Cost-sensitive Dynamic Feature Selection

We present an instance-specific test-time dynamic feature selection algorithm. Our algorithm sequentially chooses features given previously selected features and their values. It stops the selection process to make a prediction according to a user-specified accuracy-cost trade-off. We cast the sequential decision-making problem as a Markov Decision Process and apply imitation learning techniques. We address the problem of learning and inference jointly in a simple multiclass classification setting. Experimental results on UCI datasets show that our approach achieves the same or higher accuracy using only a small fraction of features than static feature selection methods.