MetaFS: An Effective Wrapper Feature Selection via Meta Learning

Feature selection is of great importance and applies in lots of fields, such as medical and commercial. Wrapper methods, directly comparing the performance of different feature combinations, are widely used in real-world applications. However, selecting effective features meets the following two main challenges: 1) feature combinations are distributed in a huge discrete space; and 2) efficient and precise combinations evaluation is hard. To tackle these challenges, we propose a novel deep meta-learning-based feature selection framework, termed MetaFS, containing a Feature Subset Sampler (FSS) and a Meta Feature Estimator (MetaFE), which transforms the discrete search space into continuous and adopts meta-learning technique for effective feature selection. Specifically, FSS parameterizes the distribution of discrete search space and applies gradient-based methods to optimize. MetaFE learns the representations of different feature combinations, and dynamically generates unique models without retraining for efficient and precise combination evaluation. We adopt a bi-level optimization strategy to optimize the MetaFS. After optimization, we evaluate multiple feature combinations sampled from the converged distribution (i.e., the condensed search space) and select the optimal one. Finally, we conduct extensive experiments on two datasets, illustrating the superiority of MetaFS over 7 state-of-the-art methods.