. If there are some implicit assumptions that the ranker model is a neural network, this should be made explicit; if not, the discussion should be revised (and, of course, non-neural models should be used in the experiments).
The approach seems to heavily depend on the ability of the autoencoder to reconstruct the input; however, it is unclear how the structure/capacity of the autoencoder affects the performance of the algorithm. For example, the authors propose a relatively simple structure, presumably to maintain computational efficiency. It would be interesting to explore more deeply how autoencoders with more capacity impact the results.
It is unclear why the autoencoder is retrained at each step compared to just setting the removed feature values to the respective means, as is done with the ranker model.
Clearly, the relevance and redundancy scores could be weighted unequally when selecting the feature to remove. It would be interesting to explore how different combinations affect the results.
It seems that the experiments only consider backward feature selection approaches. Including forward feature selection approaches would add useful context for how the proposed approach compares to other strategies.
Minor comments
The cross-validation scheme used is not clear. While the authors mention that three runs are used to estimate performance variance, they do not describe if this is 3-fold cross validation, some Monte Carlo cross validation, or if the same splits are used all three times and just the random seeds are different.
While methods like RFE have significantly higher computational cost than the methods considered here, it would be helpful to include it for at least one of the datasets to provide context on how much the less costly methods “lose”.
What is the overlap in the selected features? both among the different methods and among the different folds for the same method.
How were the hyperparameters for the various models chosen?
Typos, etc.
The references are not consistently formatted.
The Section 2 headers all have an unnecessary “0” in them (e.g., “2.0.1”).
Table 1 should include the standard deviations.