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We investigate the robustness of the model-X knockoffs framework with respect to the misspecified or estimated feature distribution. We achieve such a goal by theoretically studying the feature selection performance of a practically implemented knockoffs algorithm, which we name as the approximate knockoffs (ARK) procedure, under the measures of the false discovery rate (FDR) and k-familywise error rate (k-FWER). The approximate knockoffs procedure differs from the model-X knockoffs procedure only in that the former uses the misspecified or estimated feature distribution. A key technique in our theoretical analyses is to couple the approximate knockoffs procedure with the model-X knockoffs procedure so that random variables in these two procedures can be close in realizations. We prove that if such coupled model-X knockoffs procedure exists, the approximate knockoffs procedure can achieve the asymptotic FDR or k-FWER control at the target level. We showcase three specific constructions of such coupled model-X knockoff variables, verifying their existence and justifying the robustness of the model-X knockoffs framework. Additionally, we formally connect our concept of knockoff variable coupling to a type of Wasserstein distance.
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Controlling costs: Feature selection on a budget
The traditional framework for feature selection treats all features as costing the same amount. However, in reality, a scientist often has considerable discretion regarding which variables to measure, and the decision involves a tradeoff between model accuracy and cost (where cost can refer to money, time, difficulty or intrusiveness). In particular, unnecessarily including an expensive feature in a model is worse than unnecessarily including a cheap feature. We propose a procedure, which we call cheap knockoffs, for performing feature selection in a cost‐conscious manner. The key idea behind our method is to force higher cost features to compete with more knockoffs than cheaper features. We derive an upper bound on the weighted false discovery proportion associated with this procedure, which corresponds to the fraction of the feature cost that is wasted on unimportant features. We prove that this bound holds simultaneously with high probability over a path of selected variable sets of increasing size. A user may thus select a set of features based, for example, on the overall budget, while knowing that no more than a particular fraction of feature cost is wasted. We investigate, through simulation and a biomedical application, the practical importance of incorporating cost considerations into the feature selection process.
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- Award ID(s):
- 1748166
- PAR ID:
- 10364730
- Publisher / Repository:
- Wiley Blackwell (John Wiley & Sons)
- Date Published:
- Journal Name:
- Stat
- Volume:
- 11
- Issue:
- 1
- ISSN:
- 2049-1573
- Format(s):
- Medium: X
- Sponsoring Org:
- National Science Foundation
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