Several approaches to predictive uncertainty quantification have been introduced in recent years, considering uncertainty inaBayesian sense [2,7,18]aswell asfrom afrequentist'spoint ofview [15,5,34].
Algorithmic stability is a key characteristic of an algorithm regarding its sensitivity to perturbations of input samples. In this paper,we propose an innovativeunsupervised feature selection algorithm attaining this stability with provable guarantees.