Reinforced Variable Selection via Natural Policy Gradient
Yuan Le,
Fan Zhou,
Yang Bai
Abstract:Variable selection identifies the best subset of covariates when building the prediction model, among all possible subsets. In this paper, we propose a novel reinforced variable selection method, called “Actor-Critic-Predictor”. The actor takes an action to choose variables and the predictor evaluates the action based on a well-designed reward function, where the reward baseline is learned by the critic. We model the variable selection process as a multi-armed bandit and update the subset of variables being se… Show more
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