Algorithmic stability and generalization of an unsupervised feature selection algorithm

Feature selection, as a vital dimension reduction technique, reduces data dimension by identifying an essential subset of input features, which can facilitate interpretable insights into learning and inference processes. Algorithmic stability is a key characteristic of an algorithm regarding its sensitivity to perturbations of input samples. In this paper, we propose an innovative unsupervised feature selection algorithm attaining this stability with provable guarantees. The architecture of our algorithm consists of a feature scorer and a feature selector. The scorer trains a neural network (NN) to globally score all the features, and the selector adopts a dependent sub-NN to locally evaluate the representation abilities for selecting features.