This paper proposes a novel approach for constructing effective personalized policies when the observed data lacks counter-factual information, is biased and possesses many features. The approach is applicable in a wide variety of settings from healthcare to advertising to education to finance. These settings have in common that the decision maker can observe, for each previous instance, an array of features of the instance, the action taken in that instance, and the reward realized—but not the rewards of actions that were not taken: the counterfactual information. Learning in such settings is made even more difficult because the observed data is typically biased by the existing policy (that generated the data) and because the array of features that might affect the reward in a particular instance—and hence should be taken into account in deciding on an action in each particular instance—is often vast. The approach presented here estimates propensity scores for the observed data, infers counterfactuals, identifies a (relatively small) number of features that are (most) relevant for each possible action and instance, and prescribes a policy to be followed. Comparison of the proposed algorithm against state-of-art algorithms on actual datasets demonstrates that the proposed algorithm achieves a significant improvement in performance.
With respect to learning, feature selection methods can be divided into three categories -- filter models, wrapper models, and embedded models @cite_20 . Our method is most similar to filter techniques in which features are ranked according to a selected criterion such as a Fisher score @cite_33 , correlation based scores @cite_24 , mutual information based scores @cite_3 @cite_6 @cite_29 , Hilbert-Schmidt Independence Criterion (HSIC) @cite_24 and Relief and its variants @cite_21 @cite_16 ) etc., and the features having the highest ranks are labeled as relevant. However, these existing methods are developed for classification problems and they cannot easily handle datasets in which the rewards of actions not taken are missing.
@cite_33 @cite_29 @cite_21 @cite_3 @cite_6 @cite_24 @cite_16 @cite_20
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Algorithms for feature selection fall into two broad categories: wrappers that use the learning algorithm itself to evaluate the usefulness of features and filters that evaluate features according to heuristics based on general characteristics of the data. For application to large databases, filters have proven to be more practical than wrappers because they are much faster. However, most existing filter algorithms only work with discrete classification problems. This paper describes a fast, correlation-based filter algorithm that can be applied to continuous and discrete problems. The algorithm often outperforms the well-known ReliefF attribute estimator when used as a preprocessing step for naive Bayes, instance-based learning, decision trees, locally weighted regression, and model trees. It performs more feature selection than ReliefF does—reducing the data dimensionality by fifty percent in most cases. Also, decision and model trees built from the preprocessed data are often significantly smaller. We introduce a framework for filtering features that employs the Hilbert-Schmidt Independence Criterion (HSIC) as a measure of dependence between the features and the labels. The key idea is that good features should maximise such dependence. Feature selection for various supervised learning problems (including classification and regression) is unified under this framework, and the solutions can be approximated using a backward-elimination algorithm. We demonstrate the usefulness of our method on both artificial and real world datasets. In supervised learning scenarios, feature selection has been studied widely in the literature. Selecting features in unsupervised learning scenarios is a much harder problem, due to the absence of class labels that would guide the search for relevant information. And, almost all of previous unsupervised feature selection methods are "wrapper" techniques that require a learning algorithm to evaluate the candidate feature subsets. In this paper, we propose a "filter" method for feature selection which is independent of any learning algorithm. Our method can be performed in either supervised or unsupervised fashion. The proposed method is based on the observation that, in many real world classification problems, data from the same class are often close to each other. The importance of a feature is evaluated by its power of locality preserving, or, Laplacian Score. We compare our method with data variance (unsupervised) and Fisher score (supervised) on two data sets. Experimental results demonstrate the effectiveness and efficiency of our algorithm. We present an unsupervised method for learning a hierarchy of sparse feature detectors that are invariant to small shifts and distortions. The resulting feature extractor consists of multiple convolution filters, followed by a feature-pooling layer that computes the max of each filter output within adjacent windows, and a point-wise sigmoid non-linearity. A second level of larger and more invariant features is obtained by training the same algorithm on patches of features from the first level. Training a supervised classifier on these features yields 0.64 error on MNIST, and 54 average recognition rate on Caltech 101 with 30 training samples per category. While the resulting architecture is similar to convolutional networks, the layer-wise unsupervised training procedure alleviates the over-parameterization problems that plague purely supervised learning procedures, and yields good performance with very few labeled training samples.