Model-Agnostic Feature Selection via LOCO-Guided Adaptive Minipatch Sampling
通过LOCO引导的自适应小子样本抽样进行模型无关特征选择
Black-box machine learning models increasingly deliver strong predictions, but extracting useful information from them, such as a set of important features, remains challenging. Existing model-agnostic methods primarily estimate feature importance or conduct inference on it rather than directly selecting features, whereas many feature selection methods are model-specific or rely on the model-X assumption. We introduce LOCO-guided Adaptive Minipatch Sampling (LAMPS), a…