Reinforced variable selection

• Published in: Statistical theory and related fields pp. 1 - 18
• Main Authors: Le, Yuan, Bai, Yang, Zhou, Fan
• Format: Journal Article
• Language: English
• Published: Taylor & Francis Group 20.06.2025
• Subjects: natural policy gradient; reinforcement learning; Variable selection

Variable selection identifies the best subset of covariates when building the prediction model, among all possible subsets. In this paper, we propose a novel reinforced variable selection method, called ‘Actor-Critic-Predictor’. The actor takes an action to choose variables and the predictor evaluat...