提出基于残差重叠的停止规则,自动确定特征排序截断点。
When to Truncate a Feature Ranking: A Residual-Overlap Stopping Rule for Subset Selection
- 用贝塔系数衡量类间分离度,通过残差重叠阈值判断何时停止选特征
- 在高维基因组数据上将数万变量压缩至数十个,预测性能接近全特征基准
- 只需一维边缘估计,适合超高维场景下可解释的特征筛选
特征排序广泛用于监督式特征选择,因其简单、可扩展且易解释。变量先按相关性得分排序,再通过保留前若干名获得子集。尽管第一阶段已深入研究,第二阶段常依赖任意数量、经验阈值或交叉验证,缺乏直接解释。本文提出一个分布框架,将监督特征排序转化为与类别无关的子集,采用风险校准的停止规则。对每对类别,使用贝塔系数度量类条件分布间的边际分离。所提方法通过保留排序中最短前缀,使所有相关类别对比的残差乘积重叠低于预设阈值,从而选出单一全局子集。推导了二分类和多分类的贝叶斯风险边界,并从目标成对风险水平中获取依赖先验和不依赖先验的残差重叠阈值校准。在高维基因组数据上的实证比较显示,该规则可将数万变量缩减至几十个,同时保持与全特征基线相当的预测性能。由于停止规则仅需一维边际重叠估计并扫描预计算排序,适用于穷举子集搜索不可行的超高维场景,且可解释的特征排序截断至关重要。
原文摘要 · Abstract (English)
Feature rankings are widely used in supervised feature selection because they are simple, scalable and easy to interpret. Variables are first ranked by a relevance score, and a subset is then obtained by retaining the top-ranked variables. Although the first stage has been extensively studied, the second is often governed by an arbitrary cardinality, an empirical threshold or cross-validation, without a direct interpretation. This raises a basic question: given a feature ranking, when is there enough accumulated class-separation evidence to stop selecting features? This paper develops a distributional framework for transforming supervised feature rankings into class-independent subsets through an explicit risk-calibrated stopping rule. For each variable and each pair of classes, marginal separation is measured by the Bhattacharyya coefficient between the corresponding class-conditional distributions. The proposed method selects a single global subset shared by all classes by retaining the shortest prefix of a ranking whose residual product overlap falls below a prescribed threshold for every relevant class contrast. We derive binary and multiclass Bayes-risk bounds for the labelled product marginal problem, and obtain prior-dependent and prior-free calibrations of the residual-overlap threshold from a target all-pairs risk level. An empirical comparison on high-dimensional genomic datasets illustrates that the rule can reduce tens of thousands of variables to a few dozen while maintaining predictive performance statistically comparable to the all-features baseline. As the stopping rule only requires one-dimensional marginal overlap estimates and scans a precomputed ranking, it is well suited to very high-dimensional settings where exhaustive subset search is infeasible and interpretable truncation of feature rankings is essential.
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