DeepDRK: Deep Dependency Regularized Knockoff for Feature Selection

Model-X knockoff has garnered significant attention among various feature selection methods due to its guarantees for controlling the false discovery rate (FDR). Since its introduction in parametric design, knockoff techniques have evolved to handle arbitrary data distributions using deep learning-based generative models. However, we have observed limitations in the current implementations of the deep Model-X knockoff framework. Notably, the "swap property" that knockoffs require often faces challenges at the sample level, resulting in diminished selection power. To address these issues, we develop "Deep Dependency Regularized Knockoff (DeepDRK)," a distribution-free deep learning method that effectively balances FDR and power.