An Expected Utility Approach to Active Feature-Value Acquisition

In many classification tasks training data have missing feature values that can be acquired at a cost.  For building accurate predictive models, acquiring all missing values is often prohibitively expensive or unnecessary, while acquiring a random subset of feature values may not be most effective.  The goal of active feature-value acquisition is to incrementally select feature values that are most cost effective for improving the model’s accuracy.  We present an
approach that acquires feature values for inducing a classification model based on an estimation of the expected improvement in model accuracy per unit cost.  Experimental results demonstrate that our approach consistently reduces the cost of producing a model of a desired accuracy compared to random feature acquisitions.