IMMIGRATE: A Margin-Based Feature Selection Method with Interaction Terms

Traditional hypothesis-margin researches focus on obtaining large margins and feature selection. In this work, we show that the robustness of margins is also critical and can be measured using entropy. In addition, our approach provides clear mathematical formulations and explanations to uncover feature interactions, which is often lack in large hypothesis-margin based approaches. We design an algorithm, termed IMMIGRATE (Iterative max-min entropy margin-maximization with interaction terms), for training the weights associated with the interaction terms. IMMIGRATE simultaneously utilizes both local and global information and can be used as a base learner in Boosting. We evaluate IMMIGRATE in a wide range of tasks, in which it demonstrates exceptional robustness and achieves the state-of-the-art results with high interpretability.